African Finance Journal

This paper puts the intertemporal budget constraint approach to the current account in the Kenyan context. The study assesses the long-run tendencies of output and consumption with the objective of determining the sustainability of Kenya's external imbalance. Cointegrating regressions between net output and consumption are estimated, the results of which show that actual consumption trends may weaken Kenya's current account position. The exercise was repeated using data on exports and imports and the results confirm that long-term export growth has lagged behind long-term import growth indicating that Kenya's current account deficit may not be sustainable going forward.

Sheila Kaminchia

Samuel K. Tiriongo

The African finance journal

An assessment of the sustainability of Kenya's current account deficit

肯尼亚经常账户赤字可持续性评估

This paper investigates the pass-through of the official interest rate to market interest rates in South Africa, using symmetric and asymmetric error correction modelling techniques and monthly interest rates data for the period 1980 to2007. The study found that the speed of adjustment of market interest rates is high, but differs across the rates. The highest speed occurs in the lending rate,followed by Treasury bill rate, money market rate and commercial bank deposit rate, while government bond yield shows the least speed. A test of commercial bank interest rates confirms asymmetric adjustment. Commercial banks are becoming increasingly competitive in the credit market, while the converse is true for the deposit market, where collusive behaviour among banks is evident.

Meshach J. Aziakpono

Magdalene K. Wilson

Interest rate pass-through, financial structure and monetary policy in South Africa

利率传导、金融结构与南非货币政策

This paper investigates the relationship between leverage and the financial performance of listed firm in Kenya. We use annual data for the period 2002 – 2011. Using various panel procedures, our study finds reasonably strong evidence that leverage significantly, and negatively, affects the profitability of listed firms in Kenya. However, leverage has no effect on Tobin’s Q, our proxy for firm value. Our results are robust to alternative panel specifications and hold for both small-size and large-size firms. Second, because the performance of firms depends on other things than just their capital structure, we control for the effects of those other variables by including them in our models. In this respect, our findings suggest that asset tangibility, sales growth and firm size are important determinants of profitability. Surprisingly, asset tangibility consistently has a negative relationship with profitability. For small firms, our results indicate that sales growth and firm size are important factors driving firm value (Tobin’s Q). Yet, the same variables do not appear to drive the value of large firms.

Odongo Kodongo

Thabang Mokoaleli-Mokoteli

Leonard N. Maina

Capital structure, profitability and firm value: panel evidence of listed firms in Kenya

资本结构、盈利能力与企业价值：肯尼亚上市公司的面板数据证据

We investigate, for the first time, equity return overreaction and associated January in the Nigerian Stock Exchange (NSE); with both of these market anomalies also examined in the South African equity market (JSE), mainly to assess their likely persistence in the JSE. We find evidence of overreaction and seasonality in the NSE, in contrast to past studies that found the NSE to be weak form efficient. The overreaction in the NSE is also accompanied by January and June month-of-the-year effects. For the JSE, there is now no evidence of overreaction; thus, suggesting that overreaction may have been arbitraged away over time. Although, a January is still recorded in the JSE, it is an October effect that is now found to be robust. Importantly, the NSE shows evidence of congruity of return and investor sentiment, which suggests that investor sentiment, can explain seasonality of overreaction in the Nigerian market. Overall,our results point to useful policy and trading strategy guides for these two major regional equity markets of Africa.

Rafiq Raji

Kalu Ojah

Does investor sentiment explain the seasonality of overreation? examples of the Nigerian and South African equity markets

投资者情绪能否解释过度反应的季节性？尼日利亚和南非股市的例子

This paper uses data on the four largest Regional Trade Agreements (RTAs) insub-Saharan Africa to argue that the dynamic form of the gravity equation is the appropriate model to estimate the effect of RTAs on intra-African trade. The paper also suggests a better approach to examining trade relationship between members of RTAs and nonmembers. The paper uses System Generalized Method of Moments estimator to overcome econometric issues associated with estimating dynamic models with persistent variables. The paper reports three important findings. First, a formal model selection test confirmed that the dynamic gravity model performs better than the static version. Second, the creation of COMESA and SADC has led to significant increase in trade among members. ECOWAS has increased intra-ECOWAS trade but in total has reduced intra-African trade. ECCAS has had a negative impact on both intra-ECCAS and extra-ECCAS bilateral trade flows. Third, our proposed approach to examining member-nonmember trade relationships provided the true estimates as compared to results from employing the usual approach in the literature.

Alexander B. Darku

Adriana B. Appau

Analysing sub-Saharan Africa trade patterns in the presence of regional trade agreements - the case of COMESA, SADC, ECCAS and ECOWAS

分析区域贸易协定下的撒哈拉以南非洲贸易模式——以东南非共同市场、南部非洲发展共同体、中部非洲经济与货币共同体和西非国家经济共同体为例

The paper investigates the implications of international migrant remittances and monetary policy for banking sector development using a sample of 35 African countries over an eighteen-year period, 1996-2013. We provide additional insight by examining the complex interlocking of three key variables that are important for regulators: remittances, monetary policy and banking sector development. The results show that remittances promote banking sector depth, outreach and stability. We also find evidence to suggest that in middle- and high-income countries, an increase in remittance inflows and contraction of monetary policy are associated with a lowering of banking sector efficiency.

Joshua Y. Abor

Mohammed Amidu

Emmanuel Sarpong-Kumankoma

Haruna Issahaku

African Banking Sector Development: The Roles of Remittances and Monetary Policy

非洲银行业发展：汇款与货币政策的作用

Volatility of economic indices like inflation, stocks, exchange rates etc has generated a lot of interest among researchers especially after the Options Markets’ celebrated Black Scholes option pricing formula relied on the assumption of constant underlying asset volatility, itself unobserved on the market. In that sphere (the options market) researchers concluded that, as functions of parameters like strike price, underlying asset volatility is actually not constant and one locus is volatility smile. We posit a priori that Zimbabwe went through periods of economic crisis observed (according to data available) from 1980 and thus modellers face challenges using available data for many technical reasons which to the best of our knowledge has resulted in very little research done in this sphere. This paper provides additional research by modelling and forecasting the inflation volatility present in Zimbabwe, using traditional GARCH models hybridized with Artificial Neural Networks (ANN) and Recurrent Neural Networks (RNN). There are several important conclusions drawn from our results. First, out of the GARCH models, the EGARCH generally performed the best. Second, both the ANN and RNN hybrid models outperformed the traditional GARCH models by a significant margin. Finally, the hybrid ANN models provided more accurate forecasts during volatile periods when compared with hybrid RNN models.

Nigel E.N. Chitambo

Darren Lee

Sure Mataramvura

A Hybrid Neural Network GARCH Approach to Forecasting Zimbabwean Inflation Volatility

混合神经网络GARCH方法预测津巴布韦通胀波动性

We investigate impression management in the Chairman’s letter, which is one of the unaudited disclosures in financial reports. We further determine firm specific factors that significantly influence impression management. For completeness, we also investigate whether firm governance structures influence impression management. DICTION content analysis software is used to determine impression management measures: optimism, certainty and activity. And the Generalized Method of Moments (GMM) is used to identify factors that influence impression management. Among the three measures of impression management, managers use predominantly optimistic language in the Chairman’s letter to create an impression about their companies. This optimistic language appears to be less in use among poorly performing firms. Among governance measures, board size tend to reduce the use of optimistic language while number of board meetings increase it. Furthermore, firm specific factors and governance measures have significant influence on impression management of well performing firms than they have of poorly performing firms. Therefore, this paper adds to current literature by identifying firm specific factors that influence impression management and the extent to which impression management may be influenced by internal governance structures of firms in emerging markets such as South Africa.

Jacques Totowa

Chairman’s Letter, Impression Management and Governance Mechanisms: The Case of South African Listed Firms

董事长致函、印象管理与治理机制：以南非上市公司为例

u9zg3I	经济业务财务数学宏观经济学计量经济学货币经济学计算机科学政治学法学统计金融经济学地理历史生物考古物理机器学习工程类哲学量子力学微观经济学凯恩斯经济学地质学市场经济机械工程古生物学材料科学语言学
+5d/bs	e+/GRg: University of Stellenbosch，uzYam8: ，dxwaWB: journal，8x2mMQ: TY4X7V
ak9yM6	A7IHrH: 2013，sQJ/D8: 0.00%，sE9og+:N.A.， wzlKC/: 0.00%

African Finance Journal

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An assessment of the sustainability of Kenya's current account deficit

Interest rate pass-through, financial structure and monetary policy in South Africa

Capital structure, profitability and firm value: panel evidence of listed firms in Kenya

Does investor sentiment explain the seasonality of overreation? examples of the Nigerian and South African equity markets

Analysing sub-Saharan Africa trade patterns in the presence of regional trade agreements - the case of COMESA, SADC, ECCAS and ECOWAS

African Banking Sector Development: The Roles of Remittances and Monetary Policy

A Hybrid Neural Network GARCH Approach to Forecasting Zimbabwean Inflation Volatility

Chairman’s Letter, Impression Management and Governance Mechanisms: The Case of South African Listed Firms

African Banking Sector Development: The Roles of Remittances and Monetary Policy

A Hybrid Neural Network GARCH Approach to Forecasting Zimbabwean Inflation Volatility

ISSN	1605-9786, 2959-0922
h-index	7