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Accounting for futures and options in terms of IASC proposals: practitioners’ views in South Africa
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: S Baker --- South African Breweries, G K Everingham --- Department of Accounting,This paper outlines the development and nature of the International Accounting Standards Committee’s proposals in relation to financial instruments. It considers the applicability of the specific principles therein in relation to accounting for futures and options traded on the South... -
The corporate use of derivatives: a survey of South Africa’s large listed non-financial firms
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: C Correia --- College of Accounting, G Holman --- Department of Finance and Tax, A Jahreskog --- College of Accounting,This paper presents the results of a comparative questionnaire survey of derivative use by South African companies. The objective was to determine the extent of derivative use and to examine how and why companies use derivatives. Derivative use by South... -
The inflation-hedging ability of individual shares: Evidence from the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Johannes Hendrik van Rooyen --- Department of Business Management, South Africa Daniel Lee Jones --- Department of Business Management, South AfricaThe erosion of purchasing power due to inflation is a source of concern for investors who invest in stocks over long investment horizons. -
Pandemic impact on the co-movement and hedging effectiveness of the global futures markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ahmad Danial Zainudin --- CIMB Investment Bank Malaysia, Malaysia Azhar Mohamad --- International Islamic University Malaysia, MalaysiaThis paper examines the impact of COVID-19 on five of the world's most liquid futures markets. The results of our wavelet coherence analysis for spot futures reveal two important findings. First, spot futures coherence movements during the pandemic period are... -
What is the optimal offshore allocation for South African investors?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Emlyn Flint --- University of Cape Town, South AfricaIn 2022, the South African Pensions Fund Act was changed to allow funds to allocate up to 45% of their portfolio to offshore investments. This is a material change to fund regulations and naturally prompts the question: what is the... -
Leveraging defence into offence: Enhancing absolute and risk-adjusted equity returns with tail risk management overlays
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Bruno Schwalbach --- University of the Witwatersrand, South Africa Christo Auret --- University of the Witwatersrand, South AfricaResearch has shown that tail risk hedging using explicit option purchases and trend-following effectively mitigate equity tail risk. This paper demonstrates that these defensive qualities can be leveraged into offence: overlaying a two-pronged tail risk management strategy that employs both... -
On the determinants of derivatives disclosure – an emerging markets perspective
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: Franz Eduard Toerien --- University of Pretoria, South Africa John Hall --- University of Pretoria, South Africa Leon Brümmer --- University of Pretoria, South Africa -
Spillovers, correlations and hedging among green bonds, clean energy stocks and fossil fuels: The effects of four turmoils
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Foday Joof --- Eastern Mediterranean University, Turkey Cahit Adaoglu --- Eastern Mediterranean University, Turkey Nigar Taspinar --- Eastern Mediterranean University, TurkeyThis study investigates the volatility spillovers and the hedging among green bonds, clean energy stocks, and fossil fuels markets. During the ten-year sample period between 2012 and 2022, four major turmoils are observed chronologically: The oil price plunge of 2014–2016,... -
Enhancing global equity returns with trend-following and tail risk hedging overlays
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Bruno Schwalbach --- University of the Witwatersrand Johannesburg, South Africa Christo Auret --- University of the Witwatersrand Johannesburg, South AfricaThis paper demonstrates that overlaying a combination of trend-following and tail risk hedging strategies onto a global equity portfolio significantly enhances performance. These strategies are complementary. Tail risk hedging mitigates equity risk effectively during sudden market crashes, while trend-following supports...