Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....

This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, financials, healthcare, industrials,...

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers' returns and the stock market...

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

This study investigates systemic risk, return patterns, and diversification within the Johannesburg Stock Exchange (JSE) during the COVID-19 pandemic, utilizing data-centric approaches and the ARMA-GARCH vine copula-based conditional value-at-risk (CoVaR) model. By comparing three investment...

This study evaluates the effectiveness of the Non-dominated Sorting Genetic Algorithm III (NSGA-III) in comparison to the traditional Mean-Variance optimization method for financial portfolio management. Leveraging a dataset of global financial assets, we applied both approaches to optimize...

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

This paper investigates whether the effects of weather variability in temperature and precipitation on agricultural output are short- or long-run. The contribution of this paper is twofold. First, the paper attempts to establish whether temperature or precipitation variability affects...

This paper makes use of the Markov Switching model and the K-Means Cluster analysis to estimate the transition probabilities of social mobility and to analyze the impact of social inequalities on intergenerational social mobility. The dataset is a sample of 44 countries and comprises the 2018...

This study is an empirical analysis of sovereign credit ratings (SCR) in South Africa (SA) using Logistic Regression (LR) to identify their determinants and forecast SCRs. Data of macroeconomic indicators including SCRs from 1999 to 2020 in quarterly format were classified and analyzed to...