Cyclical behaviour in the shipping market was investigated, for the first time, using Fourier analysis to extract cycle frequency information from data which have been Hodrick-Prescott filtered; in this case, dry freight earnings data. An industry rule of thumb asserts that shipping cycles last 7...

This paper expands and augments the results of the paper by <link rid="b25">Jefferis and Thupayagale</link>) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the a ALSI 40 data. The Wavelet analysis indicated that most of the individual...

The Macaulay duration is a highly successful tool for measuring and managing interest rate risk. However, it employs restrictive assumptions which constrain its usefulness in a rapidly evolving market. The Basel II implementation and ongoing accounting standard reassessments highlight the...

Regulatory capital – as a tool for financial regulation – has come under scrutiny following the financial crisis of 2007-2010 in terms of its ability to achieve the major objectives of financial regulations, namely contributing to financial stability; the provision of equally competitive...