Browsing by Author "Muguto, Hilary Tinotenda."

Now showing 1 - 3 of 3

Cryptocurrency volatility, volatility spillovers and the effect of global investor sentiment.
(2021) Rathilal, Sahil.; Muguto, Hilary Tinotenda.; Nhlapo, Rethabile.
Cryptocurrencies continue to enjoy attention from investors and policymakers and their growing usage has fortified this attention. However, it is their volatility and the volatility spillovers among the cryptocurrencies have been most intriguing. Various factors such as susceptibility to speculative pressures, uncertainty regarding their valuation, and the lack of regulation have been forwarded as possible explanations. However, these factors have not fully explained cryptocurrency volatility and volatility spillovers, suggesting that there could be other salient factors. In this study, investor sentiment, described as the noise-driven investors' perception of the risk and cash flows of an asset, was forwarded as one of those salient factors. Specifically, this study sought to examine the nature of volatility and volatility spillovers among currencies and their subjectivity to global investor sentiment. Bitcoin, Ethereum and Ripple and an investor sentiment index constructed from a set of five proxies over a period spanning February 2018 to August 2021 were employed. For the analysis, the study employed GARCH models to examine the nature of cryptocurrency volatility, the ADCC-GARCH framework and the Diebold-Yilmaz spillover index to examine the nature of cryptocurrency volatility spillovers, and the Toda-Yamamoto model to examine the causality between cryptocurrencies and investor sentiment. The study found evidence of significant sentiment effects in both mean and variance equations of the cryptocurrencies. Similarly, the analysis of comovements and spillovers showed that there were significant sentiment effects on the phenomena. Failure to account for investor sentiment could, therefore, lead to poor estimation of volatility and volatility spillovers. The results have implications for investors, speculators, and policymakers alike. The results obtained provided an insight on the effect of investor sentiment on cryptocurrency volatility and showed how the market reacts to the investors' behaviour where their actions influence volatility. The investors and speculators may then use the insight on sentiment to determine the market volatility to earn returns accordingly. Further, policymakers can use this to determine the optimal regulations to prevent excessive volatility in this market. The study, therefore contributes to the debate on the drivers of cryptocurrency volatility. It also contributes to literature by introducing a measure of investor sentiment.
Impact of country risk and macroeconomic factors on South African housing market segments under different regimes.
(2021) Khumalo, Mandy Zama.; Nomlala, Bomi Cyril.; Muguto, Hilary Tinotenda.
The housing property market in South Africa contributes to economic growth and attracts foreign investors, however, the market has fallen victim to price bubbles. Moreover, the South African housing market can be affected by various risk factors. The purpose of this study is to investigate and compare the presence of price bubbles across the South African housing segments, and to conduct an empirical analysis of the effects of country risk and macroeconomic factors on the South African housing market. The GSADF unit root test was employed to investigate the presence of price bubbles in the South African small, medium, and large houses. The Markov regime-switching of conditional mean model was used to evaluate the effects of financial, economic, and political risk factors of country risk on housing prices of different segments in bullish and bearish market conditions. The influence of macroeconomic factors namely, employment, households’ debt-to-disposable income ratio, and money supply growth rate on different housing segments in bullish and bearish market conditions was examined using the Markov switching vector autoregressive model. The study was conducted based on 263 monthly time-series data from January 1995 to November 2016. The results showed that there were five periods of explosive bubbles in the small housing segment, three periods of explosivity in the medium housing segment, and four periods of explosive bubbles in the large housing segment. In terms of the effects of country risk components on the three housing indices, it was found that the small house price index was significantly affected by economic risk in a bullish market condition whereas, the medium house price index was significantly influenced by financial risk and political risk in a bearish market condition. Moreover, the large house price index was significantly affected by financial risk and political risk in a bullish market condition. In terms of the impact of macroeconomic factors on housing prices, it was found that employment, household debt-to-disposable income ratio, and money supply growth rate have a significant influence on the three housing indices. This study concluded that the existence of price bubbles in the housing market differed across the three housing segments, and that the response of housing prices to shocks in country risk components and macroeconomic factors varied across the three housing segments and across the two market conditions. Therefore, this study presented the first comparison of price bubbles in the housing market and the response of the three housing segments to shocks in country risk components and macroeconomic factors in different market conditions.
The national health insurance scheme in South Africa: a pre-implementation evaluation of systemic threats, financial affordability and stakeholders’ sentiments.
(2022) Muguto, Hilary Tinotenda.; Mbonigaba, Josue.; Muzindutsi, Paul-Francois.
The impending national health insurance scheme is intended to provide all South Africans with access to high-quality, affordable services, regardless of socioeconomic status. However, there are concerns that the scheme may face various challenges, including gross systemic threats, cost-revenue imbalances and antagonistic stakeholder sentiments, thus undermining its benefits. In this study, a range of pre-implementation evaluation methods were used to assess the scheme. This includes systematic document reviews to identify systemic threats, analyses of projected costs and revenues using nonparametric and Monte Carlo techniques to assess the affordability of the scheme, and the use of the Stanford CoreNLP natural language processing to evaluate stakeholders' sentiments towards the scheme. The findings indicate that the scheme may fail if introduced on a derelict foundation due to administrative, resources and structural inadequacies. These challenges were further exposed during the current Covid-19 pandemic, emphasizing the threat they pose to the scheme. In terms of affordability, the analysis suggests that the scheme may be unaffordable due to the failure to raise sufficient revenues to fund the expected expenditure while keeping costs in line with the fiscal purse. From the examination of stakeholder sentiments towards the scheme, findings suggests that there is support for the scheme proposal but concerns regarding its operational and technical aspects are leading to negative sentiment against the scheme. The handling of the pandemic has also entrenched these negative sentiments against the scheme. These findings have several policy implications. First, there is a need to reform the healthcare system to avoid introducing the scheme on a weak foundation. Secondly, to ensure affordability of the scheme, the government may need to scale down the scheme and focus on primary care and less comprehensive benefit packages. Effort should be made to align expenditure with available resources. Finally, improved communication and stakeholder engagement may improve sentiments towards the scheme and identify problem areas within the implementation framework. The use of a natural language processing technique, which is a novel approach to studying stakeholder sentiments in healthcare, constitute this study’s contribution to the literature of policy development and implementation.