STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA
This paper uses advanced econometric methods to explore the statistical properties, volatility dynamics, and macroeconomic determinants of Listed Private Equity (LPE) investments in South Africa from 2010 to 2023. The key objectives include testing for non-normality in LPE returns and assessing vol...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Association of Scientists and Intellectuals of Kosovo
2025-04-01
|
| Series: | Prizren Social Science Journal |
| Subjects: | |
| Online Access: | https://prizrenjournal.com/index.php/PSSJ/article/view/603 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849716869742723072 |
|---|---|
| author | Chricencia Makanyara MURAPE Raphael Tabani MPOFU |
| author_facet | Chricencia Makanyara MURAPE Raphael Tabani MPOFU |
| author_sort | Chricencia Makanyara MURAPE |
| collection | DOAJ |
| description |
This paper uses advanced econometric methods to explore the statistical properties, volatility dynamics, and macroeconomic determinants of Listed Private Equity (LPE) investments in South Africa from 2010 to 2023. The key objectives include testing for non-normality in LPE returns and assessing volatility clustering. By employing GARCH-family models, the study effectively captures asymmetric and long-memory effects in LPE returns. A VAR model combined with Impulse Response Functions quantifies the impact of macroeconomic shocks, revealing that inflation imposes a significant and sustained adverse effect on LPE returns. In contrast, GDP growth exerts a weaker, short-lived positive influence. The findings also highlight the dynamic Relationship between corporate strategies and market volatility, showcasing how firms adapt to and influence volatility through diversification, hedging, and sectoral realignment. These results are consistent with contemporary theories on strategic responses to volatility (Jiang et al., 2021).
Furthermore, the DCC MGARCH results suggest minimal volatility spillovers within the South African LPE market, indicating reduced systemic risks and opportunities for adequate portfolio diversification. The study provides a framework to enhance risk management and informed decision-making within South Africa's LPE market. Future research should extend these insights by investigating cross-border spillover effects and examining how regulatory frameworks can stabilize the LPE sector.
|
| format | Article |
| id | doaj-art-29c24ab72a8e42e3ae779e641fb02bec |
| institution | DOAJ |
| issn | 2616-387X |
| language | English |
| publishDate | 2025-04-01 |
| publisher | Association of Scientists and Intellectuals of Kosovo |
| record_format | Article |
| series | Prizren Social Science Journal |
| spelling | doaj-art-29c24ab72a8e42e3ae779e641fb02bec2025-08-20T03:12:50ZengAssociation of Scientists and Intellectuals of KosovoPrizren Social Science Journal2616-387X2025-04-019110.32936/pssj.v9i1.603579STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICAChricencia Makanyara MURAPE0Raphael Tabani MPOFU1University of South AfricaUniversity of South Africa This paper uses advanced econometric methods to explore the statistical properties, volatility dynamics, and macroeconomic determinants of Listed Private Equity (LPE) investments in South Africa from 2010 to 2023. The key objectives include testing for non-normality in LPE returns and assessing volatility clustering. By employing GARCH-family models, the study effectively captures asymmetric and long-memory effects in LPE returns. A VAR model combined with Impulse Response Functions quantifies the impact of macroeconomic shocks, revealing that inflation imposes a significant and sustained adverse effect on LPE returns. In contrast, GDP growth exerts a weaker, short-lived positive influence. The findings also highlight the dynamic Relationship between corporate strategies and market volatility, showcasing how firms adapt to and influence volatility through diversification, hedging, and sectoral realignment. These results are consistent with contemporary theories on strategic responses to volatility (Jiang et al., 2021). Furthermore, the DCC MGARCH results suggest minimal volatility spillovers within the South African LPE market, indicating reduced systemic risks and opportunities for adequate portfolio diversification. The study provides a framework to enhance risk management and informed decision-making within South Africa's LPE market. Future research should extend these insights by investigating cross-border spillover effects and examining how regulatory frameworks can stabilize the LPE sector. https://prizrenjournal.com/index.php/PSSJ/article/view/603Listed Private Equity. South Africa. Volatility modeling. GARCH-family models. Macroeconomic factors. Corporate strategies. |
| spellingShingle | Chricencia Makanyara MURAPE Raphael Tabani MPOFU STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA Prizren Social Science Journal Listed Private Equity. South Africa. Volatility modeling. GARCH-family models. Macroeconomic factors. Corporate strategies. |
| title | STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA |
| title_full | STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA |
| title_fullStr | STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA |
| title_full_unstemmed | STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA |
| title_short | STRATEGIC ADAPTATIONS AND VOLATILITY DYNAMICS: MODELING LISTED PRIVATE EQUITY IN SOUTH AFRICA |
| title_sort | strategic adaptations and volatility dynamics modeling listed private equity in south africa |
| topic | Listed Private Equity. South Africa. Volatility modeling. GARCH-family models. Macroeconomic factors. Corporate strategies. |
| url | https://prizrenjournal.com/index.php/PSSJ/article/view/603 |
| work_keys_str_mv | AT chricenciamakanyaramurape strategicadaptationsandvolatilitydynamicsmodelinglistedprivateequityinsouthafrica AT raphaeltabanimpofu strategicadaptationsandvolatilitydynamicsmodelinglistedprivateequityinsouthafrica |