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Implementing the Bond Convergence Trade in South Africa
Convergence trade, by definition, is buying an asset now to be delivered at some date in the future and selling a similar asset, to be delivered at the same future date, at a higher price. In this paper, implementation of bond convergence trade is explored in the South African market. This is in spi...
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| Format: | Thesis |
| Language: | English |
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School of Economics
2014
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| _version_ | 1867613269036892160 |
|---|---|
| access_status_str | Open Access |
| author | Matshoba, Nomathibana Z |
| author2 | Hassan, Shakill |
| author_browse | Hassan, Shakill Matshoba, Nomathibana Z |
| author_facet | Hassan, Shakill Matshoba, Nomathibana Z |
| author_sort | Matshoba, Nomathibana Z |
| collection | Thesis |
| description | Convergence trade, by definition, is buying an asset now to be delivered at some date in the future and selling a similar asset, to be delivered at the same future date, at a higher price. In this paper, implementation of bond convergence trade is explored in the South African market. This is in spite of the features of the South African bond market. The South African bond market is significantly different from markets where bond convergence trade has previously been tested. Duration was subsequently introduced in identifying similarities between bonds, and this is the major difference introduced compared to prior work in the literature. The results showed that the trades give, on average, negative returns. However, further investigation into the impact of interest rates not only on the trade, but over the period of investigation and future expected interest rates, is required, before the results can be appropriately interpreted. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5740 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:26.520Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5740 Implementing the Bond Convergence Trade in South Africa Matshoba, Nomathibana Z Hassan, Shakill Management Studies and Business Science Convergence trade, by definition, is buying an asset now to be delivered at some date in the future and selling a similar asset, to be delivered at the same future date, at a higher price. In this paper, implementation of bond convergence trade is explored in the South African market. This is in spite of the features of the South African bond market. The South African bond market is significantly different from markets where bond convergence trade has previously been tested. Duration was subsequently introduced in identifying similarities between bonds, and this is the major difference introduced compared to prior work in the literature. The results showed that the trades give, on average, negative returns. However, further investigation into the impact of interest rates not only on the trade, but over the period of investigation and future expected interest rates, is required, before the results can be appropriately interpreted. 2014-07-31T12:24:37Z 2014-07-31T12:24:37Z 2010 Master Thesis Masters MCom http://hdl.handle.net/11427/5740 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Management Studies and Business Science Matshoba, Nomathibana Z Implementing the Bond Convergence Trade in South Africa |
| thesis_degree_str | Master's |
| title | Implementing the Bond Convergence Trade in South Africa |
| title_full | Implementing the Bond Convergence Trade in South Africa |
| title_fullStr | Implementing the Bond Convergence Trade in South Africa |
| title_full_unstemmed | Implementing the Bond Convergence Trade in South Africa |
| title_short | Implementing the Bond Convergence Trade in South Africa |
| title_sort | implementing the bond convergence trade in south africa |
| topic | Management Studies and Business Science |
| url | http://hdl.handle.net/11427/5740 |
| work_keys_str_mv | AT matshobanomathibanaz implementingthebondconvergencetradeinsouthafrica |