The study examines statistical properties and volatility dynamics of an emerging
investment asset class, Listed Private Equity (LPE) investments, in selected markets
in Africa. There has been widespread acknowledgement that traditional valuation
techniques have failed to explain cross-sectional stock returns in emerging and
developing markets. From the content review put forward in this study, it is evident
that country-specific risk is a priced factor in investments in Africa. The study
hypothesised the notion and predicated that asset returns as a product of economic
rationality is followed by its statistical properties in the return distribution and volatility
dynamics. The study used monthly data for LPE’s and selected country-specific data
to examine the statistical properties, volatility dynamics and their relationship to
country risk factors for countries that were found active in this asset class – South
Africa, Ghana, Egypt and Botswana for the period 2010-2020. The study utilised the
GARCH (1,1), EGARCH, TGARCH, GARCH-In-Mean, FIGARCH, FIEGARCH, DCC
MGARCH, and VAR models to fit the data. These findings provide information that is
used for portfolio compilation, asset pricing, and a better understanding of the
structural dynamics of LPE returns, thereby laying the groundwork for the
development of new valuation tools for this asset class.
Three main findings were: firstly, LPEs for countries under study exhibited stylised
effects in the form of volatility clustering, asymmetric effects, and leptokurtic
distributions, but there is no evidence of leverage effects or structural breaks. The
study found evidence that LPE’s are positively skewed with excess kurtosis. The
returns for South African LPE’s are closer to normal distribution, whilst other
countries exhibited non-normal distributions, typical of financial data. Egypt displayed
traces of volatility associated with jump diffusions and Ghana volatility series
indicated that the investment carries a risk premium commensurate with the inherent
risk. The data for Botswana was stationary and was found unsuitable for further tests
using GARCH modelling. Secondly, there is no evidence of data asymmetries
present in the long-term volatility dynamics of the data under study. Despite the
diverse economic systems in which these investments operate, their responses to
positive or negative shocks are the same. This indicates that private equity
investments in these African markets have homogenous dispositions in the long
term; therefore, though these investments are defensive assets, geographical
selection cannot be used to diversify returns. Thirdly, the study provided evidence
that country-specific factors have a weak influence on the LPE’s of the data under
study, refuting the hypothesis that country risk elements are a priced factor in these
markets.
The study makes several contributions: it is the first to examine the statistical
properties and volatility dynamics of LPEs in selected African markets. Second, the
thesis extends previous findings on statistical modelling by examining an unexplored
market in the body of knowledge, the LPE’s in African markets, which has different
dispositions to traditional asset classes. Lastly, the study adds to the LPE literature
by providing valuable insights regarding LPEs in an African context, as an emerging
asset class and a financing tool for economic development.
Ucwaningo luhlole izakhiwo zezibalo kanye nokuguquguquka okuguquguqukayo
kwesigaba sokutshalwa kwezimali sempahla esafufusa, okungukuthi, uhlu
lokulinganayo kwangasese (ULK) okwaziwa nge-(LPE) ezimakethe ezikhethiwe e Afrika. Kube nokuvunywa okusabalele ukuthi amasu okulinganisa endabuko
ahlulekile ukuchaza imbuyiselo yesitoko ehlukene ezimakethe ezisafufusa
nezisathuthuka. Kusukela ekubuyekezweni kokuqukethwe okubekwa phambili kulolu
cwaningo, kusobala ukuthi ubungozi obuqondene nezwe elithile buyinto enenani
lokutshalwa kwezimali e-Afrika. Ocwaningweni kwacatshangelwa futhi kwabikezelwa
ukuthi imbuyiselo yempahla njengemikhiqizo yokuhluzeka kwezomnotho ilandelwa
izici zayo zezibalo ekusatshalalisweni kwembuyiselo, kanye nokuguquguquka
kokushintshashintsha. Idatha yanyanga zonke yokutshalwa kwezimali kwe-ULK
kanye nedatha ekhethiwe eqondene nezwe elithile yasetshenziswa ukuze kuhlolwe
izakhiwo zezibalo kanye nokuguquguquka kanye nobudlelwano bazo nezinto
eziyingozi zezwe emazweni atholakale esebenza kulesi sigaba sempahla,
okungukuthi, iNingizimu Afrika, iGhana, iGibithe kanye neBotswana isikhathi sonyka
wezi-2010–2020. Amamodeli e-GARCH (1,1), EGARCH, TGARCH, GARCH-In Mean, FIGARCH, FIEGARCH, DCC MGARCH kanye ne-VAR asetshenziswe ukuze
kulingane idatha. Okutholwe ocwaningweni kuhlinzeka ngolwazi
olungasetshenziselwa ukuhlanganiswa kwephothifoliyo kanye nentengo yempahla.
Okutholakele kungase futhi kube usizo ekutholeni ukuqonda okungcono
kokuguquguquka kwesakhiwo sembuyiselo ye-LPE, ngaleyo ndlela kubekwe
isisekelo sokuthuthukiswa kwamathuluzi amasha okulinganisa alesi sigaba
sempahla. Okuthathu okutholakele okuyinhloko kube kanje: Okokuqala, ukutshalwa kwezimali
kwe-ULK emazweni angaphansi kocwaningo kubonise imiphumela eyenziwe
ngesitayela nangendlela yokuhlanganisa okuguquguqukayo, imiphumela ye asimetrikhi nokusatshalaliswa kwelipthokhithi, kodwa abukho ubufakazi bemithelela
ezuzisayo noma ukuhlukana kwesakhiwo. Lolu cwaningo luveze ubufakazi bokuthi
ukutshalwa kwezimali kwe-ULK bekugudluzwe kahle nekhithosisi eyeqile. Imbuyiselo
yokutshalwa kwezimali kwe-ULK yaseNingizimu Afrika ibisondele ekusabalaliseni
okuvamile kuyilapho amanye amazwe ebonise ukusatshalaliswa okungajwayelekile,
okuyisimo sedatha yezezimali. IGibithe ibonise iminonjana yokuntengantenga
okuhlobene nokusabalala okweqayo, futhi uchungechunge lwe-Ghana
oluguquguqukayo lubonise ukuthi ukutshalwa kwezimali kwe-ULK kunengozi
engqala ehambisana nobungozi obukhona. Idatha yaseBotswana ibimile futhi
itholwe ingakulungele ukuhlolwa okwengeziwe kusetshenziswa imodeli ye-GARCH.
Okwesibili, abukho ubufakazi be-asimetrikhi yedatha kukuntengantenga -
ashukumisayo kwesikhathi eside yedatha engaphansi kocwaningo. Ngaphandle
kwezinhlelo zezomnotho ezehlukene lapho lezi zimali zitshalwa khona, izimpendulo
zazo ekushaqisweni okuhle noma okungekuhle zitholwe zifana. Lokhu kukhombisa
ukuthi ukutshalwa kwezimali kwamasheya azimele kulezi zimakethe zase-Afrika
kunesimo esifanayo esikhathini eside. Ngakho-ke, nakuba lokhu kutshalwa
kwezimali kuyimpahla evikelayo, ukukhetha kwendawo akukwazi ukusetshenziselwa
ukuhlukanisa imbuyiselo. Okwesithathu, ucwaningo lunikeze ubufakazi bokuthi izici
eziqondene nezwe elithile zinethonya elibuthakathaka ekutshalweni kwezimali kwe ULK ngokuphathelene nedatha esacwaningwayo, okuphikisana nenkoleloze yokuthi
izici zezwe ezisengozini ziyisici senani kulezi zimakethe.
Ucwaningo lunikeza iminikelo eminingana. Okokuqala, ucwaningo kwaba
ngelokuqala ukuhlola izakhiwo zezibalo kanye nokuguquguquka
kokushintshashintsha kokutshalwa kwezimali kwe-ULK ezimakethe ezikhethiwe
zase-Afrika. Okwesibili, ucwaningo lwengeza kulokho okutholwe ocwaningweni
lwangaphambilini lemodeli yokubala ngoba lubandakanya ukuhlolwa kwesigaba
sempahla esingahloliwe emkhakheni okhona wolwazi, okungukuthi, i-ULK
ezimakethe zase-Afrika. Indlela yalesi sigaba sempahla ihlukile kulezo zezigaba
zempahla evamile. Okokugcina, ucwaningo lwengeza emibhalweni ye-ULK
ngokuhlinzeka ngemininingwane ebalulekile mayelana ne-ULK esimweni sase-Afrika
njengesigaba sempahla esafufusa kanye nethuluzi lokuxhasa ngezimali
lokuthuthukiswa komnotho.
Phuputso e hlahlobile dintho tse ikgethang tse amanang le dintlha tse hlaloswang ka
dipalo le boemo ba diphetoho tse sa tsitsang le tse sa lebellwang tsa tlwaelo ya
mmaraka ya ho phahama le ho theoha ka potlako e kgolo, ya matsete a moruo o
holang, a tshwanang ka dintho tse itseng le ho sebetsa ka ho tshwana mmarakeng,
a bitswang mofuta wa ho tsetela kgwebong ya poraevete e sa hwebeng mmarakeng
wa diabo (LPE) mebarakeng e kgethilweng Aforika. Ho bile le kananelo ya batho ba
bangata ya hore mekgwa ya boholoholo ya ho fumana boleng ba setoko e hlolehile
ho hlalosa dipoello tse fapaneng tsa ditoko tse fapaneng ka nako e itseng
mebarakeng ya moruo wa dinaha tse holang. Ho tswa tekolong botjha ya dikahare
tseo ho buuwang ka tsona phuputsong ena, ho a bonahala hore kotsi ya naha e
itseng e tswalwa ke ditheko tsa matsete Aforika. Phuputsong, ho bile le mohopolo le
kakanyo ya hore dipoello tsa diasete e le dihlahiswa tse molemo haholo mothong di
latelwa ke dintho tsa tsona tse ikgethang tse amanang le dintlha tse hlaloswang ka
dipalo mmoho le boemo ba diphetoho tse sa tsitsang le tse sa lebellwang tsa tlwaelo
ya mmaraka ya ho phahama le ho theoha ka potlako e kgolo. Datha ya kgwedi le
kgwedi ya matsete a LPE le datha e kgethetsweng naha e itseng di sebedisitswe ho
hlahloba dintho tse ikgethang tse amanang le dintlha tse hlaloswang ka dipalo le
boemo ba diphetoho tse sa tsitsang le tse sa lebellwang tsa tlwaelo ya mmaraka ya
ho phahama le ho theoha ka potlako e kgolo le kamano ya tsona le mabaka a
amanang le kotsi ya ho tsetela naheng e itseng le boholo ba ho hloka botsitso bo ka
tswalang tahlehelo ya ditjhelete dinaheng tse fumanweng di le sehlopheng sena sa
matsete a tshwanang ka dintho tse itseng le ho sebetsa ka ho tshwana mmarakeng,
tseo e leng Aforika Borwa, Ghana, Egepeta le Botswana dilemong tsa 2010–2020.
Dimotlolo tsa GARCH (1,1), EGARCH, TGARCH, GARCH-In-Mean, FIGARCH,
FIEGARCH, DCC MGARCH le VAR di sebedisitswe ho tshwanela datha. Lesedi le
fumanweng la phuputsong le fana ka lesedi le ka sebedisetswang ho etsa potefolio
le ho bala sekgahla sa poello e lebelletsweng aseteng kapa letseteng. Lesedi le
fumanweng le ka boela la ba bohlokwa hore ho be le kutlwisiso e kgolo ya diphetoho
tsa tlhophiso ya dipoello tsa LPE, tse fanang ka tlhophiso ya ntshetsopele ya
disebediswa tsa tlhahlobo e ntjha ya sehlopha sena sa diasete. Lesedi le fumanweng la dintlha tse tharo tse ka sehloohong e ne e le le latelang: La
pele, Matsete a LPE a dinaha tse fuputswang a bontshitse dikameho tse entsweng
hore di shebahale ka mokgwa o itseng oo e seng wa tlhaho wa boholo ba tlhokeho
ya botsitso bo amanang le boholo ba phetoho e etsahalang e fetohang le nako,
boholo ba tlhokeho ya botsitso bo eketseha haholo ha ditheko di theoha ho feta ha
ditheko di phahama ka palo e lekanang le kgonahalo e kgolo ya datha e fapaneng le
tse ding, empa ha ho a ba le ntho e bontshang kamano e mpe pakeng tsa poello le
tlhokeho ya botsitso bo amanang le boholo ba phetoho e etsahalang kapa phetoho e
sa lebellwang tlhophisong ya datha eo ho sebetswang ka yona. Phuputso e
bontshitse hore matsete a LPE a fetotse tsela eo a tsamayang ka yona hantle le ho
ba le ntlha ya datha e itseng e fapanang haholo le dintlha tse ding. Dipoello tsa
matsete a LPE a Aforika Borwa di ne di batla di le kabo e tlwaelehileng ha tsa dinaha
tse ding di bontshitse dikabo tse sa tlwaelehang, e leng ntho e tlwaelehileng ka
datha ya ditjhelete. Egepeta e bontshitse mehlala ya ditheko tse hlokang botsitso tse
namang ka mahlakore a mangata, mme tatellano ya ditheko tse hlokang botsitso tsa
Ghana e bontshitse hore matsete a LPE a na le sekgahla se phahameng sa poello
eo o ka e lebellang diaseteng tse nang le kotsi e kgolo se lekanang le boemo ba kotsi e sa rarollwang. Datha ya Botswana e ne e tsitsitse le ho fumanwa e sa lokela
ho ho etswa diteko tse ding tse sebedisang motlolo wa GARCH. Ntlheng ya bobedi,
ho ne ho se na bopaki ba ho se lekalekane ha datha boemong ba nako e telele ba
diphetoho tse sa tsitsang le tse sa lebellwang ba datha eo ho fuputswang ka yona.
Ho sa kgathalatsehe hore matsete ana a na le tshusumetso efe ditseleng tse
fapaneng tseo ho hlahiswang le ho tsamaisa dintho ka yona, dikarabelo tsa oona
diketsahalong dife kapa dife tse sa lebellwang tse bang le kameho ya tshohanyetso
e ntle kapa e mpe, di fumanwe id tshwana. Hona ho bontsha hore matsete a
kentsweng dikhamphaning tse sa hwebeng mebarakeng ena ya Aforika a diabo a ba
le ditlhophiso tse tshwanang ka mora nako e telele. Kahoo, le ha matsete ana e le
diasete tse fanang ka moputso o tsitsitseng ka nako e telele, tlhahlobo ya diaterese
tsa batsetedi e ke ke ya sebedisetswa ho thibela kotsi ka ho aba matsete
ditumellanong tse fapaneng tsa ditjhelete. Ntlheng ya boraro, phuputso e fane ka
bopaki ba hore dintho tse amang tlhahiso ya naha e itseng di na le tshusumetso e
fokolang matseteng a LPE a mabapi le datha e fuputswang, ho hanana le mohopolo
wa hore dintho tse nang le kotsi ya ho tsetela naheng e itseng ke ditjeo tsa tlhahiso
ya ntho e nngwe mebarakeng ena. Phuputso e na le dintho tse ngata tseo e di etsang. Ya pele, phuputso e bile ya pele
ya ho hlahloba dintho tse ikgethang tse amanang le dintlha tse hlaloswang ka dipalo
boemong ba diphetoho tse sa tsitsang le tse sa lebellwang matseteng a LPE
mebarakeng e kgethilweng ya Aforika. Ya bobedi, phuputso e tlatsetsa lesedi le
fumanweng patlisisong ya nako e fetileng ka ho ithuta le ho fihlela diqeto tse
utlwahalang ka datha, ka hore e hloka tlhahlobo ya dintho tse eso fuputswe, tse
sebetsang ka ho tshwana mmarakeng, leseding, mehopolong le makaleng a thuto e
itseng, ke hore, LPE mebarakeng ya Aforika. Ditlhophiso tsa sehlopha sena sa
matsete a sebetsang ka ho tshwana mmarakeng se fapana le dihlopha tsa
boholoholo tsa matsete a sebetsang ka ho tshwana mmarakeng. Ya ho qetela,
phuputso e tlatsetsa lesedi dingolweng tsa LPE ka ho fana ka kutlwisiso ya
bohlokwa e mabapi le LPE boemong ba Aforika e le sehlopha sa matsete a qalang
ho ba teng a sebetsang ka ho tshwana mmarakeng le dintho tse thusang ho etsa
tjhelete ya ho ntshetsa moruo pele.
