Risk Management and Insurance

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Browsing Risk Management and Insurance by Author "Mazviona, Batsirai Winmore"

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    An Analysis of Factors Affecting the Performance of Insurance Companies in Zimbabwe
    (2017-06-21) Mazviona, Batsirai Winmore; Dube, Mbakisi; Sakahuhwa, Tendai
    The study sought to examine factors affecting the performance of insurance companies in Zimbabwe. We utilized secondary data from twenty short-term insurance companies. The data was for the period from 2010 to 2014. We used factor analysis and multiple linear regression models to determine the factors affecting performance and identifying their impact. Our findings revealed that expense ratio, claims ratio and the size of a company significantly affect insurance companies’ performance negatively. Whilst leverage and liquidity affect performance positively. We recommend that insurance companies should introduce mechanisms that reduces operational costs such as automated systems.
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    Day of the week effect on the Zimbabwe Stock Exchange: A non-linear GARCH analysis
    (Academy of Business and Retail Management, 2015-11) Mazviona, Batsirai Winmore; Ndlovu, Milton Webb
    This study analysed the day of the week effect on the Zimbabwe Stock Exchange (ZSE) by taking into account volatility of returns. The purpose of the study was to establish whether daily mean returns across a trading week differ from each other. We employ a non-linear approach in modelling the day of the week effects. In particular, we used the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and the Exponential GARCH (EGARCH) models. We used industrial and mining daily closing indices data from 19 February 2009 to 31 December 2013. The data was retrieved from the ZSE website. EViews 7 software was utilised for data analysis. In order to test the null hypothesis of equality of daily mean returns, a Wald test was carried out. The Wald F-statistic rejected the null hypothesis of equality of mean returns for the industrial index. We found the traditional negative Monday and positive Friday effect for the industrial index in GARCH (1,1) and EGARCH (1,1) models. The GARCH (1,1) detected a negative Friday effect and the EGARCH (1,1) detected negative Wednesday effect for the mining index. We found evidence of model dependency for the mining index results.
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    Risk and Concentration of Portfolios on the Zimbabwe Stock Exchange after Currency Reform
    (Science Domain International, 2014) Mazviona, Batsirai Winmore; Nyangara, Davis
    Aims: The objectives of this study are to assess the level and impact of concentration of portfolios on the ZSE and to determine the number of stocks to be held in a concentrated portfolio to achieve effective risk reduction. Study Design: Portfolio Model. Place and Duration of Study: Zimbabwe, Department of Insurance and Actuarial Science and Department of Finance, between February 2013 and March 2013. Methodology: We analysed the level of concentration of portfolios held on the Zimbabwe Stock Exchange (ZSE). The market capitalization weights and the daily closing prices of 62 stocks in the industrial index for the four-year period form 19 February 2009 to 31 December 2012. Results: The Herfindahl-Hirschman Index and the Roll measure of concentration were employed to analyse the level of concentration of portfolios mimicking the industrial index and it was observed that portfolios held on the ZSE are highly un concentrated with an approximate measure of 14% under the HHI measure as at 31 December 2012. The daily returns over the period were calculated and used to estimate the risk of the portfolio. The findings indicates that stocks in the industrial index of the ZSE have relatively low correlation due to the small difference in risk between equally weighted portfolios with no correlation and equally weighted portfolios with historical correlation. Conclusion: The empirical evidence highlights that an optimal portfolio size averaging 20 to 25 stocks of the Industrial Index stocks will have to be included in order to achieve effective risk reduction.