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F36

Financial Aspects of Economic Integration

Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa

Alain Kabundi, Tumisang Loate and Nicola Viegi
This paper assesses the effect of US monetary policy on South Africa during the period 1990- 2018. We separately analyse and compare the effect of conventional monetary policy, before the Global Financial Crisis, and unconventional monetary policy, after the US monetary policy reached the zero-...
Apr 2020
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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Jones Odei Mensah and Paul Alagidede
This paper examines the dependence structure between two developed and four emerging African stock markets in a copula framework. Using daily data from January 2000 to April 2014, our empirical results show that dependence structure between African and international stocks varies overtime, but...
Jul 2016
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Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market

Anmar Pretorius and Alain Kabundi
This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and emerging...
Jun 2014
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Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets

Tinashe Harry Dumile Kambadza and Zivanemoyo Chinzara
The paper analyses the structure of returns comovements and the volatility spillovers among the African stock markets using daily data for the period 2000-2010. We particularly focus on two issues: whether the stock markets of countries with close trading and financial links are more sychronised,...
Jul 2012
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The valuation of biodiversity conservation by the South African Khomani San "bushmen" community

Johane Dikgang and Edwin Muchapondwa
The restitution of land to the Khomani San "bushmen" and Mier "agricultural" communities in May 2002 marked a significant shift in conservation in the Kgalagadi area in South Africa. The Khomani San and Mier communities were awarded land inside and outside the Kgalagadi Transfrontier Park. Given...
Oct 2011
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Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

Andrew Stuart Duncan and Alain Kabundi
This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling window...
Oct 2011
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The Price of Risk on the JSE

Nick Samouilhan
This paper investigates domestic risk-return behaviour by focussing on the intertemporal relationship between the conditional domestic equity market premium, its conditional variance and its conditional covariance with the international equity market. The paper finds that the domestic equity market...
Jan 2006
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The Relationship Between International Equity Market Behaviour and the JSE

Nick Samouilhan
This paper investigates empirically the relationship between domestic and international market returns and volatilities, using the London Stock Exchange as the international market proxy. In order to address problems of widely differing bourse composition, the relationships are tested at both the...
Sep 2006
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