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G15

International Financial Markets

Publication

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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Publication

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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Publication

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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Publication

The Rand as a Carry Trade Target: Risk, Returns and Policy Implications

Shakill Hassan and Sean Smith
We analyze the returns to targeting the Australian, New Zealand, and South African currencies, through Japanese yen-funded speculation - with a particular focus on the South African rand, for which the carry trade is often seen as a source of exchange rate volatility. Targeting the rand through...
Aug 2011
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Publication

Macroeconomic uncertainty and emerging market stock market volatility: The case for South Africa

Z. Chinzara
This paper analyses how systematic risk emanating from the macro-economy is transmitted into stock market volatility using augmented autoregressive GARCH (AR-GARCH) and Vector autoregression models. Also examined is whether the relationship between the two is bidirectional. By imposing dummies for...
Sep 2010
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Publication

Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets

Z. Chinzara and M.J. Aziakpono
This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 199-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk-premium hypothesis. The univariate...
Sep 2009
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Publication

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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Publication

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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