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G10

General Financial Markets: General (includes Measurement and Data)

Publication

Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa

Chevaughn van der Westhuizen, ReneƩ van Eyden and Goodness Aye
The onset of the novel coronavirus pandemic (COVID-19) and previous crises have heightened interest in the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for...
Feb 2022
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Publication

Modelling exchange rate volatility dynamics: Empirical evidence from South Africa

Cyril May and Greg Farrell
In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common...
Aug 2017
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Publication

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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Publication

Global commodities and African stocks: insights for hedging and diversification strategies

Gideon Boako and Paul Alagidede
Owing to frequent fluctuations in global markets, diversifying across emerging markets is increasingly becoming a necessity. Despite this, a cloud of uncertainty surrounds the relative capacities of emerging markets to provide the required shields for international investors, especially during...
Dec 2015
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Publication

Art investment as a portfolio diversification strategy in South Africa

Ferdi Botha, Brett Scott and Jen Snowball
Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel Art Price index offered the opportunity to...
Aug 2015
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Publication

Financial Stress Indicator Variables and Monetary Policy in South Africa

Leroi Raputsoane
This paper analyses the relationship between financial stress indicator variables and monetary policy in South Africa with emphasis on how robust these variables are related to the monetary policy interest rate. The financial stress indicator variables comprise a set of variables from the main...
Jul 2014
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Publication

Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa

Lumengo Bonga-Bonga and Jamela Hoveni
This paper attempts to assess the extent of volatility spillovers between the equity market and the foreign exchange market in South Africa. The multi-step family of GARCH models are used for this end, whereby volatility shocks obtained from the mean equation estimation in each market are included...
Oct 2011
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Publication

Risk-return tradeoff and the behaviour of volatility on the South African stock market: Evidence from both aggregate and disaggregate data

Mandimika, N.Z. and Chinzara, Z.
The study analyses the nature and behaviour of volatility, the risk-return relationship and the long-term trend of volatility on the South African equity markets, using aggregate-level, industrial-level and sectoral-level daily data for the period 1995-2009. By employing dummy variables for the...
Nov 2010
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