Dr Rossouw van Jaarsveld on developing a forex network model: how to highlight risk transmission channels in a timely manner
Have you ever wondered how sensitive the South African Rand is to shocks in other currencies? Instead of debating the relative volatility of the rand or the factors influencing this volatility, this podcast explores the nature of the rand’s volatility. Here, ERSA’s host speaks to Dr Rossouw van Jaarsveld, currently a consultant at the SARB, […]
How are Africa’s emerging stock markets related to advanced markets? Evidence from copulas
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 generally weak. There is asymmetric and weak tail dependence for all the […]
Stock Return Predictability in South Africa: An Alternative Approach
There is considerable debate internationally as to whether share returns are predictable. The limited evidence in South Africa (Gupta and Modise, 2012a, b and 2013) reveals that valuation ratios have no forecasting power but the Treasury bill rate, term spread and money supply have been found to be able to predict share returns at a […]
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