Home

>

The Relationship Between International Equity Market Behaviour and the JSE

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 broad bourse index level and the sectoral sub-indices level. The paper finds significant evidence of a positive relationship between foreign returns and domestic returns and, in addition, between foreign volatility and domestic volatility. It is found that, for most sectors, the main association period is during the same concurrent trading day, although there are additional significant lags present in most of the series. Strong evidence is also found that the magnitude of volatility on the JSE and most of its sub-indices reacts far more to negative shocks than it does to positive shocks.

Working Paper 042
1 September 2006
RELATED JOURNAL:

2006, South African Journal of Economics, 74(2), 248-60
SHARE THIS Working Paper PUBLICATION:
19 September 2012
Publication Type: Working Paper
JEL Code: F36, G15

Related South Africa’s Cities and Growth Spatial Challenges and Policy Interventions Content

Request for Proposals: The role of cities as drivers of growth and employment
Background Urbanization in South Africa is expected to reach 80% by...
Call for Work
South Africa’s future will be decided in our cities
Discussion Document 14 South Africa’s cities face multiple, overlap...
Dieter von Fintel, Justin Visagie, Ivan Turok, Takwanisa Machemedze, Claus Rabe, Sebastian Galiani, Edward Glaeser
Discussion Document
Monitoring South Africa’s metropolitan economies: A survey of the data landscape
Discussion Document 13 Disparities in data across different metropo...
Dieter von Fintel
Discussion Document
Cities, productivity and Jobs in SA: Problems and potential
Discussion Document 12 Cities contribute to national prosperity bec...
Ivan Turok, Justin Visagie
Discussion Document
Place-based economic policies: international lessons for South Africa
Discussion Document 11 Place-based policies are designed to support...
Harris Selod, Claus Rabe
Discussion Document
What luminosity data can and cannot reveal about South Africa’s urban economies
Discussion Document 10 As novel types of data are becoming availabl...
Takwanisa Machemedze
Discussion Document
Crime: A policy-oriented survey
Discussion Document 9 South Africa has a reputation for having high...
Sebastian Galiani
Discussion Document
Virtual CDE Workshop on SA Cities and Growth
Urban economics has provided powerful insights into how the charact...
Workshop

Search Resources

Ground Floor Brookside Building
11 Imam Haron Road
Claremont, 7700
Cape Town

PostNet Suite # 109
Private Bag X1005
Claremont 7735
Cape Town

Get Social