Dynamic returns linkages and volatility transmission between South African and world major stock markets

Chinzara, Zivanemoyo; Aziakpono, Meshach J

Title: Dynamic returns linkages and volatility transmission between South African and world major stock markets
Creator: Chinzara, Zivanemoyo
Creator: Aziakpono, Meshach J
Subject: To be catalogued
Date Issued: 2009
Date: 2009
Type: text
Type: article
Identifier: http://hdl.handle.net/10962/469698
Identifier: vital:77279
Identifier: https://hdl.handle.net/10520/EJC21489
Description: 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 1995-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but reasonably stable over time in all the stock markets studied, and no significant evidence was found in support for the risk premium hypothesis.
Format: 26 pages
Format: pdf
Language: English
Relation: Studies in Economics and Econometrics
Relation: Chinzara, Z. and Aziakpono, M.J., 2009. Dynamic returns linkages and volatility transmission between South African and world major stock markets. Studies in economics and econometrics, 33(3), pp.69-94
Relation: Studies in Economics and Econometrics volume 33 number 3 69 94 2009 2693-5198
Rights: Publisher
Rights: Use of this resource is governed by the terms and conditions of the Sabinet Terms and Conditions Statement (https://www.sabinet.co.za/terms-conditions)

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