Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies

Nyopa, Tšepiso; Khumalo, Sibanisezwe A

Title: Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies
Creator: Nyopa, Tšepiso
Creator: Khumalo, Sibanisezwe A
Subject: To be catalogued
Date Issued: 2022
Date: 2022
Type: text
Type: article
Identifier: http://hdl.handle.net/10962/470666
Identifier: vital:77383
Identifier: https://journals.co.za/doi/full/10.4102/jef.v15i1.713
Description: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS). This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies. The literature mainly focused on volatility transmission from developed countries. This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.
Format: 14 pages
Format: pdf
Language: English
Relation: Journal of Economic and Financial Sciences
Relation: Nyopa, T. and Khumalo, S.A., 2022. Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies. Journal of Economic and Financial Sciences, 15(1), p.713
Relation: Journal of Economic and Financial Sciences volume 15 number 1 1 14 2022 2312-2803
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)

Hits: 50
Visitors: 56
Downloads: 8

Collections

Khumalo, Sibanisezwe Alwyn (Assoc Prof)

RU Department of Economics and Economic History

SDG 08. Decent Work and Economic Growth

		Thumbnail	File	Description	Size	Format
View Details Download			SOURCE1	Volatility spillovers in equity and foreign exchange markets.pdf	692 KB	Adobe Acrobat PDF	View Details Download