Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Impact of Rand/US Dollar Exchange Rate Volatility on the Performance of Futures Markets for Agricultural Commodities

Contents:

Author Info

  • Motlatjo Moholwa
  • Guangling (Dave) Liu

    ()
    (University of Stellenbosch, South Africa)

Abstract

This paper investigates the forecasting power of stock prices using two methods, namely, the random walk and the non-parametric methods. Using daily prices of the FTSE/JSE All Share index it is found that non-parametric methodology reveals distributional behaviour in the time series that is not captured by the random walk model. Based on the out-of-sample predicted mean square error, the F-test for two variances (those of both the observed series and the predicted one) and the bootstrap confidence interval and volatility, this method predicts the future behaviour of stock prices more accurately than the traditional random walk model has done.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.journals.co.za/ej/ejour_finj.html
Download Restriction: no

Bibliographic Info

Article provided by Africagrowth Institute in its journal African Finance Journal.

Volume (Year): 13 (2011)
Issue (Month): 1 ()
Pages: 28-46

as in new window
Handle: RePEc:afj:journl:v:13:y:2011:i:1:p:28-46

Contact details of provider:
Postal: PO Box 3628, Tygervalley, Bellville, 7536
Phone: +27219146778
Fax: +27219144438
Email:
Web page: http://www.africagrowth.com/
More information through EDIRC

Related research

Keywords: Exchange rate volatility; futures market; EMH; GARCH; bootstrapping technique;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:13:y:2011:i:1:p:28-46. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kirk De Doncker) The email address of this maintainer does not seem to be valid anymore. Please ask Kirk De Doncker to update the entry or send us the correct address.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.