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An examination of the effects of major political change on stock market volatility: the South African experience

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  • Brooks, Robert D.
  • Davidson, Sinclair
  • Faff, Robert W.

Abstract

Prior to President de Klerk's historic announcement on February 2 1990 of fundamental political change, South Africa was the subject of extreme economic and political isolation. As a result of this announcement, it would be expected that South Africa's financial markets transformed from a state of segmentation to a degree of integration in world makets. One means of assessing the possible effects of this major political change is by investigating stock market volatility.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 7 (1997)
Issue (Month): 3 (October)
Pages: 255-275

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Handle: RePEc:eee:intfin:v:7:y:1997:i:3:p:255-275

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Cited by:
  1. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.
  2. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
  3. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
  4. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, March.
  5. Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.

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