Country risk and financial integration--A case study of South Africa
AbstractThis paper examines the importance of economic factors in a time-varying beta model of country risk before and after the occurrence of financial integration for South Africa's stock market. We examine how fundamental economic factors impact the variation of South Africa's country risk over the period 1993-2008. We find that exchange rates and gold prices are significant economic variables that induce significant volatility in South Africa's beta during the pre-financial integration period through June 1998. Post-financial integration, South Africa's beta rises and fundamental economic factors cease to be significant in determining its variation, a result consistent with an integrated financial market.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 24 (2010)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/ribaf
Country beta Exchange rate regimes Risk modeling;
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- Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
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