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Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets

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Author Info

  • Z. Chinzara
  • M.J. Aziakpono

Abstract

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 199-2007. 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 of the risk-premium hypothesis.

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Bibliographic Info

Paper provided by Economic Research Southern Africa in its series Working Papers with number 146.

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Date of creation: 2009
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Handle: RePEc:rza:wpaper:146

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Related research

Keywords: Reruns and volatility linkages; exponential GARCH; GARCH-in-mean; Vector Autoregressive; Portfolio DiversiÂ…cation; Financial Stability;

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Cited by:
  1. Yu Hsing, 2011. "The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications," International Journal of Economics and Financial Issues, Econjournals, Econjournals, vol. 1(1), pages 12-18.
  2. T. Mangwengwende & Z. Chinzara & H. Nel, 2011. "Bank concentration and the interest rate pass-through in Sub-Saharan African countries," Working Papers, Economic Research Southern Africa 233, Economic Research Southern Africa.
  3. Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
  4. Tinashe Harry Dumile Kambadza & Zivanemoyo Chinzara, 2012. "Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets," Working Papers, Economic Research Southern Africa 305, Economic Research Southern Africa.

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