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The Relationship Between International Equity Market Behaviour And The Jse



This paper investigates empirically the relationship between domestic and international market returns and volatilities, using the London Stock Exchange as the international market proxy. In order to address problems of widely differing bourse composition, the relationships are tested at both the broad bourse index level and the sectoral sub-indices level. The paper finds significant evidence of a positive relationship between foreign returns and domestic returns and, in addition, between foreign volatility and domestic volatility. It is found that, for most sectors, the main association period is during the same concurrent trading day, although there are additional significant lags present in most of the series. Strong evidence is also found that the magnitude of volatility on the JSE and most of its sub-indices reacts far more to negative shocks than it does to positive shocks. Copyright (c) 2006 The Author. Journal compilation (c) 2006 Economic Society of South Africa.

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  • Nl Samouilhan, 2006. "The Relationship Between International Equity Market Behaviour And The Jse," South African Journal of Economics, Economic Society of South Africa, vol. 74(2), pages 248-260, June.
  • Handle: RePEc:bla:sajeco:v:74:y:2006:i:2:p:248-260

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    References listed on IDEAS

    1. Vivek B. Arora & Ashok Bhundia, 2003. "Potential Output and total Factor Productivity Growth in Post-Apartheid South Africa," IMF Working Papers 03/178, International Monetary Fund.
    2. Kevin S. Nell, 2000. "Is Low Inflation a Precondition for Faster Growth? The Case of South Africa," Studies in Economics 0011, School of Economics, University of Kent.
    3. Andreas Billmeier, 2004. "Ghostbusting; Which Output Gap Measure Really Matters?," IMF Working Papers 04/146, International Monetary Fund.
    4. Lowell E. Gallaway & Rajindar K. Koshal & Gene L. Chapin, 1970. "The Relationship Between the Rate of Change in Money Wage Rates and Unemployment Levels in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 38(4), pages 262-267, December.
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    Cited by:

    1. Tinashe Harry Dumile Kambadza & Zivanemoyo Chinzara, 2012. "Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets," Working Papers 305, Economic Research Southern Africa.
    2. 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.
    3. Cheteni, Priviledge, 2016. "Stock market volatility using GARCH models: Evidence from South Africa and China stock markets," MPRA Paper 77355, University Library of Munich, Germany.

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