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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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Suggested Citation

  • Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
  • Handle: RePEc:eee:intfin:v:7:y:1997:i:3:p:255-275
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    1. repec:lpe:efijnl:201604 is not listed on IDEAS
    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. Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
    4. 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.
    5. Trabelsi Mnif, Afef, 2017. "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 206-214.
    6. 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.
    7. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, February.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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