Author
Listed:
- Thokozane Ramakau
(Faculty of Economic Sciences, North-West University, Vanderbijlpark 1900, South Africa)
- Daniel Mokatsanyane
(Faculty of Economic Sciences, North-West University, Vanderbijlpark 1900, South Africa)
- Sune Ferreira-Schenk
(Faculty of Economic Sciences, North-West University, Vanderbijlpark 1900, South Africa)
- Kago Matlhaku
(Faculty of Economic Sciences, North-West University, Vanderbijlpark 1900, South Africa)
Abstract
The contagious COVID-19 disease not only brought about a global health crisis but also a disruption in the global economy. The uncertainty levels regarding the impact of the disease increased volatility. This study analyses stock market volatility and Economic Policy Uncertainty (EPU) of South Africa (SA) with that of the United States of America (USA) and Brazil, Russia, India, and China (BRIC) during the COVID-19 pandemic. The study aims to analyse volatility spillovers from a developed market (USA) to emerging markets (BRIC countries) and also to examine the causality between EPU and stock returns during the COVID-19 pandemic. By employing the GARCH-in-Mean model from a sample of daily returns of national equity market indices from 1 January 2020 to 31 March 2022, SA and China are shown to be the most volatile during the pandemic. By using the diagonal Baba, Engle, Kraft, and Kroner (BEKK) model to analyse spillover effects, evidence of spillover effects from the US to the emerging countries is small but statistically significant, with SA showing the strongest impact from US market shocks. From the Granger causality test, Brazil’s and India’s equity markets are shown to be highly sensitive to changes in EPU relative to the other countries.
Suggested Citation
Thokozane Ramakau & Daniel Mokatsanyane & Sune Ferreira-Schenk & Kago Matlhaku, 2025.
"Analysing Market Volatility and Economic Policy Uncertainty of South Africa with BRIC and the USA During COVID-19,"
JRFM, MDPI, vol. 18(7), pages 1-18, July.
Handle:
RePEc:gam:jjrfmx:v:18:y:2025:i:7:p:400-:d:1705333
Download full text from publisher
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:18:y:2025:i:7:p:400-:d:1705333. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through
the various RePEc services.