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Cross-Market Volatility Spillovers and Portfolio Diversification in South African Equity Markets: Evidence from an Index-Level Analysis

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  • Edson Vengesai

    (Durban University of Technology—Faculty of Accounting and Informatics)

Abstract

This study investigates spillover effects and dynamic conditional correlations between volatility and South African equity (JSE) indexes before and during the pandemic. Using Multivariate GARCH models—DCC (Engle, R., Journal of Business & Economic Statistics 20:339-350, 2002) and BEKK (Engle, R. F., & Kroner, K. F., Multivariate simultaneous generalized ARCH. Econometric theory 11:122-150, 1995)—we find volatility spillovers from the VIX to JSE indices, though the VIX showed no significant response to South African volatility. Results reveal consistent negative correlations between volatility (VIX & SAVI) and JSE indexes, which intensified during the pandemic. The SAVI displayed lower correlations than the VIX, highlighting its distinct role in capturing local risk perceptions and expectations. Overall, the study extends volatility analysis by incorporating a local index, offering insights into diversification and risk management in emerging markets like South Africa.

Suggested Citation

  • Edson Vengesai, 2026. "Cross-Market Volatility Spillovers and Portfolio Diversification in South African Equity Markets: Evidence from an Index-Level Analysis," Springer Proceedings in Business and Economics,, Springer.
    • Handle: RePEc:spr:prbchp:978-3-032-19314-8_3
    DOI: 10.1007/978-3-032-19314-8_3
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