Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets
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- 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.
- Yu Hsing, 2011. "The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications," International Journal of Economics and Financial Issues, Econjournals, vol. 1(1), pages 12-18.
- Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014.
"The global financial crisis: An analysis of the spillover effects on African stock markets,"
Emerging Markets Review,
Elsevier, vol. 21(C), pages 201-233.
- Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2013. "The global financial crisis: An analysis of the spillover effects on African stock markets," MPRA Paper 50473, University Library of Munich, Germany.
- T. Mangwengwende & Z. Chinzara & H. Nel, 2011. "Bank concentration and the interest rate pass-through in Sub-Saharan African countries," Working Papers 233, Economic Research Southern Africa.
- 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.
- repec:eee:riibaf:v:41:y:2017:i:c:p:577-589 is not listed on IDEAS
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KeywordsReruns and volatility linkages; exponential GARCH; GARCH-in-mean; Vector Autoregressive; Portfolio DiversiÂ…cation; Financial Stability;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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