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Contagion across financial markets during COVID-19: A look at volatility spillovers between the stock and foreign exchange markets in South Africa

Author

Listed:
  • Chevaughn van der Westhuizen
  • Goodness C. Aye
  • Reneé van Eyden

Abstract

The onset of the novel coronavirus pandemic (COVID-19) and previous crises have heightened interest in the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for South Africa over the period 1979:01–2021:08, including the effect the COVID-19 pandemic has […]

Suggested Citation

  • Chevaughn van der Westhuizen & Goodness C. Aye & Reneé van Eyden, 2022. "Contagion across financial markets during COVID-19: A look at volatility spillovers between the stock and foreign exchange markets in South Africa," Working Papers 872, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:872
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    Cited by:

    1. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    capital market; Consumer Behavior; COVID-19; Monetary Policy; Risk and Uncertainty;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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