Stock market volatility using GARCH models: Evidence from South Africa and China stock markets

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MPRA Paper from University Library of Munich, Germany

Abstract: This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shanghai Stock Exchange. Furthermore, the analysis reveals that volatility is persistent in both exchange markets and resembles the same movement in returns. Consistent with most stock return studies, we find that movements of both markets seem to take a similar trajectory.

Keywords: GARCH; ARCH effect; JSE index; Shanghai Stock Exchange Composite Index (search for similar items in EconPapers)
JEL-codes: G0 G1 G10 G17 (search for similar items in EconPapers)
Date: 2016-12
New Economics Papers: this item is included in nep-fmk and nep-tra
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Citations: View citations in EconPapers (3)

Published in Journal of Economics and Behavioral Studies 6.8(2016): pp. 237-245

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Related works:
Journal Article: Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:77355

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