Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets

Zivanemoyo Chinzara () and Meshach Aziakpono

Studies in Economics and Econometrics, 2009, vol. 33, issue 3, 69-94

Abstract: This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 1995-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk-premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but reasonably stable over time in all the stock markets studied, and no significant evidence was found in support for the risk-premium hypothesis.

Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2009.12106473 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:rseexx:v:33:y:2009:i:3:p:69-94

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2009.12106473

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().