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

Meshach Aziakpono () and Zivanemoyo Chinzara
Authors registered in the RePEc Author Service: John Manuel Luiz

No 146, Working Papers from Economic Research Southern Africa

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 199-2007. 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 […]

JEL-codes: C32 F3 G15 (search for similar items in EconPapers)
Date: 2009-09-01
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Citations: View citations in EconPapers (15)

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