Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa

Sikhosana, Ayanda; Aye, Goodness Chioma

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dc.contributor.author	Sikhosana, Ayanda
dc.contributor.author	Aye, Goodness Chioma
dc.date.accessioned	2018-11-12T07:14:09Z
dc.date.issued	2018-12
dc.description.abstract	This paper analyses the asymmetric volatility spillovers between the real exchange rate and stock returns in South Africa. A Multivariate Exponential Generalised Autoregressive Conditionally Heteroskedastic (EGARCH) model alongside other asymmetric GARCH models (GJR GARCH and APARCH) were estimated using monthly data from 1996 to 2016 to examine the relationship. The results show that there is a bi-directional volatility spillover effect between the two markets in the short-run. Also these effects are asymmetric. These findings suggest that while information in one market can be used to forecast changes in the other, these financial assets should not be included in the same portfolio when diversifying risk.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2019-12-01
dc.description.librarian	hj2018	en_ZA
dc.description.uri	https://www.elsevier.com/locate/eap	en_ZA
dc.identifier.citation	Sikhosana, A. & Aye, G.C. 2018, 'Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa', Economic Analysis and Policy, vol. 60, pp. 1-8.	en_ZA
dc.identifier.issn	0313-5926
dc.identifier.other	10.1016/j.eap.2018.08.002
dc.identifier.uri	http://hdl.handle.net/2263/67176
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2018 Published by Elsevier B.V. on behalf of Economic Society of Australia, Queensland. Notice : this is the author’s version of a work that was accepted for publication in Economic Analysis and Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economic Analysis and Policy, vol. 60, pp. 1-8, 2018, doi : 10.1016/j.eap.2018.08.002.	en_ZA
dc.subject	Asymmetry	en_ZA
dc.subject	Exchange rates	en_ZA
dc.subject	Risk	en_ZA
dc.subject	Stock market	en_ZA
dc.subject	Volatility	en_ZA
dc.title	Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa	en_ZA
dc.type	Postprint Article	en_ZA