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

dc.contributor.authorSikhosana, Ayanda
dc.contributor.authorAye, Goodness Chioma
dc.date.accessioned2018-11-12T07:14:09Z
dc.date.issued2018-12
dc.description.abstractThis 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.departmentEconomicsen_ZA
dc.description.embargo2019-12-01
dc.description.librarianhj2018en_ZA
dc.description.urihttps://www.elsevier.com/locate/eapen_ZA
dc.identifier.citationSikhosana, 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.issn0313-5926
dc.identifier.other10.1016/j.eap.2018.08.002
dc.identifier.urihttp://hdl.handle.net/2263/67176
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectAsymmetryen_ZA
dc.subjectExchange ratesen_ZA
dc.subjectRisken_ZA
dc.subjectStock marketen_ZA
dc.subjectVolatilityen_ZA
dc.titleAsymmetric volatility transmission between the real exchange rate and stock returns in South Africaen_ZA
dc.typePostprint Articleen_ZA

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