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