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Analysis of Volatility transmission across South African Financial Markets

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  • Jaramba, Toddy
  • Fadiran, Gideon

Abstract

This paper analyses volatility transmission across four South African financial markets, using daily data for the period 2000-2009. These are the stock, bond, money and foreign exchange markets. The paper applies the TARCH procedure to the returns from the South African financial markets in order to estimate the cross-market volatility transmission. Results show that volatility transmission exists in South African financial markets on a weak form, with each market explaining its own volatility. The paper found transmission between stocks market and foreign exchange, and between foreign exchange and bond markets.

Suggested Citation

  • Jaramba, Toddy & Fadiran, Gideon, 2009. "Analysis of Volatility transmission across South African Financial Markets," MPRA Paper 77592, University Library of Munich, Germany, revised 16 Mar 2017.
    • Handle: RePEc:pra:mprapa:77592
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    References listed on IDEAS

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    1. repec:cup:cbooks:9781107034662 is not listed on IDEAS
    2. Dirk Hanekom & John M. Luiz, 2018. "The Impact of Multinational Enterprises on Public Governance Institutions in Areas of Limited Statehood," Working Papers 146, Economic Research Southern Africa.
    3. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
    4. Brooks,Chris, 2014. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781107661455, December.
    5. Sheng-Yung Yang & Shuh-Chyi Doong, 2004. "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 139-153, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GARCH; TARCH; EGARCH–in mean; Vector Autoregressive; Volatility transmission; financial markets.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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