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The Relationship Between International Equity Market Behaviour and the JSE

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  • Nick Samouilhan

Abstract

This paper investigates empirically the relationship between domestic and international market returns and volatilities, using the London Stock Exchange as the international market proxy. In order to address problems of widely differing bourse composition, the relationships are tested at both the broad bourse index level and the sectoral sub-indices level. The paper finds significant evidence […]

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  • Nick Samouilhan, 2006. "The Relationship Between International Equity Market Behaviour and the JSE," Working Papers 042, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:042
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    More about this item

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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