Volatility Spill-over between the JSE/FTSE Indices and the South African Rand

Oberholzer, Niel; Boetticher, Sven T. von

doi:10.1016/s2212-5671(15)00618-8

Cited by 13 publications

(9 citation statements)

References 18 publications

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“…However, the volatility of the exchange rate has a statistically significant impact on the volatility of stock prices. This finding is consistent with that of Oberholzer and von Boetticher (2015). Further, negative shocks to the exchange rate increase the volatility of stock prices more than positive shocks of the same magnitude, implying that the effect is asymmetric (Engle and Patton, 2001).…”

Section: Resultssupporting

confidence: 86%

“…As far as South Africa is concerned, the few studies that exist include those of Bonga-Bonga (2013), Kuma (2013), Oberholzer and von Boetticher (2015). These studies analysed the relationship by assuming that the spillover effects are symmetric, meaning that the effect of positive and negative volatility shocks from one market to the other are similar.…”

Section: Introductionmentioning

confidence: 99%

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

Sikhosana

Aye

2018

Economic Analysis and Policy

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This paper analyses the asymmetric volatility spillovers between the real exchange rate and stock returns in South Africa. A Multivariate Exponential Generalized 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.

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Section: Resultssupporting

confidence: 86%

Section: Introductionmentioning

confidence: 99%

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

Sikhosana

Aye

2018

Economic Analysis and Policy

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“…There are also number of studies of integration of foreign exchange market and stock market of developing countries (for example; Choi et al 2010;Kang and Yoon 2013;Mishra et al 2007;Morales 2008;O'Donnell and Morales 2009;Qayyum and Kamal 2006;Yang and Chang 2008). There are also some studies for emerging countries for instance (see, for examples; Adjasi et al 2008;Fedorova and Saleem 2009;Li and Majerowska 2008;Oberholzer and Boetticher 2015;Okpara and Odionye 2012;Walid et al 2011).…”

mentioning

confidence: 99%

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Jebran

Iqbal

2016

Financ Innov

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“…Countries with emerging markets (See Kumar, M (2013) for India, Brazil and South Africa, Kalemli-Ozcan et al (2010) and Ke et al (2010) for Saudi Arabia, Japan and Germany, Bala (2003) for Hong Kong and Japan. There are also some studies for emerging countries for instance (see, for examples; Adjasi et al (2008); Fedorova and Saleem (2010); Li and Majerowska (2008); Oberholzer and Boetticher (2015); Okpara and Odionye (2012); Walid et al 2011).…”

Section: Background and Significance Of The Studymentioning

confidence: 99%

Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

Mwambuli

Zhang

Kisava

2016

BER

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Volatility spillover effects between stock prices and exchange rates in emerging countries are a critical focus in the financial economics research arena. This paper focused to investigate the volatility spillover effects between stock prices and exchange rates of Istanbul stock exchange (ISE) by employing an exponential generalized autoregressive condition heteroskedasticity (EGARCH) model. The period of study covered 11 years (i.e. 2005 to 2015) inclusive a period of the global financial crises (i.e. from 2005 to 2009) which resulted out from subprime mortgage in United States of America (USA).Our results suggest an existence of short run relationship between stock prices and exchange rates in Istanbul stock exchange (ISE).This empirical evidence suggest that there is symmetric volatility spillover between stock prices and exchange rates of Istanbul stock exchange (ISE) for full sample employed as a result good and bad news has got a balanced effect to the market. The findings of the significant volatility spillover effects between exchange rates and stock prices suggest that, the markets are informationally efficient and one market exchange rate has significant predictive power of equal weight to another in case of two markets. Our study recommends investors and multinational firm managers to consider the general behaviour of the financial market before making decision whether to invest in or not since there is existence of relationship and volatility spillover between stock prices and exchange rates meanwhile economic policy makers both in Turkey and outside Turkey should consider these findings in their policy as one of the determinant to economic growth, as macroeconomic variable should be stable like exchange rates. Furthermore, this study may be extended after including of other variables which were not considered in this study like interest rate, inflation and agency theory.

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Volatility Spill-over between the JSE/FTSE Indices and the South African Rand

Cited by 13 publications

References 18 publications

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

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

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

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