Dynamic returns linkages and volatility transmission between South African and world major stock markets
- Chinzara, Zivanemoyo, Aziakpono, Meshach J
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469698 , vital:77279 , https://hdl.handle.net/10520/EJC21489
- Description: This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 1995-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but reasonably stable over time in all the stock markets studied, and no significant evidence was found in support for the risk premium hypothesis.
- Full Text:
- Date Issued: 2009
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469698 , vital:77279 , https://hdl.handle.net/10520/EJC21489
- Description: This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 1995-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but reasonably stable over time in all the stock markets studied, and no significant evidence was found in support for the risk premium hypothesis.
- Full Text:
- Date Issued: 2009
Integration of the South African equity market into the world major stock markets: implication for portfolio diversification
- Chinzara, Zivanemoyo, Aziakpono, Meshach J
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469889 , vital:77305 , https://hdl.handle.net/10520/EJC33719
- Description: The paper investigates whether there are any benefits from international equity diversification for South African long term investors using daily stock market indices for seven world stock markets for the period 1995-2008. Firstly, pairwise portfolios are tested for long-run comovement using the bivariate cointegration approach. Wider portfolios are then tested for long-run comovement using the multivariate cointegration based on the Johansen and Juselius (1992) approach. While no bivariate cointegration exists between the South Africa and each of the selected world major equity markets for the entire 1995-2008, cointegration exist with US if a dummy is included. Multivariate cointegration analysis suggests that long-run comovement exists for some of the wider portfolios with most of long-run coefficients being negative. Overall, our findings show that integration of SA to the major world markets is weak suggesting that international portfolio diversification is potentially worthwhile for South African investors.
- Full Text:
- Date Issued: 2009
- Authors: Chinzara, Zivanemoyo , Aziakpono, Meshach J
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469889 , vital:77305 , https://hdl.handle.net/10520/EJC33719
- Description: The paper investigates whether there are any benefits from international equity diversification for South African long term investors using daily stock market indices for seven world stock markets for the period 1995-2008. Firstly, pairwise portfolios are tested for long-run comovement using the bivariate cointegration approach. Wider portfolios are then tested for long-run comovement using the multivariate cointegration based on the Johansen and Juselius (1992) approach. While no bivariate cointegration exists between the South Africa and each of the selected world major equity markets for the entire 1995-2008, cointegration exist with US if a dummy is included. Multivariate cointegration analysis suggests that long-run comovement exists for some of the wider portfolios with most of long-run coefficients being negative. Overall, our findings show that integration of SA to the major world markets is weak suggesting that international portfolio diversification is potentially worthwhile for South African investors.
- Full Text:
- Date Issued: 2009
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