- Title
- The impact of unanticipated news announcements by the US Federal Reserve On South African stock returns
- Creator
- Sibanda, Lorna
- ThesisAdvisor
- Stuart, Rob
- ThesisAdvisor
- Keeton, Gavin
- Subject
- Monetary policy -- United States
- Subject
- International finance
- Subject
- South Africa -- Foreign economic relations -- United States
- Subject
- United States -- Foreign economic relations -- South Africa
- Subject
- Banks of issue -- United States
- Subject
- Investments -- South Africa
- Subject
- Stocks -- Prices -- South Africa
- Subject
- Stocks -- Rate of return
- Subject
- Rate of return -- South Africa
- Date
- 2019
- Type
- text
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- http://hdl.handle.net/10962/94703
- Identifier
- vital:31070
- Description
- This thesis analyses whether monetary policy announcement shocks are transmitted across countries, with special emphasis on the impact of US Federal Reserve announcements on the South African stock market. Monetary policy is an important source of economic news and affects the risk perceptions of market participants. This study will improve the understanding of stock price determinants and possibly influence SA monetary policy in guarding against possible shocks originating from abroad. Using Federal Reserve Open Market Committee (FOMC) announcements over the period 2008 – 2014, the research studied changes in volatility of the South African FTSE/JSE All Share Index returns over this period. An event study and GARCH model approach was adopted to reach the goals of the analysis. The findings were a statistically insignificant connection between SA stock returns and both anticipated and unanticipated US Federal Reserve announcements. Over the sample period, each shock to SA stock returns persisted for approximately 4-5 months. Although SA stock return volatility demonstrated clustering behaviour (indicating sensitivity to economic shocks), the research could not find an obvious relationship between these spikes in volatility and US Federal Reserve announcements. It is concluded that South African stock returns do not change in response to unexpected US monetary policy announcements.
- Format
- 114 pages, pdf
- Publisher
- Rhodes University, Faculty of Commerce, Economics and Economic History
- Language
- English
- Rights
- Sibanda, Lorna
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Collections
RU Department of Economics and Economic History
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | SIBANDA-MCom-TR19-127.pdf | 1 MB | Adobe Acrobat PDF | View Details Download |