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
Exchange rate pass‐through to import prices in South Africa: is there asymmetry?
- Karoro, Tapiwa D, Aziakpono, Meshach J, Cattaneo, Nicolette S
- Authors: Karoro, Tapiwa D , Aziakpono, Meshach J , Cattaneo, Nicolette S
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469753 , vital:77291 , https://doi.org/10.1111/j.1813-6982.2009.01216.x
- Description: This paper examines the magnitude and speed of exchange rate pass‐through (ERPT) to import prices in South Africa. It further explores whether the direction and size of changes in the exchange rate have different pass‐through effects on import prices, i.e. whether the exchange rate pass‐through is symmetric or asymmetric. The findings of the study suggest that ERPT in South Africa is incomplete but relatively high. Furthermore, ERPT is found to be higher in periods of rand depreciation than appreciation, which supports the binding quantity constraint theory. There is also evidence to suggest that pass‐through is slightly higher in periods of small changes than large changes in the exchange rate in harmony with the menu cost theory when the invoices are denominated in the exporters' currency.
- Full Text:
- Date Issued: 2009
- Authors: Karoro, Tapiwa D , Aziakpono, Meshach J , Cattaneo, Nicolette S
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469753 , vital:77291 , https://doi.org/10.1111/j.1813-6982.2009.01216.x
- Description: This paper examines the magnitude and speed of exchange rate pass‐through (ERPT) to import prices in South Africa. It further explores whether the direction and size of changes in the exchange rate have different pass‐through effects on import prices, i.e. whether the exchange rate pass‐through is symmetric or asymmetric. The findings of the study suggest that ERPT in South Africa is incomplete but relatively high. Furthermore, ERPT is found to be higher in periods of rand depreciation than appreciation, which supports the binding quantity constraint theory. There is also evidence to suggest that pass‐through is slightly higher in periods of small changes than large changes in the exchange rate in harmony with the menu cost theory when the invoices are denominated in the exporters' currency.
- 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
Is financial integration a complement or substitute to domestic financial development in a developing country? Evidence from the SACU countries
- Aziakpono, Meshach J, Burger, P, Du Plessis, S
- Authors: Aziakpono, Meshach J , Burger, P , Du Plessis, S
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469731 , vital:77289 , https://hdl.handle.net/10520/EJC21490
- Description: Using a multivariate cointegration and error correction modelling framework, with data from the SACU countries, this paper tested two rival theories on the effect of financial integration (FI), that is whether FI is a complement or a substitute to financial development (FD). Financial integration is a complement where it helps to boost domestic FD through greater competitive pressures on financial intermediaries, and encourage international good practices in accounting, financial regulation and supervision. It is a substitute where FI renders the local financial system irrelevant or causes it to deteriorate. Overall, the empirical analysis finds strong evidence of a long-run relationship between FD and FI across the SACU countries. The results show that causality runs in both directions between FD and FI across the SACU countries with the exception of Lesotho where the causality runs mainly from FI to FD. No consistent effect of FI on FD (or the reverse) emerged from the empirical results in this sample. The results were also affected by the measurements used for the capital stock and FD. These results do not support any one-size-fits-all policy approach to stimulating FD or harnessing the benefits of FI, rather, they suggest that country specific aspects of the financial system should be paramount when analysing the impact of FI on FD.
- Full Text:
- Date Issued: 2009
- Authors: Aziakpono, Meshach J , Burger, P , Du Plessis, S
- Date: 2009
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/469731 , vital:77289 , https://hdl.handle.net/10520/EJC21490
- Description: Using a multivariate cointegration and error correction modelling framework, with data from the SACU countries, this paper tested two rival theories on the effect of financial integration (FI), that is whether FI is a complement or a substitute to financial development (FD). Financial integration is a complement where it helps to boost domestic FD through greater competitive pressures on financial intermediaries, and encourage international good practices in accounting, financial regulation and supervision. It is a substitute where FI renders the local financial system irrelevant or causes it to deteriorate. Overall, the empirical analysis finds strong evidence of a long-run relationship between FD and FI across the SACU countries. The results show that causality runs in both directions between FD and FI across the SACU countries with the exception of Lesotho where the causality runs mainly from FI to FD. No consistent effect of FI on FD (or the reverse) emerged from the empirical results in this sample. The results were also affected by the measurements used for the capital stock and FD. These results do not support any one-size-fits-all policy approach to stimulating FD or harnessing the benefits of FI, rather, they suggest that country specific aspects of the financial system should be paramount when analysing the impact of FI on FD.
- Full Text:
- Date Issued: 2009
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