Monetary policy, structural breaks and JS']JSE returns

This study investigated the effects of monetary policy on JSE portfolios using a GARCH(1,1) framework. Results for the period 1990 - 2009 were compared with those based on four sub-periods. The analysis shows that discount rate changes are important in describing mean returns and return volatilities. The significance of these effects varies during different states of the economy; according to the definition of the market portfolio; and depending on whether or not the asymmetric effects of monetary policy changes are modelled. The effects of positive and negative policy changes are somewhat asymmetric on the JSE.