Volatility spill-over between the JS']JSE/FTSE indices and the South African Rand

被引：9

作者：

Oberholzer, Niel ^{[1
]}

von Boetticher, Sven T. ^{[1
]}

机构：

[1] Univ Johannesburg, Dept Finance & Investment Management, Auckland Pk, ZA-2006 Johannesburg, South Africa

来源：

INTERNATIONAL CONFERENCE ON APPLIED ECONOMICS (ICOAE) 2015 | 2015年 / 24卷

关键词：

GARCH (1,1); CCC-GARCH; Rand; !text type='JS']JS[!/text]E; !text type='JS']JS[!/text]E/FTSE All Share Index (J203); !text type='JS']JS[!/text]E/FTSE Top 40 Index (J200); !text type='JS']JS[!/text]E/FTSE Small Cap Index (J202); !text type='JS']JS[!/text]E/FTSE Mid Cap Index (J201); !text type='JS']JS[!/text]E/FTSE Fledgling Index (J204);

D O I：

10.1016/S2212-5671(15)00618-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper the inter-market relationship between the South African Rand and the 5 main indices of the Johannesburg Stock Exchange was investigated. The dataset used in this paper was the daily closing values, from January 2002 to end September 2014. A multivariate CCC-GARCH (1,1) model was used to test the spill-over effects and the impact of shocks into both market. The Rand is more volatile to market shocks compared to the JSE/FTSE's All Share Index (J203), Top 40 Index (J200), Midcap Index (J201), but less volatile to market shocks than JSE/FTSE's Small Cap Index (J202) and Fledgling Index (J204). (C) 2015 The Authors. Published by Elsevier B.V.

引用

页码：501 / 510

页数：10

共 41 条

[1] Relationships between soft commodities, the FTSE/JS']JSE Top 40 Index and the South African Rand
le Roux, Corlise
[J]. INTERNATIONAL CONFERENCE ON APPLIED ECONOMICS (ICOAE) 2015, 2015, 24 : 353 - 362
[2] Univariate GARCH models applied to the JS']JSE/FTSE stock indices
Oberholzer, Niel
Venter, Pierre
[J]. INTERNATIONAL CONFERENCE ON APPLIED ECONOMICS (ICOAE) 2015, 2015, 24 : 491 - 500
[3] MEASURING SPILL-OVER EFFECTS OF FOREIGN MARKETS ON THE JS']JSE BEFORE, DURING AND AFTER INTERNATIONAL FINANCIAL CRISES
Heymans, Andre
da Camara, Ricardo
[J]. SOUTH AFRICAN JOURNAL OF ECONOMIC AND MANAGEMENT SCIENCES, 2013, 16 (04): : 418 - 434
[4] Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices
Badshah, Ihsan Ullah
Frijns, Bart
Tourani-Rad, Alireza
[J]. JOURNAL OF FUTURES MARKETS, 2013, 33 (06) : 555 - 572
[5] Agricultural price volatility spill-over effects: a comment
Kostov, P
McErlean, S
[J]. EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS, 2004, 31 (04) : 481 - 485
[6] Agricultural price volatility spill-over effects: reply
Apergis, N
Rezitis, A
[J]. EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS, 2004, 31 (04) : 487 - 488
[7] A comparison of the performance of the FTSE South Africa Islamic Index to the conventional market (JS']JSE) in South Africa
Dhai, Riaz
[J]. SOUTH AFRICAN JOURNAL OF ACCOUNTING RESEARCH, 2015, 29 (02) : 101 - 114
[8] Derivatives Trading and Volatility Spill-Over: Evidence from a Developing Derivatives Market
Muhammad, Junaina
Bany-Ariffin, A. N.
Yahya, M. H.
[J]. PERTANIKA JOURNAL OF SOCIAL SCIENCE AND HUMANITIES, 2013, 21 : 57 - 69
[9] Intraday return and volatility spill-over across international copper futures markets
Lien, Donald
Yang, Li
[J]. INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2009, 5 (01) : 135 - +
[10] Effect of exchange rate return on volatility spill-over across trading regions
Galagedera, Don U. A.
Kitamura, Yoshihiro
[J]. JAPAN AND THE WORLD ECONOMY, 2012, 24 (04) : 254 - 265

← 1 2 3 4 5 →