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Returns Correlation Structure and Volatility Spillovers Among the Major African Stock Markets
Kambadza, Tinashe Harry Dumile; Chinzara, Zivanemoyo - Economic Research Southern Africa (ERSA) - 2012
The paper analyses the structure of returns comovements and the volatility spillovers among the African stock markets using daily data for the period 2000-2010. We particularly focus on two issues: whether the stock markets of countries with close trading and financial links are more...
Persistent link: https://www.econbiz.de/10010559470
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Dynamic Returns Linkages and Volatility Transmission between South African and World Major Stock Markets
Chinzara, Z.; Aziakpono, M.J. - Economic Research Southern Africa (ERSA) - 2009
, China and the US showing most influence on SA returns and volatility. Volatility was found to be inherently asymmetric but …
Persistent link: https://www.econbiz.de/10008563317
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The Cape of Perfect Storms: Colonial Africa’s first financial crash, 1788-1793
Havemann, Roy; Fourie, Johan - Economic Research Southern Africa (ERSA) - 2015
This paper investigates the causes and consequences of colonial Africa’s first financial crash, which happened in South Africa’s Dutch Cape Colony. The 1788–1793 crisis followed a common sequence of events: trade and fiscal deficits were monetized by printing money, credit...
Persistent link: https://www.econbiz.de/10011265449
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Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market
Pretorius, Anmar; Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2014
This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and...
Persistent link: https://www.econbiz.de/10010885328
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Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets
Duncan, Andrew Stuart; Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2011
This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling...
Persistent link: https://www.econbiz.de/10009358927
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The Price of Risk on the JSE
Samouilhan, Nick - Economic Research Southern Africa (ERSA) - 2007
This paper investigates domestic risk-return behaviour by focussing on the intertemporal relationship between the conditional domestic equity market premium, its conditional variance and its conditional covariance with the international equity market. The paper finds that the domestic equity...
Persistent link: https://www.econbiz.de/10008594422
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The Rand as a Carry Trade Target: Risk, Returns and Policy Implications
Hassan, Shakill; Smith, Sean - Economic Research Southern Africa (ERSA) - 2011
We analyze the returns to targeting the Australian, New Zealand, and South African currencies, through Japanese yen-funded speculation - with a particular focus on the South African rand, for which the carry trade is often seen as a source of exchange rate volatility. Targeting the rand through...
Persistent link: https://www.econbiz.de/10009274557
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Financial Structure and Economic Development in Africa
Mahonye, Nyasha; Ojah, Kalu - Economic Research Southern Africa (ERSA) - 2014
This paper explores the relationship between economic development and financial structure: that is, whether the degree of financial system structure matter for pace and character of economic development in 15 African countries for the period of 1995 to 2011. The paper utilizes the fixed effect...
Persistent link: https://www.econbiz.de/10011106591
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The Relationship Between International Equity Market Behaviour and the JSE
Samouilhan, Nick - Economic Research Southern Africa (ERSA) - 2006
This paper investigates empirically the relationship between domestic and international market returns and volatilities, using the London Stock Exchange as the international market proxy. In order to address problems of widely differing bourse composition, the relationships are tested at both...
Persistent link: https://www.econbiz.de/10008563273
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Competition, Industrial structure and Economic Growth
Fedderke, J.W. - Economic Research Southern Africa (ERSA) - 2013
India. A stark contrast emerges between China, with low mark-ups of price over marginal cost of production, and South Africa … African industry. The South African findings are contrasted with recent results derived from firm-level data from China and … and India with high mark-ups. Given the impact of pricing power on productivity growth, we show that lack of competitive …
Persistent link: https://www.econbiz.de/10010610286