Bonga-Bonga, Lumengo; Maake, Tebogo - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13
This paper investigates the extent of volatility or risk spillovers between the currency carry trade and asset markets, namely the equity and bond markets, in South Africa to infer the extent of the connectivity between the two markets. The carry trade operation examined in this paper involves...