Sanusi, Kazeem Abimbola; Mingiri, Kapingura Forget - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-18
The study examines the dynamics between oil price, exchange rate, and stock market performance in South Africa using DCC-GARCH, time-varying VAR, and multivariate Markov regime switching models. Monthly data on oil price, exchange rate, and market capitalization as a measure of stock performance...