Volatility spillovers in equity and foreign exchange markets: Evidence from emerging economies
- Nyopa, Tšepiso, Khumalo, Sibanisezwe A
- Authors: Nyopa, Tšepiso , Khumalo, Sibanisezwe A
- Date: 2022
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/470666 , vital:77383 , https://journals.co.za/doi/full/10.4102/jef.v15i1.713
- Description: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS). This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies. The literature mainly focused on volatility transmission from developed countries. This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.
- Full Text:
- Date Issued: 2022
- Authors: Nyopa, Tšepiso , Khumalo, Sibanisezwe A
- Date: 2022
- Subjects: To be catalogued
- Language: English
- Type: text , article
- Identifier: http://hdl.handle.net/10962/470666 , vital:77383 , https://journals.co.za/doi/full/10.4102/jef.v15i1.713
- Description: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS). This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies. The literature mainly focused on volatility transmission from developed countries. This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.
- Full Text:
- Date Issued: 2022
Volatility spillovers and determinants of contagion: a case of BRICS equity and foreign exchange markets
- Authors: Nyopa, Tšepiso
- Date: 2020
- Subjects: Uncatalogued
- Language: English
- Type: thesis , text , Masters , MCOM
- Identifier: http://hdl.handle.net/10962/164590 , vital:41146
- Description: Thesis (MSc)--Rhodes University, Faculty of Commerce, Economics and Economic History, 2020
- Full Text:
- Date Issued: 2020
- Authors: Nyopa, Tšepiso
- Date: 2020
- Subjects: Uncatalogued
- Language: English
- Type: thesis , text , Masters , MCOM
- Identifier: http://hdl.handle.net/10962/164590 , vital:41146
- Description: Thesis (MSc)--Rhodes University, Faculty of Commerce, Economics and Economic History, 2020
- Full Text:
- Date Issued: 2020
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