Dynamic returns linkages and volatility transmission between South African and world major stock markets

@inproceedings{Chinzara2009DynamicRL,
  title={Dynamic returns linkages and volatility transmission between South African and world major stock markets},
  author={Zivanemoyo Chinzara and Meshach Jesse Aziakpono},
  year={2009}
}
This paper analyses returns and volatility linkages between the South African (SA) equity market and the world major equity markets using daily data for the period 199-2007. Also analysed is the nature of volatility, the long term trend of volatility and the risk-premium hypothesis. The univariate GARCH and multivariate Vector Autoregressive models are used. Results show that both returns and volatility linkages exist between the SA and the major world stock markets, with Australia, China and… CONTINUE READING

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