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    Measuring spill–over effects of foreign markets on the JSE before, during and after international financial crises

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    SAJEMS-2013-16-418.pdf (962.1Kb)
    Date
    2013
    Author
    Heymans, André
    Da Camara, Ricardo
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    Abstract
    There is a large body of research that proves the co-movement of international stock markets over time. This co-movement manifests through various instruments ranging from stocks and bonds, to soft commodities and can be visualised as returns and volatility spill-over effects. During the most recent financial crisis, it was once again highlighted that no market is immune to spill-over effects from other international markets. By employing an aggregate-shock (AS) model, returns and volatility spill-over effects of the Hang Seng, London, Paris, Frankfurt and New York stock markets to the JSE are confirmed. The findings also confirm the JSE All share index is directly affected through contagion by the returns of the economic area where the crisis originates. However, the results further confirm that South Africa has progressed in shielding its stock market against financial crises in recent times. These findings hold important implications for stock portfolio managers in South Africa
    URI
    http://hdl.handle.net/10394/16536
    http://sajems.org/index.php/sajems/article/view/384
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    • Faculty of Economic and Management Sciences [1428]

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