Research: The SA stock market’s response to periods of instability 2

Our Research posts are about the latest academic research being done in the School of Economics. This week:

Comparing the South African stock market’s response to two periods of distinct instability – the 1997-98 East Asian and Russian crisis and the recent global financial crisis

by Anmar Pretorius and Jesse de Beer (UFS)Anmar foto

This paper compares the South African stock market’s response to two periods of distinct instability, namely the East Asian and Russian crisis of 1997-98 and the global financial crisis of 2007-09. Considering share prices, the Johannesburg Securities Exchange (JSE) was more severely affected by the earlier crisis, when the domestic fundamentals were weaker. The low levels of foreign reserves were the main cause of concern. The paper further empirically investigates volatility spillover between the JSE and various developed and emerging stock markets during the two crisis periods, employing twelve separate bi-variate GARCH models. The main contributors to volatility spillover during the East Asian and Russian crisis were Mexico, Thailand, Brazil and Germany – predominantly emerging markets. During the second crisis period, Germany, US, Brazil and UK played the dominant parts – predominantly developed markets. The importance of Germany in both periods can be attributed to the country’s role as main export destination of South African goods in Europe.

The paper has been published in The International Business and Economics Research Journal, 13(1). You can download the pdf here.

2 comments

  1. Pingback: Research round-up « Skool vir Ekonomie

  2. Pingback: 2014 blog round up « Skool vir Ekonomie

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