Dynamic volatility behaviour of stock markets in southern Africa
Journal of Economic and Financial Sciences
| Field | Value | |
| Title | Dynamic volatility behaviour of stock markets in southern Africa | |
| Creator | Mashamba, Tafirei Magweva, Rabson | |
| Description | Orientation: The behaviour of stock market return volatility and implications thereof in Southern African Development Committee (SADC).Research purpose: The main aim of this study was to examine leverage effects and volatility persistence in selected southern African stock markets.Motivation for the study: To examine the volatility of stock markets in SADC which has implications on investment risk.Research approach, design and method: The study adopted exponential generalised autoregressive conditional heteroscedasticity (1.1) model using generalised error distribution and Student’s t-distribution.Main findings: Leverage effects were evidenced in Namibia and South Africa. Other nations reflected mixed results depending on the error distribution assumed. Volatility persistence was noted in all nations save for Malawi.Practical/managerial implications: Investors in Namibia and South Africa are encouraged to include leverage effects in portfolio optimisation and value-at-risk computations. Firms raising funds in these nations should be prepared to incur a risk premium as compensation to creditors for assuming high risk. As such raising capital in such nations is expected to be expensive and difficult coupled by market illiquidity, other things being equal. Except for Malawi, firms operating in other SADC nations are encouraged to hedge their operations as the level of stock market volatility is persistent and notable.Contribution/value-add: The study focused on countries that are excluded from recent studies using current models of volatility. A comparison is therefore possible at country level and using two different error distribution assumptions which concretise the results. | |
| Publisher | AOSIS | |
| Date | 2019-03-18 | |
| Identifier | 10.4102/jef.v12i1.396 | |
| Source | Journal of Economic and Financial Sciences; Vol 12, No 1 (2019); 8 pages 2312-2803 1995-7076 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://jefjournal.org.za/index.php/jef/article/view/396/595
https://jefjournal.org.za/index.php/jef/article/view/396/594
https://jefjournal.org.za/index.php/jef/article/view/396/596
https://jefjournal.org.za/index.php/jef/article/view/396/593
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