ARTÍCULO
TITULO

Dynamic volatility behaviour of stock markets in southern Africa

Tafirei Mashamba    
Rabson Magweva    

Resumen

AbstractOrientation: 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.

 Artículos similares

       
 
Yi-Chang Chen, Hung-Che Wu, Yuanyuan Zhang and Shih-Ming Kuo    
The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that... ver más

 
John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi    
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp... ver más

 
Salma Zaiane,Rabeb Jrad     Pág. 245 - 254
The paper investigates the dynamic linkages between exchange rate (against US dollar) and the stock market (local currency) of Tunisia from January 2004 to April 2017. In particular, the paper tries to answer if there are any correlations between these v... ver más

 
Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos     Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (... ver más

 
Nidhi Malhotra,Saumya Gupta     Pág. 208 - 215
Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensabl... ver más