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Volatility dynamics in African equity markets during financial crises

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dc.contributor.advisor Dr. A.S. Duncan en_US
dc.contributor.author Mattes, Jason
dc.date.accessioned 2012-11-05T14:49:46Z
dc.date.available 2012-11-05T14:49:46Z
dc.date.issued 2012-11-05
dc.date.submitted 2012
dc.identifier.uri http://hdl.handle.net/10210/8100
dc.description M.Comm. en_US
dc.description.abstract The focus of this paper is on volatility dynamics in five African stock markets. Special emphasis is placed on five crisis periods that occur between 1 January 1997 and 22 October 2010. Rollingwindow bivariate diagonal-BEKK GARCH models are run between the African markets and markets taken as the sources of the crises from the start of the 14-year period until its end. It is found that while African volatility is persistent and volatility linkages exist between the five markets and the overseas markets, some of the effects of the crises are dominated by non-crisis period volatility dynamics and spillovers as well as domestic influences. This is especially the case for volatility persistence, unconditional volatility and the own- and cross-GARCH effects. The crisis that has the strongest impact on the volatility of the five African markets is the Credit Crisis, thus not providing support for the theory of emerging markets “decoupling” from the U.S. en_US
dc.language.iso en en_US
dc.subject Financial crises en_US
dc.subject Stock exchanges en_US
dc.subject Volatility dynamics en_US
dc.subject Capital assets pricing model
dc.title Volatility dynamics in African equity markets during financial crises en_US
dc.type Mini-Dissertation en_US

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