Stock market volatility using GARCH models: Evidence from South Africa and China stock markets.

Stock market volatility using GARCH models: Evidence from South Africa and China stock markets - Munich Personal RePEc Archive

Journal of Economics and Behavioral Studies , Vol. This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. The sample period is from January to October Empirical results show evidence of high volatility in both the JSE market, and the Shanghai Stock Exchange.

Furthermore, the analysis reveals that volatility is persistent in both exchange markets and resembles the same movement in returns. Consistent with most stock return studies, we find that movements of both markets seem to take a similar trajectory.

Testing the empirical performance of stochastic volatility models of the short-term interest rate, Journal of Financial and Quantitative Analysis, 35 2 , Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13, Generalized Autoregressive Conditional Heteroskedasticity.

Journal of Econometrics , 31 3 , — Studies of Stock Price Volatility Changes, Proceedings of the Business and Economics Section of the American Statistical Association, — Journal of Finance, 51, Economic Forces and the Stock Market.

Journal of Business, 59, Non-Linearity Behaviour of the ALBI Index: A Case of Johannesburg Stock Exchange in South Africa. Mediterranean Journal of Social Sciences, 5 9 , Dynamic returns linkages and volatility transmission between South African and world major stocks markets. Studies in Economics and Econometrics, 33 3 , The Behaviour of Currencies during Risk-off Episodes.

Journal of International Money and Finance, 53, The Price and Volatility Transmission of International Financial Crises to the South African Equity Market. Master Dissertation, North-West University. Volatility spillovers across South African asset classes during domestic and foreign financial crises.

Economic Research Southern Africa, Working Paper Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation". Stock returns, Expected Returns, and Real Activity. Journal of Finance, The use of GARCH models for the calculation of Minimum Capital Risk Requirements: International Journal of Managerial Finance, 3 4 , Forecasting stock market volatility using non-linear GARCH models.

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Journal of Forecast, 15, — An empirical examination of stability, predictability, and volatility of Middle Eastern and African emerging stock markets. Review of Middle Economics and Finance, 2 1 , Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa.

Economic Systems, 27, Stock Markets, Growth, and Tax Policy. Journal of Finance, 46 4 , A GARCH Model Approach to Capital Market Volatility: The Case of India.

Volatility in Indian Stock MarketsJournal of Emerging Market Finance - R. Krishnan, Conan Mukherjee,

Indian Journal of Economics and Business, 9 3 , An analysis of asymmetry in the conditional mean returns: Evidence from three sub-Saharan Africa emerging equity markets.

The African Finance Journal, 4 1 , Evidence from GARCH and Asymmetric Models.

International Review of Business Research Papers, 5 3 , Stock market volatility-An International Comparison, Securities and Exchange Board of India. The Relationship between International Equity Market Behaviour and the JSE. South African Journal of Economics, 74 2 , Forecasting Volatility on the Johannesburg Stock Exchange. Investment Analysts Journal, 67, Stock Returns and Volatility in Emerging Markets. International Journal of Business and Economics, 4 1 , Home Browse Search FAQ About Help.

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Reproduction and distribution subject to the approval of the copyright owners. MPRA is a RePEc service hosted by the Munich University Library in Germany. The first 2 weeks of April Investment Analysts Journal, 67, Shin, J.