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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:The relationship between international equity market behaviour and the JSE
Author:Samouilhan, N.L.ISNI
Year:2006
Periodical:South African Journal of Economics
Volume:74
Issue:2
Pages:248-260
Language:English
Geographic term:South Africa
Subjects:financial market
investment returns
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2006.00063.x/pdf
Abstract:One of the factors that is said to be important to the Johannesburg Security Exchange (JSE), and the subject of this paper, is the performance of the international equity market. This hypothesised link (or association) of foreign equity returns and volatility with the JSE is widely held to be fact. This paper investigates empirically the existence and extent of this association between foreign equity markets and the JSE. Specifically, it estimates to what extent market returns and volatility on the JSE are associated with international market returns and volatility, using the London Stock Exchange (LSE) as a proxy for the international market. In order to address problems of widely differing bourse composition, the relationships are tested at both the broad bourse index level and the sectoral sub-indices level. The paper finds evidence of a positive relationship between foreign returns and domestic returns and, in addition, between foreign volatility and domestic volatility. For most sectors, the main association period is during the same concurrent trading day, although there are additional significant lags present in most of the series. Strong evidence is also found that the magnitude of volatility on the JSE and most of its sub-indices reacts far more to negative shocks than it does to positive shocks. Bibliogr., notes, ref., sum. [Journal abstract, edited]
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