Main Article Content
The present study analyses the volatility spillover of exchange rate on South African Stock Market. The Capital market of South Africa has yardstick of African markets. The economic factors are crucially impacting the returns of stock of South Africa. The study collected data from Johannesburg Stock Exchange (JSE) website and Exchange rate from www.resbank.co.za and used the monthly data available from May 2009 to May 2020. The paper employed the statistical tools such as descriptive statistics test, Augmented Dickey-Fuller test, Correlation, GRACH (Generalized Autoregressive Conditional Heteroskedasticity) model, Cointegration test and Granger Causality test. The major finding of this study described that changes in exchange rate were significant, and negative linkages influenced low on Johannesburg Stock Exchange (JSE). The presence of long run cointegration was the reason for the absence of causal effect during the study period. The study concluded that change or movement of exchange was negative and low and it would cause miniature impact on returns of Johannesburg Stock Exchange (JSE). The investors’ community should consider the movement of economic factor such as exchange rate for the long term which would agree concretely to go for the investment decision in African Capital Market. The policymaker could become more supportive to exports and export companies which bring stationary in stock market.
Hou Z, Keane J, Kennan J, te Velde DW. The oil price shock of 2014. Technical report, Working Paper. Overseas Development Institute, London, UK; 2015.
Stracca L. The global Effects of the Euro debt crisis. European Central Bank, Working Paper, 15; 2013.
Moolman E, Du Toit C. An econometric model of the South African stock market: economics. South African Journal of Economic and Management Sciences. 2005;8(1):77-91.
Mlambo C, Maredza A, Sibanda K. Effects of exchange rate volatility on the stock market: A case study of South Africa. Mediterranean Journal of Social Sciences. 2013;4(14):561.
Majumder SB, Nag RN. Return and volatility spillover between stock price and exchange rate: Indian evidence. International Journal of Economics and Business Research. 2015;10(4):326-40.
Abraham TW. Exchange rate policy and falling crude oil prices: Effect on the Nigerian stock market. CBN Journal of Applied Statistics. 2016;7(1):111-23.
Agrawal G, Srivastav AK, Srivastava A. A study of exchange rates movement and stock market volatility. International Journal of Business and Management. 2010;5(12):62.
Sichoongwe K. Effects of exchange rate volatility on the stock market: The Zambian experience. Journal of Economics and Sustainable Development. 2016;7(4):114-9.
Gatawa NM, Mahmud A. Impact of exchange rate fluctuations on agricultural Exports (Crops) in Nigeria. International Journal of Humanities and Social Science Invention. 2017;6(3):65-71.
Collins D, Biekpe N. Contagion and interdependence in African stock markets. South African Journal of Economics 2003; 71:181- 194.
Wang Z, Yang J, Bessler DA. Financial crisis and African stock market integration. Applied Economics Letters. 2003;10(9): 527-33.
Adjasi CK, Biekpe NB. Cointegration and dynamic causal links amongst African stock markets. Investment Management and Financial Innovations. 2006;3(4):102-19.
Boamah NA. Global Integration of African Stock Markets. 2013.
Available: SSRN 2313538
Mensah JO, Alagidede P. How are Africa's emerging stock markets related to advanced markets? Evidence from copulas. Economic Modelling. 2017;60:1-0.
Sugimoto K, Matsuki T, Yoshida Y. The global financial crisis: An analysis of the spillover effects on African stock markets. Emerging Markets Review. 2014;21:201-33.
Boako G, Alagidede P. Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains. Physica A: statistical mechanics and its applications. 2017;80: 359-468.
Boako G, Alagidede P. African stock markets in the midst of the global financial crisis: Recoupling or decoupling?. Research in International Business and Finance. 2018;46:166-80.
Bonga-Bonga L. Transmission of volatility shocks between the equity and foreign exchange markets in South Africa. 2013;29:1529‐1540.
Kumar M. Returns and volatility Spillover between stock prices and exchange rates: Empirical evidence from IBSA countries. International Journal of Emerging Markets. 2013;8(2):108-128.
Oberholzer N, von Boetticher ST. Volatility spill-over between the JSE/FTSE indices and the South African Rand. Procedia Economics and Finance. 2015;24:501-10.
Sikhosana A, Aye GC. Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. Economic Analysis and Policy. 2018;60:1-8.