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.
Please read full article –https://globalpresshub.com/index.php/AJEFM/
Keywords: Macroeconomic, foreign exchange, financial market,
investment, capital market
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