This paper uses the autoregressive conditional heteroscedastic (ARCH) and general ARCH (GARCH) models to investigate the impact of the real exchange rate volatility on South Africa's export to its largest, single-nation trading partner - the United States (U.S). The results indicate that volatility of the Rand's real exchange rate exerts a significant and negative effect on exports in both the long and short-run while decline in real exchange rates has a positive impact on exporting activity. Therefore, stable competitive exchange rate and sound macroeconomic fundamentals that enhance international competitiveness are necessary to ensure greater market penetration of South Africa's export.
This paper decomposes nominal exchange rate volatility into permanent and transitory components to study the impact of the short-run business cycle on the conditional volatility of daily exchange rates in South Africa over the period 1990 to 2001. It also examines exchange rate volatility spillovers across the South African currency markets. The results indicate that: (1) the short-run business cycle components have a significant impact on the daily exchange rates; (2) the permanent component of the exchange rate volatility is time-varying (persistent); (3) the permanent component dominates the transitory component as forecasting period is extended into the future; (4) there is evidence of reciprocal volatility spillovers among the exchange rate markets; (5) there is one common trend for the European currencies and a separate one for the U.S. dollar and the Japanese Yen; The results raise the issue of the presence of transitory components in exchange rate volatility and invites further research into the nature of their global volatility trends.
From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock's pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper chronologically presents arguments in favour of the internet as one such medium. The internet has also enabled the transmission and archiving of bulky information in a ready-to-use format. And abnormal returns are now quickly observed and arbitraged away to non-existence. Using correlation analysis, we find a positive relationship between the internet and some stock market development indicators.