n Investment Analysts Journal - Macroeconomic effects on individual JSE Stocks : a GARCH representation

Volume 2009, Issue 69
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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A GARCH framework was invoked to investigate the effects of discount rate and gold price changes on individual stocks traded on the JSE Securities Exchange of South Africa. It was found that the discount rate was clearly important in describing the dynamics of mean returns, while gold price changes largely influenced return volatilities. The importance of both variables was bolstered when they were decomposed to capture asymmetric effects of news about them. In addition to supporting the hypothesis of symmetric effects, there was evidence of a substitution effect between non-resources and resources stocks in reaction to changes in the gold price.

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