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n African Journal of Business and Economic Research - Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa

Volume 6, Issue 2_3
  • ISSN : 1750-4554
  • E-ISSN: 1750-4562

Abstract

This paper utilizes the bivariate EGARCH (p,q) model to examine the relationship between foreign exchange and stock market returns for three emerging African countries including, Botswana, Kenya and South Africa. In addition, the study implements the modified augmented Dickey-Fuller unit root tests (DF-GLS) to examine the time series properties of the return series for the sample countries. The results from the DF-GLS unit root tests indicate that the foreign exchange and stock market return series are level stationary. The results from the bivariate EGARCH(1,1) provide evidence of significant relationship between stock market returns and foreign exchange returns for the sample countries. The results also indicate the existence of significant volatility spillover effects between foreign exchange and stock market returns for Botswana, Kenya and South Africa.

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/content/aa_ajber/6/2_3/EJC10479
2011-01-01
2019-08-23

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