Contents of the volume

2020, Volume 73 - Issue 1

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 04 February 2020

TO EXIT OR NOT TO EXIT (FROM THE EMU)?

Nicola Acocella

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THE IMPACT OF EXCHANGE RATE VOLATILITY ON THE SECURITY MARKETS IN BRICS ECONOMIES

Pascal Xavier Gnagne, Lumengo Bonga-Bonga

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THE DETERMINANTS OF IMPORT DEMAND IN SOUTH AFRICA: AN EMPIRICAL INVESTIGATION

Nomfundo P. Vacu, Nicholas M. Odhiambo

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THE IMPACT OF DOMESTIC AND FOREIGN PUBLIC DEBT ON ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM ZIMBABWE

Talknice Saungweme, Nicholas M. Odhiambo

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THE GREAT RECESSION AND THE DETERMINANTS OF TARIFF AND ANTIDUMPING RESTRICTIONS IN ARGENTINA, BRAZIL AND MEXICO: A RETROSPECTIVE STUDY

Alejandro Jacobo, Ileana R. Jalile

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MONEY CHANNEL OF MONETARY POLICY TRANSMISSION IN NAMIBIA

Johannes Sheefeni

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ACKNOWLEDGEMENT TO REFEREES

Amedeo Amato

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Pascal Xavier GNAGNE, University of Johannesburg, South Africa

Co-authors

Lumengo BONGA-BONGA, University of Johannesburg, South Africa

The Impact of Exchange Rate Volatility on the Security Markets in BRICS Economies

Pages

21-50

Abstract

This study analyses the impact of exchange rate risk on the security markets, especially the equity market returns and bond yields in the BRICS economies. Moreover, the study explores the extent of volatility spillovers between the foreign exchange, equity and bond markets in the BRICS economies. To reach this objective, a multivariate GARCH-M with BEKK specifications is applied on weekly data obtained from Thomson Reuters DataStream. The findings of the paper show that exchange rate volatility has a positive impact on bond yields in all BRICS countries except in South Africa. In addition, volatility to exchange rate positively influences equity returns in Brazil, India and South Africa, while the influence on Chinese and Russian equity returns is negative. The findings imply that exchange rate risks are not successfully hedged in the equity market in Brazil, India and South Africa. Furthermore, the results of volatility spillovers between the equity returns, bond yields and foreign exchange markets show that volatility shocks are unilaterally transmitted from the security market to the foreign exchange market in South Africa and Russia. The finding implies a possible risk contagion from the security market to the foreign exchange market in the two countries.

JEL classification

C32, F31, G15

Keywords

Exchange Rate Risks, Security Market, BRICS, BEKK GARCH-M

Index

  1. Introduction
  2. Literature review
  3. Methodology
  4. Data estimation and discussion of results
  5. Conclusion

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