The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications.

ABSTRACT: This paper assesses the impact of gold and oil price fluctuations on the volatility of the South African stock market and its component indices or sectors - namely, the financial, industrial and resource sectors - to infer the link between the commodity and stock markets in South Africa. Use is made of the vector autoregressive asymmetric dynamic conditional correlation generalised autoregressive conditional heteroskedasticity (VAR-ADCC-GARCH) model to this end. Moreover, the paper assesses the magnitude of the optimal portfolio weight, hedge ratio and hedge effectiveness for portfolios constituted of a pair of assets, namely oil-stock and gold-stock pairs. The findings of the study show that there is significant volatility spillover between the gold and stock markets, and the oil and stoc

SUBMITTER: Morema K 

PROVIDER: S-EPMC7298511 | biostudies-literature | 2020 Oct

REPOSITORIES: biostudies-literature