文章基本信息

标题：Modelling Return Volatility in the Main Board and the Alternative Exchange of the Johannesburg Stock Exchange: Application of GARCH Models
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作者：Makoko, Katleho ; Muzindutsi, Paul-Francois
期刊名称：EuroEconomica
印刷版ISSN：1582-8859
电子版ISSN：2065-3883
出版年度：2018
卷号：37
期号：3
语种：English
出版社：Danubius University of Galati
摘要：Volatility has been a major concern for the stock market because it poses risk challenges to stock markets’ investors. This paper estimated and compared the level of volatility in the two boards of the Johannesburg Stock Exchange (JSE) namely, the Main Board and the Alternative Stock Exchange (AltX), and tested whether there are volatility spill-over effects between these two boards. Different GARCH models were used to analyse daily returns for the sample period running from January 2007 to December 2016. Results show that the best volatility capturing model for the JSE Main Board was EGARCH(1,1); while the best model for AltX was GARCH (1, 1). The JSE AltX was found to be more volatile than the Main Board and there was no spill-over effect between the two boards. The absence of the spill-over effect is an indication that the risks do not spill-over between the two boards of the JSE. The findings of this study therefore suggest that investors can minimise risk by diversifying their investment between the two major boards of the JSE.
其他摘要：Volatility has been a major concern for the stock market because it poses risk challenges to stock markets’ investors. This paper estimated and compared the level of volatility in the two boards of the Johannesburg Stock Exchange (JSE) namely, the Main Board and the Alternative Stock Exchange (AltX), and tested whether there are volatility spill-over effects between these two boards. Different GARCH models were used to analyse daily returns for the sample period running from January 2007 to December 2016. Results show that the best volatility capturing model for the JSE Main Board was EGARCH(1,1); while the best model for AltX was GARCH (1, 1). The JSE AltX was found to be more volatile than the Main Board and there was no spill-over effect between the two boards. The absence of the spill-over effect is an indication that the risks do not spill-over between the two boards of the JSE. The findings of this study therefore suggest that investors can minimise risk by diversifying their investment between the two major boards of the JSE.
关键词：Alternative exchange;JSE;GARCH models;return volatility