Real Economy and Financial Markets. Long and Short-Term Volatility Determinants in Sub-Saharan Economies

Agata Kliber , Katarzyna Świerczyńska

Abstract

South Africa plays a dominant role in the scope of the Common Monetary Area; Nigeria could assume an equivalent role in the central part of Africa. The aim of the paper is to determine the influence of domestic and international factors on the volatility of the Johannesburg and Nigerian stock exchanges in order to investigate the nexus between financial markets and the real economy as well as the integration of the markets with the global financial market. The long and short-term components of the main stock indices are derived through the spline-GARCH models. The results of the study reveal that the short-term component of JSE volatility is mainly determined by the dynamics of global financial markets, while the long-term volatility component is affected mainly by the changes of domestic macro-factors. However both the short and long-term volatility components of the Nigerian All-Shares Index are driven by the dynamics of the global financial markets, while domestic factors have an insignificant impact on it.
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
, Katarzyna Świerczyńska (WE / KPEiPR)
Katarzyna Świerczyńska,,
- Department of Economic Journalism and Public Relations
Journal seriesMathematical Economics, ISSN 1733-9707, (B 10 pkt)
Issue year2017
Vol13
No20
Pages37-58
Publication size in sheets1.05
Keywords in Polishspline-GARCH, Afryka Subsaharyjska, zmienność, Nigeria, Republika Południowej Afryki, giełda
Keywords in Englishspline-GARCH, sub-Saharan Africa, stock exchange volatility, Nigeria, South Africa, long-term volatility
DOIDOI:10.15611/me.2017.13.03
Languageen angielski
Score (nominal)10
Score sourcejournalList
ScoreMinisterial score = 10.0, 27-03-2020, ArticleFromJournal
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