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dc.contributor.authorPretorius, Anmar
dc.contributor.authorDe Beer, Jesse
dc.date.accessioned2016-08-17T07:42:39Z
dc.date.available2016-08-17T07:42:39Z
dc.date.issued2014-05
dc.identifier.citationPretorius, A. & De Beer, J. 2014. Comparing the South African stock markets response to two periods of distinct instability the 1997-98 East Asian and Russian crisis and the recent global financial crisis. International Business and Economics Research Journal, 13(3):427-442. [http://journals.cluteonline.com/index.php/IBER]en_US
dc.identifier.issn1535-0754
dc.identifier.issn2157-9393 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/18278
dc.identifier.urihttp://journals.cluteonline.com/index.php/IBER
dc.description.abstractThis paper compares the South African stock markets response to two periods of distinct instability, namely the East Asian and Russian crisis of 1997-98 and the global financial crisis of 2007-09. Considering share prices, the Johannesburg Securities Exchange (JSE) was more severely affected by the earlier crisis, when the domestic fundamentals were weaker. The low levels of foreign reserves were the main cause of concern. The paper further empirically investigates volatility spillover between the JSE and various developed and emerging stock markets during the two crisis periods, employing twelve separate bi-variate GARCH models. The main contributors to volatility spillover during the East Asian and Russian crisis were Mexico, Thailand, Brazil, and Germany predominantly emerging markets. During the second crisis period, Germany, US, Brazil, and UK played the dominant parts predominantly developed markets. The importance of Germany in both periods can be attributed to the country's role as main export destination of South African goods in Europe.en_US
dc.language.isoenen_US
dc.publisherClute Instituteen_US
dc.subjectGlobal Financial Crisisen_US
dc.subjectEast Asian and Russian Crisisen_US
dc.subjectJSEen_US
dc.subjectVolatility Spilloveren_US
dc.titleComparing the South African stock markets response to two periods of distinct instability the 1997-98 East Asian and Russian crisis and the recent global financial crisisen_US
dc.typeArticleen_US


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