The impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations of South African financial markets
This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations between the South African stock, bond, and foreign exchange markets. Our first stage findings using the DCC-GARCH model show that correlations between the selected marke...
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| Main Authors: | Kelleb Mloyi, Edson Vengesai |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
|
| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2431543 |
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