Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1844585
Nonlinear bidirectional multiscale volatility transmission effect between stocks and exchange rate markets in the selected African countries
Dejan Živkov
orcid.org/0000-0003-2357-3250
Boris Kuzman
Andrea Andrejević-Panić
Sažetak
This paper investigates the multiscale bidirectional volatility spillover effect between the national stocks and exchange rate markets in four African countries – Nigeria, South Africa, Egypt and
Morocco. Our computations involve the wavelet transformation of
the empirical series, creation of the regime-dependant conditional
volatilities via MS-GARCH model and measurement of the volatility spillover effect in the quantile regression framework. We find
an evidence of the bidirectional volatility spillover effect, but the
volatility impact from exchange rate market to stock market is
stronger in all the African countries, except Nigeria. Regarding the
direction from stocks to exchange rate, we report that volatility
spillover effect is the strongest in South Africa, because
Johannesburg stock exchange is the most developed and liquid
market. As for the reverse direction, the spillover effect is
recorded in longer time-horizons in the Egyptian and Moroccan
cases, which indicates to flow-oriented model, while for South
Africa, the effect is found in shorter time-horizons, which is in line
with the portfolio-balance theory. In South Africa, investors should
protect themselves against exchange rate risk in shorter time-horizons, in Morocco and Egypt in longer time-horizons, while in
Nigeria, hedging against exchange rate is not needed.
Ključne riječi
Volatility spillover; stocks; exchange rate; wavelet; MSGARCH; African countries
Hrčak ID:
301252
URI
Datum izdavanja:
31.12.2021.
Posjeta: 147 *