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Original Article

Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets

Pages 69-94 | Published online: 12 Feb 2021

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Carlos de Jesus, Gizelle D. Willows & Alison M. Olivier. (2020) The influence of the market on inflation, not the other way around. Investment Analysts Journal 49:2, pages 79-91.
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Olivier Niyitegeka & Devi Datt Tewari. (2020) Volatility spillovers between the European and South African foreign exchange markets. Cogent Economics & Finance 8:1.
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Faisal Khan, Hashim Khan, Saif Ur-Rehman Khan, Muhammad Jumaa & Sharif Ullah Jan. 2022. Research Anthology on Macroeconomics and the Achievement of Global Stability. Research Anthology on Macroeconomics and the Achievement of Global Stability 584 602 .
Lorraine Muguto & Paul-Francois Muzindutsi. (2022) A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets. Journal of Risk and Financial Management 15:2, pages 85.
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Muhammad Abubakr Naeem, Fiza Qureshi, Saqib Farid, Aviral Kumar Tiwari & Mohamed Elheddad. (2021) Time-frequency information transmission among financial markets: evidence from implied volatility. Annals of Operations Research.
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З.М. Закриева, Х.С. Абдулхалимова & С.У. Бисултанова. 2021. SPATIAL DEVELOPMENT OF TERRITORIES IN THE CONTEXT OF DIGITALIZATION: SOCIO-ECOLOGICAL AND ECONOMIC SYSTEMS. SPATIAL DEVELOPMENT OF TERRITORIES IN THE CONTEXT OF DIGITALIZATION: SOCIO-ECOLOGICAL AND ECONOMIC SYSTEMS 83 86 .
Mohammed Shahateet, Najib Shrydeh & Suleiman Mohammad. (2019) Testing the linkages of Arab stock markets: a multivariate GARCH approach. Investment Management and Financial Innovations 16:4, pages 192-204.
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Faisal Khan, Hashim Khan, Saif Ur-Rehman Khan, Muhammad Jumaa & Sharif Ullah Jan. (2019) Macroeconomic Sensitivity, Risk-Return Trade-Off and Volatility Dynamics Evidence From Developed and Developing Markets. International Journal of Corporate Finance and Accounting 6:1, pages 1-16.
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Abdullahi D. Ahmed & Rui Huo. (2018) China–Africa financial markets linkages: Volatility and interdependence. Journal of Policy Modeling 40:6, pages 1140-1164.
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Oscar Bajo-Rubio, Burcu Berke & David McMillan. (2017) The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. Research in International Business and Finance 41, pages 577-589.
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Priviledge Cheteni. (2017) Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets. Journal of Economics and Behavioral Studies 8:6(J), pages 237-245.
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Sherlinda Octa YuniarsaPHDPHD & Jui-Chuan Della ChangPHDPHD. (2016) Exploring the Relationships among Interest Rate, Exchange Rate, and Stock Market in Indonesia. GATR Global Journal of Business Social Sciences Review 4:3, pages 37-43.
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Jyoti Kumari & Jitendra Mahakud. (2014) Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India. Asia-Pacific Financial Markets 22:1, pages 87-111.
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NEVILLE ZIVANAYI MANDIMIKA & ZIVANEMOYO CHINZARA. (2012) RISK-RETURN TRADE-OFF AND BEHAVIOUR OF VOLATILITY ON THE SOUTH AFRICAN STOCK MARKET: EVIDENCE FROM BOTH AGGREGATE AND DISAGGREGATE DATA. South African Journal of Economics 80:3, pages 345-366.
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Zivanemoyo Chinzara. (2011) MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*. South African Journal of Economics 79:1, pages 27-49.
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Morekwa Esman Nyamongo & Roseline Misati. (2010) Modelling the time‐varying volatility of equities returns in Kenya. African Journal of Economic and Management Studies 1:2, pages 183-196.
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Syed Kamran Ali Haider, Shujahat Haider Hashmi & Sajid Khattak. (2016) Relationship between Macroeconomic Factors Volatility and Stock Return Volatility: Evidence from Pakistan. SSRN Electronic Journal.
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