The exchange rate as an absorber of commodity price volatility on stock returns of commodity producing firms

Description

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017 / This paper provides an empirical analysis of the effect of commodity price volatility on the volatility of the South African exchange rate and subsequently the returns on the equity of commodity producing firms listed on the JSE. GARCH and VAR models evaluate South African exchange rate and stock market data between the years 1995 and 2015. Results show that there exists a spill over and bidirectional relationships between the equity returns volatility and the volatility of the exchange rate. Findings also indicated that international commodity price shocks transmitted into the South African Rand. / MT2017

Links & Downloads

1. Ngwenya, Simosini Choice (2017) The exchange rate as an absorber of commodity price volatility on stock returns of commodity producing firms, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23434>
2. http://hdl.handle.net/10539/23434

Tags

Commodity futures--South Africa

Exports--South Africa

Foreign exchange rates--South Africa

Additional Fields

Identifer	oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/23434
Date	January 2017
Creators	Ngwenya, Simosini Choice
Source Sets	South African National ETD Portal
Language	English
Detected Language	English
Type	Thesis
Format	Online resource (50 leaves), application/pdf