3. Electronic Theses and Dissertations (ETDs) - All submissions

Permanent URI for this communityhttps://wiredspace.wits.ac.za/handle/10539/45

Browse

Filters

20171

Settings

Author: search.filters.author.Ngwenya, Simosini ChoiceSubject: search.filters.subject.Commodity futures--South Africa

Search Results

Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    The exchange rate as an absorber of commodity price volatility on stock returns of commodity producing firms
    (2017) Ngwenya, Simosini Choice
    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.
Copyright Ownership Is Guided By The University's

Intellectual Property policy

Students submitting a Thesis or Dissertation must be aware of current copyright issues. Both for the protection of your original work as well as the protection of another's copyrighted work, you should follow all current copyright law.