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

Simple item page
dc.contributor.authorNgwenya, Simosini Choice
dc.date.accessioned2017-11-24T09:47:15Z
dc.date.available2017-11-24T09:47:15Z
dc.date.issued2017
dc.descriptionThesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017
dc.description.abstractThis 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.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (50 leaves)
dc.identifier.citationNgwenya, 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>
dc.identifier.urihttp://hdl.handle.net/10539/23434
dc.language.isoenen_ZA
dc.subject.lcshCommodity futures--South Africa
dc.subject.lcshExports--South Africa
dc.subject.lcshForeign exchange rates--South Africa
dc.titleThe exchange rate as an absorber of commodity price volatility on stock returns of commodity producing firmsen_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Thesis Second submission - Copy.pdf
Size:
703.38 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ETD Collection