Become A Wiser, More Profitable Investor

IJFS, Vol. 11, Pages 77: Impacts of U.S. Stock Market Crash on South African Top Sector Indices, Volatility, and Market Linkages: Evidence of Copula-Based BEKK-GARCH Models

investing

This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, financials, healthcare, industrials, technology, and telecommunication). The results of a copula-based BEKK-GARCH approach technique demonstrate the existence of price and volatility spillover during times of stock crashes. We discover that during a stock crisis, strong shocks and higher volatility spillover effects from the United States (U.S.) SP500 index to the top sector indices of the South African Johannesburg Stock Exchange (JSE) markets are more significant.

mdpi.com     Jun 10, 2023