Version 1
: Received: 20 June 2024 / Approved: 2 July 2024 / Online: 2 July 2024 (11:41:16 CEST)
How to cite:
Mohammed, A.; Mwambi, H.; Omolo, B. Time-varying Correlations between JSE.JO Stock Market and its Partners Using Symmetric DCC Models. Preprints2024, 2024070233. https://doi.org/10.20944/preprints202407.0233.v1
Mohammed, A.; Mwambi, H.; Omolo, B. Time-varying Correlations between JSE.JO Stock Market and its Partners Using Symmetric DCC Models. Preprints 2024, 2024070233. https://doi.org/10.20944/preprints202407.0233.v1
Mohammed, A.; Mwambi, H.; Omolo, B. Time-varying Correlations between JSE.JO Stock Market and its Partners Using Symmetric DCC Models. Preprints2024, 2024070233. https://doi.org/10.20944/preprints202407.0233.v1
APA Style
Mohammed, A., Mwambi, H., & Omolo, B. (2024). Time-varying Correlations between JSE.JO Stock Market and its Partners Using Symmetric DCC Models. Preprints. https://doi.org/10.20944/preprints202407.0233.v1
Chicago/Turabian Style
Mohammed, A., Henry Mwambi and Bernard Omolo. 2024 "Time-varying Correlations between JSE.JO Stock Market and its Partners Using Symmetric DCC Models" Preprints. https://doi.org/10.20944/preprints202407.0233.v1
Abstract
The extent of correlation or co-movement among the returns of developed and/or emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economic interdependence fostered by international trade and financial markets. In this study, we analyzed the time-varying correlation and co-movement between the JSE.JO stock market of South Africa and its developed and developing stock market partners. The Dynamic Conditional Correlation - Exponential Generalized Autoregressive Conditional Heteroscedasticity (DCC-EGARCH) methodology is employed with different multivariate distributions to explore the time-varying correlation and volatilities between the JSE.JO stock market and its partners. Based on the conditional correlation results, the JSE.JO stock market is integrated and co-moves with its partners, and the conditional correlation for all markets exhibit time-variant behavior. The conditional volatility results show that the JSE.JO stock market behaves differently from other markets, especially after 2015, indicating a positive sign for investors to diversify between JSE.JO and its partners. The highest value of conditional volatility for markets was in 2020 during the COVID-19 pandemic, representing the riskiest period that investors should avoid due to the lack of diversification opportunities during crises.
Computer Science and Mathematics, Probability and Statistics
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
