메뉴 건너뛰기




Volumn 7, Issue 3, 1997, Pages 255-275

An examination of the effects of major political change on stock market volatility: The South African experience

Author keywords

GARCH; Political change; South Africa; Volatility

Indexed keywords


EID: 0031256577     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(97)00020-6     Document Type: Article
Times cited : (23)

References (27)
  • 1
    • 0002407487 scopus 로고
    • Shareholders as agents and principals: The case for South Africa's corporate governance system
    • Barr, G., Gerson, J., Kantor, B., 1995. Shareholders as agents and principals: the case for South Africa's corporate governance system. J. Appl. Corporate Finance 8, 18-31.
    • (1995) J. Appl. Corporate Finance , vol.8 , pp. 18-31
    • Barr, G.1    Gerson, J.2    Kantor, B.3
  • 2
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, G., Harvey, C., 1995. Time-varying world market integration. J. Finance 50, 403-444.
    • (1995) J. Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.2
  • 3
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev, T., 1986. Generalized autoregressive conditional heteroscedasticity. J. Econ. 31, 307-327.
    • (1986) J. Econ. , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 0000375581 scopus 로고
    • A conditionally heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev, T., 1987. A conditionally heteroskedastic time series model for speculative prices and rates of return. Rev. Econ. Statist. 69, 542-547.
    • (1987) Rev. Econ. Statist. , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 5
    • 34848900983 scopus 로고
    • ARCH modelling in finance: A review of the theory and empirical evidence
    • Bollerslev, T., Chou, R.Y., Kroner, K.F., 1992. ARCH modelling in finance: a review of the theory and empirical evidence. J. Econ. 52, 5-59.
    • (1992) J. Econ. , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 6
    • 84945595789 scopus 로고
    • Distribution of residual autocorrelations in autoregressive integrated moving average time series models
    • Box, G.E.P., Pierce, D.A., 1970. Distribution of residual autocorrelations in autoregressive integrated moving average time series models. J. Am. Statist. Ass. 65, 1509-1526.
    • (1970) J. Am. Statist. Ass. , vol.65 , pp. 1509-1526
    • Box, G.E.P.1    Pierce, D.A.2
  • 8
    • 0002030377 scopus 로고
    • Modelling Australian stock market volatility
    • Brailsford, T.J., Faff, R.W., 1993. Modelling Australian stock market volatility. Aust. J. Management 18, 109-132.
    • (1993) Aust. J. Management , vol.18 , pp. 109-132
    • Brailsford, T.J.1    Faff, R.W.2
  • 9
    • 0030117828 scopus 로고    scopus 로고
    • An evaluation of volatility forecasting techniques
    • Brailsford, T.J., Faff, R.W., 1996. An evaluation of volatility forecasting techniques. J. Banking Finance 20, 419-438.
    • (1996) J. Banking Finance , vol.20 , pp. 419-438
    • Brailsford, T.J.1    Faff, R.W.2
  • 10
    • 0010869016 scopus 로고    scopus 로고
    • African securities markets: A study in the development of Africa's emerging securities markets
    • Clark, R., 1996. African securities markets: a study in the development of Africa's emerging securities markets. J. Int. Financial Markets Inst. Money 6, 39-54.
    • (1996) J. Int. Financial Markets Inst. Money , vol.6 , pp. 39-54
    • Clark, R.1
  • 11
    • 38249014282 scopus 로고
    • A contribution to event study methodology with an application to the Dutch stock market
    • de Jong, F., Kemna, A., Kloek, T., 1992. A contribution to event study methodology with an application to the Dutch stock market. J. Banking Finance 16, 11-36.
    • (1992) J. Banking Finance , vol.16 , pp. 11-36
    • De Jong, F.1    Kemna, A.2    Kloek, T.3
  • 12
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D.A., Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Statist. Ass. 74, 427-431.
    • (1979) J. Am. Statist. Ass. , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R.F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 14
    • 0002363830 scopus 로고
    • Statistical models for financial volatility
    • January Febuary
    • Engle, R.F., 1993. Statistical models for financial volatility. Financial Analysts J. January Febuary, 72-78.
    • (1993) Financial Analysts J. , pp. 72-78
    • Engle, R.F.1
  • 15
    • 44949270586 scopus 로고
    • Were Japanese stock prices too high?
    • French, K., Poterba, J., 1991. Were Japanese stock prices too high? J. Financial Econ. 29, 337-363.
    • (1991) J. Financial Econ. , vol.29 , pp. 337-363
    • French, K.1    Poterba, J.2
  • 16
    • 84972962419 scopus 로고
    • The market model and the Johannesburg stock exchange
    • Gilbertson, B., Goldberg, M., 1981. The market model and the Johannesburg stock exchange. Investment Analysts J. 17, 40-43.
    • (1981) Investment Analysts J. , vol.17 , pp. 40-43
    • Gilbertson, B.1    Goldberg, M.2
  • 17
    • 0010869224 scopus 로고    scopus 로고
    • Johannesburg Stock Exchange, 1996. President's Review. http://www.jse.co.za/welcome.htm
    • (1996) President's Review
  • 18
    • 84984510173 scopus 로고
    • Australian stock market volatility
    • Kearns, P., Pagan, A.R., 1993. Australian stock market volatility. Econ. Rec. 69, 163-178.
    • (1993) Econ. Rec. , vol.69 , pp. 163-178
    • Kearns, P.1    Pagan, A.R.2
  • 19
    • 0000100957 scopus 로고
    • A Lagrange multiplier test for GARCH models
    • Lee, J.H.H., 1991. A Lagrange multiplier test for GARCH models. Econ. Lett. 37, 265-271.
    • (1991) Econ. Lett. , vol.37 , pp. 265-271
    • Lee, J.H.H.1
  • 20
    • 21144471194 scopus 로고
    • A locally most mean powerful based score test for ARCH and GARCH regression disturbances
    • Lee, J.H.H., King, M.L., 1993. A locally most mean powerful based score test for ARCH and GARCH regression disturbances. J. Bus. Econ. Statist. 11, 11-27.
    • (1993) J. Bus. Econ. Statist. , vol.11 , pp. 11-27
    • Lee, J.H.H.1    King, M.L.2
  • 21
    • 44049123033 scopus 로고
    • Filtering and Forecasting with misspecified ARCH models. I: Getting the right variance with the right model
    • Nelson, D.B., 1992. Filtering and Forecasting with misspecified ARCH models. I: Getting the right variance with the right model. J. Econ. 52, 61-90.
    • (1992) J. Econ. , vol.52 , pp. 61-90
    • Nelson, D.B.1
  • 22
    • 45149141217 scopus 로고
    • Alternative models for conditional stock volatility
    • Pagan. A.R., Schwert, G.W., 1990. Alternative models for conditional stock volatility. J. Econ. 45, 267-290.
    • (1990) J. Econ. , vol.45 , pp. 267-290
    • Pagan, A.R.1    Schwert, G.W.2
  • 23
    • 44049121505 scopus 로고
    • Stock returns and volatility: An empirical study of the UK stock market
    • Poon, S.H., Taylor, S.J., 1992. Stock returns and volatility: an empirical study of the UK stock market. J. Banking Finance 16, 37-59.
    • (1992) J. Banking Finance , vol.16 , pp. 37-59
    • Poon, S.H.1    Taylor, S.J.2
  • 24
    • 84977714155 scopus 로고
    • Industrial structure and the comparative behaviour of international stock market indices
    • Roll, R., 1992. Industrial structure and the comparative behaviour of international stock market indices. J. Finance 47, 3-42.
    • (1992) J. Finance , vol.47 , pp. 3-42
    • Roll, R.1
  • 25
    • 0000157150 scopus 로고
    • Stock returns volatility in the Tokyo stock exchange
    • Tse, Y.K., 1991. Stock returns volatility in the Tokyo stock exchange. Jap. World Econ. 3, 285-298.
    • (1991) Jap. World Econ. , vol.3 , pp. 285-298
    • Tse, Y.K.1
  • 26
    • 0002721552 scopus 로고
    • Forecasting volatility in the Singapore stock market
    • Tse, Y.K., Tung, S.H., 1992. Forecasting volatility in the Singapore stock market. Asia Pacific J. Management 9, 1-13.
    • (1992) Asia Pacific J. Management , vol.9 , pp. 1-13
    • Tse, Y.K.1    Tung, S.H.2
  • 27
    • 0010798175 scopus 로고    scopus 로고
    • A conditional variance model for the daily stock returns in China's emerging stock markets: Empirical evidence on the Shanghai and Shenzhen exchanges
    • Yu, Q., 1996. A conditional variance model for the daily stock returns in China's emerging stock markets: Empirical evidence on the Shanghai and Shenzhen exchanges. J. Int. Financial Markets Inst. Money 6 (4), 1-19.
    • (1996) J. Int. Financial Markets Inst. Money , vol.6 , Issue.4 , pp. 1-19
    • Yu, Q.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.