Mloyi, Kelleb; Vengesai, Edson
A icle
The impac o global isk a e sion and domes ic
mac oeconomic ac o s on he dynamic condi ional
co ela ions o Sou h A ican inancial ma ke s
Cogen Economics & Finance
P o ided in Coope a ion wi h:
Taylo & F ancis G oup
Sugges ed Ci a ion: Mloyi, Kelleb; Vengesai, Edson (2024) : The impac o global isk a e sion and
domes ic mac oeconomic ac o s on he dynamic condi ional co ela ions o Sou h A ican inancial
ma ke s, Cogen Economics & Finance, ISSN 2332-2039, Taylo & F ancis, Abingdon, Vol. 12, Iss. 1,
pp. 1-20,
h ps://doi.o g/10.1080/23322039.2024.2431543
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/321684
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
Cogen Economics & Finance
ISSN: 2332-2039 (Online) Jou nal homepage: www. and online.com/jou nals/oae 20
The impac o global isk a e sion and domes ic
mac oeconomic ac o s on he dynamic
condi ional co ela ions o Sou h A ican financial
ma ke s
Kelleb Mloyi & Edson Vengesai
To ci e his a icle: Kelleb Mloyi & Edson Vengesai (2024) The impac o global isk
a e sion and domes ic mac oeconomic ac o s on he dynamic condi ional co ela ions
o Sou h A ican financial ma ke s, Cogen Economics & Finance, 12:1, 2431543, DOI:
10.1080/23322039.2024.2431543
To link o his a icle: h ps://doi.o g/10.1080/23322039.2024.2431543
© 2024 The Au ho (s). Published by In o ma
UK Limi ed, ading as Taylo & F ancis
G oup
Published online: 25 No 2024.
Submi you a icle o his jou nal
A icle iews: 1053
View ela ed a icles
View C ossma k da a
Full Te ms & Condi ions o access and use can be ound a
h ps://www. and online.com/ac ion/jou nalIn o ma ion?jou nalCode=oae 20
FINANCIAL ECONOMICS | RESEARCH ARTICLE
The impac o global isk a e sion and domes ic mac oeconomic
ac o s on he dynamic condi ional co ela ions o Sou h A ican
inancial ma ke s
Kelleb Mloyi and Edson Vengesai
Facul y o Economic and Managemen S udies, Depa men o Economics and Finance, The Uni e si y o he F ee S a e,
Bloem on ein, Republic o Sou h A ica
ABSTRACT
This pape conside s he impac o global isk a e sion and domes ic mac oeconomic
ac o s on he dynamic condi ional co ela ions be ween he Sou h A ican s ock, bond,
and o eign exchange ma ke s. Ou i s s age indings using he DCC-GARCH model
show ha co ela ions be ween he selec ed ma ke s a e signi ican ly dynamic o e
ime. We u he show ha he co ela ions o asse pai s do no all o ex ended pe i-
ods du ing c isis pe iods, implying only sho -li ed inc ease in di e si ica ion bene i s.
Fu he analysis using he OLS eg ession model shows ha global isk a e sion and
domes ic mac oeconomic ac o s ha e a he e ogenous impac on he dynamic co ela-
ions o asse pai s. Consequen o hese indings, his s udy ad oca es o he adop ion
o dynamic asse alloca ion and di e si ica ion s a egies necessi a ing he pe iodic op i-
misa ion o po olios as asse co ela ions, global isk a e sion and domes ic mac oeco-
nomics e ol e. The s udy o e s aluable insigh s and policy ecommenda ions o
in es men p ac i ione s, policymake s, and academics.
IMPACT STATEMENT
This esea ch p o ides aluable insigh s in o how global isk a e sion and domes ic
mac oeconomic ac o s in luence he ela ionships be ween Sou h A ican s ock, bond,
and o eign exchange ma ke s. The s udy demons a es ha hese co ela ions a e
highly dynamic, emphasising he need o in es o s o adop esponsi e and lexible
in es men s a egies. The indings o e c ucial p ac ical guidance o po olio op i-
misa ion, isk managemen , and in o med in es men decisions in a ola ile economic
en i onmen . This wo k is signi ican o i s po en ial o in o m in es men p ac ices and
policy, ensu ing hey a e aligned wi h he e ol ing inancial landscape.
ARTICLE HISTORY
Recei ed 20 Augus 2024
Re ised 11 No embe 2024
Accep ed 14 No embe 2024
KEYWORDS
Global isk a e sion;
dynamic condi ional
co ela ion; DCC GARCH;
di e si ica ion; mac o-
economic ac o s
SUBJECTS
Finance; Business,
Managemen and
Accoun ing; Economics
1. In oduc ion
In es o s pa icipa e in inancial ma ke s o ea n e u ns, Bodie e al. (2024) de ine e u ns as gains de i ed
om aking isks and in es ing in inancial ma ke s. Howe e , he en enched ola ili y in inancial ma ke
p ices can esul in inancial losses. This isk o losses necessi a es in es o s o implemen obus po olio
isk managemen s a egies. One such s a egy is po olio di e si ica ion, which in ol es in es ing in a
leas wo inancial asse s wi h nega i e o low posi i e co ela ions. The di e si ica ion s a egy educes he
idiosync a ic isk componen , he eby minimising he o e all po olio isk. C ucial in di e si ica ion is he
le el and di ec ion o asse co ela ion. The highe he asse co ela ion, he lowe he di e si ica ion bene-
i s; he lowe he asse co ela ion, he g ea e he di e si ica ion bene i s (Lin e al., 2018).
Howe e , ollowing Engle’s Engle (2002) seminal wo k on condi ional co ela ions, a lo o esea ch has
eme ged documen ing he dynamic na u e o asse co ela ions. Ka zke (2013), and McMillan (2021), among
o he s, p o ide suppo ing e idence. Dynamic co ela ions en ail asse co ela ions luc ua ing and e e -
CONTACT Edson Vengesai [email p o ec ed] Facul y o Economic and Managemen S udies, Depa men o Economics and
Finance, The Uni e si y o he F ee S a e, PO Box 339, Bloem on ein 9300, Republic o Sou h A ica.
ß2024 The Au ho (s). Published by In o ma UK Limi ed, ading as Taylo & F ancis G oup
This is an Open Access a icle dis ibu ed unde he e ms o he C ea i e Commons A ibu ion License (h p://c ea i ecommons.o g/licenses/by/4.0/), which
pe mi s un es ic ed use, dis ibu ion, and ep oduc ion in any medium, p o ided he o iginal wo k is p ope ly ci ed. The e ms on which his a icle has been
published allow he pos ing o he Accep ed Manusc ip in a eposi o y by he au ho (s) o wi h hei consen .
COGENT ECONOMICS & FINANCE
2024, VOL. 12, NO. 1, 2431543
h ps://doi.o g/10.1080/23322039.2024.2431543
changing o e ime. This complica es he po olio isk managemen p ocess by inc easing he need o e-
quen po olio ebalancing, which includes pe iodic ecalib a ion o asse alloca ion and di e si ica ion
s a egies. Fu he mo e, as co ela ions a y o e ime, p e iously e ec i e asse combina ions may become
ine ec i e, and ice e sa, equi ing a comple e pe iodic es a o asse alloca ion and di e si ica ion.
Following his con ex , and as a gued by Chiang e al. (2015), dynamic co ela ions mean ha s a ic
asse alloca ion and di e si ica ion s a egies do no e ec i ely mi iga e po olio isk o e ime p ima ily
due o assuming cons an co ela ions and necessi a ing in equen po olio ebalancing which hen
ende s esul an po olio di e si ica ion ine ec i e as co ela ions change o e ime. Subsequen ly, his
s udy aimed, i s ly, a asce aining whe he co ela ions be ween he Sou h A ican (SA) s ock, bond,
and o eign exchange ma ke s (FX) a e dynamic o e ime. Such unde s anding is c ucial o d i ing he
adop ion o app op ia e po olio isk managemen s a egies a all imes, pa icula ly whe he in es o s
mus adop s a ic o dynamic asse alloca ion and di e si ica ion s a egies.
Secondly, his s udy sough o p obe he impac o global isk a e sion and domes ic mac oeconomic
ac o s on hese dynamic condi ional co ela ions. Se e al easons unde pin he signi icance o his in es-
iga ion in SA. Fi s ly, and as a gued by Ga c
ıa-He e o and Sa a ia (2007), global isk a e sion is a he
cen e o po olio lows globally. Changes in global in es o ea and unce ain y cause ligh o quali y
and ligh om quali y phenomenon ha changes he le el and di ec ion o asse co ela ions globally
(Connolly e al., 2005). As de ailed ea lie , hese changes in co ela ions ha e posi i e and nega i e impli-
ca ions on he e ec i eness o po olio di e si ica ion s a egies. Secondly, due o he openness o SA
inancial ma ke s, asse p ices and, consequen ly, asse co ela ions a e subjec o he u bulences o glo-
bal isk a e sion. Resul an ly, SA inancial ma ke s con inue o umble signi ican ly in line wi h global
ma ke s du ing episodes o c isis. Vengesai (2022) highligh s he 2007-2009 Global Financial C isis (GFC)
and he COVID-19-induced c isis as suppo ing e idence. Hence, unde s anding he impac o global isk
a e sion is c ucial o SA as i enhances in es o s’unde s anding o how changes in global isk a e sion
a ec dynamic co ela ions and, ul ima ely, he e ec i eness o hei po olio di e si ica ion s a egies.
D awing om he p eceding con ex , hese insigh s can also be used in ailo ing obus asse alloca ion
and di e si ica ion s a egies ha a e esponsi e and adap i e o changes in global isk a e sion egimes
ac oss selec ed asse classes in SA o ensu e e ec i e di e si ica ion a all imes.
Fu he mo e, mac oeconomic a iables such as in la ion, G oss Domes ic P oduc (GDP), in e es a es,
sa ings, and money supply play a c ucial ole in de e mining he p o i abili y and economic p ospec s o
a coun y. Addi ionally, hey enable in es o s o assess he economic en i onmen in which businesses,
households, and go e nmen ope a e, which is c ucial o in o ming in es men decisions (Bodie e al.,
2024). As Baele e al. (2010) a gue, luc ua ions in hese a iables igge simul aneous luc ua ions in
asse p ices, which consequen ly lead o luc ua ions in asse co ela ions. As no ed ea lie , luc ua ions
in asse co ela ions ha e implica ions o asse alloca ion and di e si ica ion s a egies. Hence, unde -
s anding he impac o hese ac o s is ele an and c ucial o SA because, i s ly, SA has had signi ican
mac oeconomic challenges which pu s i on he back oo when i comes o economic g ow h. These
domes ic mac oeconomic challenges make SA an app op ia e case s udy. These challenges include low
GDP g ow h a es, si ing a 0.1% as o he i s qua e o 2024, high unemploymen a e, which is si -
ing a 32.9% as o he i s qua e o 2024, and high in e es a es (Hausmann e al., 2022; S a s SA,
2024). Thus, unde s anding he impac o domes ic mac oeconomic ac o s p o ides aluable insigh s o
SA in es o s, allowing hem o e ec i ely adap hei asse alloca ion and di e si ica ion s a egies amid
a u bulen and challenging domes ic mac oeconomic en i onmen .
Fu he mo e, SA’s inancial ma ke s a e globally in eg a ed, making hem inc easingly suscep ible o
global ac o s. Fo example, du ing he heigh o he COVID-19-induced c isis, he Rand dep ecia ed by a
whopping 17% agains he US dolla , he SA go e nmen bonds yields ell by o e 9%, while he JSE all-
sha e index plunged by mo e han 24.1% yea o da e leading up o he end o Ma ch 2020 (Sou h
A ican Rese e Bank (SARB), 2023). Howe e , due o openness, SA con inues o ecei e a signi ican
amoun o po olio lows. Fas o wa d o 2023, SARB (2023) es ima ed he inwa d o eign po olio
lows a R47.7 billion as o he i s qua e o 2023. Hence, he combina ion o SA’s challenging domes-
ic economic landscape and i s openness o global inancial ma ke s makes i a signi ican ly complex
and ola ile en i onmen in which o in es , hus making a compelling case o s udying he dynamics
o i s inancial ma ke s. Addi ionally, JS’s dual s a us as bo h an eme ging and semi-ad anced ma ke
2 K. MLOYI AND E. VENGESAI
o e s a unique lens h ough which o examine inancial dynamics ha a e applicable o bo h de elop-
ing and mo e es ablished economies. The Johannesbu g S ock Exchange (JSE) is he la ges s ock
exchange in A ica and one o he op 20 globally by ma ke capi alisa ion (JSE, 2024). Thus, i p o ides
a well-di e si ied pla o m ha cap u es he beha iou o a b oad ange o asse classes. This dep h and
liquidi y make i an excellen p oxy o s udying asse co ela ions in he con ex o b oade global inan-
cial sys ems. The analysis o mul iple asse classes in his s udy is c ucial and ele an because i p o-
ides addi ional insigh s no co e ed in he cu en body o li e a u e, hus gi ing in es o s an
oppo uni y o na iga e he dynamics o no only he SA s ock-bond bu he s ock-FX and bond-FX co -
ela ions o guiding e ec i e asse alloca ion and di e si ica ion s a egies ac oss di e en pe iods, asse
classes, le els o global isk a e sion and domes ic mac oeconomic egimes.
Howe e , despi e he clea impo ance o unde s anding he nexus be ween global isk a e sion,
domes ic mac oeconomic ac o s, and dynamic condi ional co ela ions in SA, no s udies ha e ocused
on SA equi y, bond, and FX ma ke s. A hand ul o s udies concen a ing on SA ha e only ocused on
s ock-bond ma ke co ela ions and co ela ions o JSE equi y sec o al index pai s. The lack o e idence
and insigh s wi hin he b oade SA inancial ma ke s hinde s he o mula ion o in o med po olio isk
managemen s a egies. S a egies ha a e adap i e and aligned o he p e ailing na u e o asse co e-
la ions and e e changing le els o global isk a e sion and domes ic mac oeconomic ac o s.
Consequen ly, his subjec s in es men po olios o ele a ed le els o ma ke isk and hinde s he de el-
opmen o obus in es men app oaches ha a e esilien and adap i e o e e -changing global and
domes ic mac oeconomic en i onmen s. As a esul , his pape p o ides e idence and policy implica-
ions o he impac o global isk a e sion and domes ic mac oeconomic ac o s on dynamic condi ional
co ela ions om an eme ging ma ke (SA) pe spec i e. The indings o his s udy con ibu e o he cu -
en discou se in he domain o po olio isk managemen and, b oadly, in he ield o inancial econom-
ics. This pape is o ganised as ollows his sec ion discusses he in oduc ion o he s udy, he 2nd
sec ion unpacks he heo e ical and empi ical li e a u e, he 3 d sec ion delinea es he esea ch me hod-
ology, he 4 h sec ion discusses he esul s, and he 5 h sec ion documen s he conclusions o he s udy.
2. Li e a u e e iew
The Ma kowi z po olio selec ion heo y is one o he mos signi ican con ibu ions e e in inancial
economics. Ma kowi z (1952) documen ed he concep o di e si ica ion in his heo y, pa icula ly how a
mix o asse s wi h low co ela ions can minimise isk while maximising e u ns a e e y isk le el.
C ucially, Ma kowi z (1952) demons a ed ha he le el and di ec ion o asse co ela ions ha e a de e -
mining ole in he e ec i eness o di e si ica ion s a egies by p o ing ha di e si ica ion bene i s o
e ec i eness all as asse co ela ions ise om nega i e o posi i e. These indings imply ha in es o s
need o ca e ully conside in es ing in asse s wi h low co ela ions as his p o ides a highe isk- e u n
adeo han in es ing o he wise. These indings also sugges ha du ing pe iods o heigh ened asse
co ela ions, he bene i s o di e si ica ion can diminish, leading o high po olio exposu e. These impli-
ca ions uel he need o explo e he beha iou o asse co ela ions and s ay up o da e as changes in
asse co ela ions may a ec he e ec i eness o di e si ica ion s a egies. The ele ance o he
Ma kowi z po olio heo y o his s udy hinges on i s e y emphasis on po olio di e si ica ion as a
panacea o po olio isk. This s udy uses he Ma kowi z heo y as a baseline o guide he analysis o he
le el and di ec ion o s ock, bond, and FX ma ke co ela ions and unco e di e si ica ion oppo uni ies
ac oss selec ed ma ke s in SA. Howe e , his s udy inches u he by ca ying ou mul iple pe iod assess-
men s o asce ain, i s ly, whe he asse co ela ions a e dynamic and, secondly, whe he global isk
a e sion and domes ic mac oeconomic ac o s ha e any impac on hese co ela ions. Such unde s and-
ing is c ucial o adop ing app op ia e asse alloca ion and di e si ica ion s a egies ac oss di e en ime
pe iods, asse classes, le els o global isk a e sion, and domes ic mac oeconomic egimes.
Sha pe (1964) came up wi h he single index model by capi alising on he ma hema ical complexi ies
associa ed wi h he Ma kowi z po olio selec ion heo y. In pa icula , he compu a ions o a iance and
co a iances be ween la ge bodies o asse s which a e edious and ime-consuming (Van Wyk e al.,
2015). In his model, each p ice mo emen can be compu ed agains he ma ke index as opposed o all
he indi idual secu i ies in he ma ke . The single index model was la e e e ed o as he Capi al Asse
COGENT ECONOMICS & FINANCE 3
P icing Model (CAPM), which b ough in he wo k o Lin ne (1965) and Mossin (1966). Following he
CAPM, Ross (1976) p oposed he a bi age p icing heo y (APT) by a guing ha mul iple sys ema ic ac-
o s a ec he long- un e u ns o asse s and ha hese sys ema ic ac o s ep esen he undamen al
mac oeconomic isks (Bodie e al., 2024). While he CAPM implies ha e u ns a e solely de e mined by
ma ke isk, he APT implies ha e u ns a e de e mined by mul iple mac oeconomic ac o s (Van Wyk
e al., 2015). Hence, he combined ele ance o hese heo ies o his in es iga ion s ems om hei
app ecia ion o he ac ha e u ns a e a ec ed by ma ke and undamen al mac oeconomic ac o s.
Howe e , as a gued by Vengesai (2022), he opening up o SA inancial ma ke s o he global en i on-
men has led o he con igu a ion o ea lie s anda d e sions o he CAPM and he APT o e lec in e -
na ional a iables and in e na ional di e si ica ion. Righ ully so, as he s anda d heo ies we e biased
owa ds he local economies and ma ke s. Hence, his s udy s e ches u he by conside ing bo h global
isk a e sion and domes ic mac oeconomic ac o s in examining he dynamics be ween s ock, bond, and
FX ma ke co ela ions, hus e lec ing he eali ies o SA’s open economy.
As we ansi ion om he heo e ical li e a u e o he empi ical li e a u e, he pas wo decades ha e
seen a p oli e a ion o Mul i a ia e Gene alised Au o eg essi e Condi ional He e oskedas ici y (MV-GARCH)
models. Pa ly because o he ele a ed need o unde s and global inancial ma ke con agion and como e-
men as necessi a ed by he 2007-2009 GFC, and in e na ional di e si ica ion analysis as necessi a ed by
he globalisa ion o inancial ma ke s. Subsequen ly, MV-GARCH models such as he VECH model in o-
duced by Bolle sle e al. (1988), he BEKK model p oposed by Engle and K one (1995), and he Cons an
Condi ional Co ela ion (CCC) model p oposed by Bolle sle (1990), ha e been used widely. In pa icula ,
he CCC model has been widely used o es ima e co ela ions be ween asse s. Though pa simonious in
modelling condi ional co ela ions compa ed o he abo e models, he CCC model’s assump ion o con-
s an co ela ions has been lagged as oo es ic i e due o he ime- a ying na u e o co ela ions in eal
li e (Ma gani & Husodo, 2022). As a esul , Engle (2002) p oposed he Dynamic Condi ional Co ela ion
(DCC) model by elaxing he cons an co ela ion assump ion in he CCC model and allowing he co ela-
ions o a y. This s udy u ilizes he DCC model in modelling dynamic co ela ions ollowing leading s udies
such as Ma gani and Husodo (2022), Cai e al. (2023), and Sha iq e al. (2023) among o he s. Besides allow-
ing co ela ions o a y, which aligns pe ec ly o he pape ’s objec i es, he DCC model is supe io o o he
models such as he CCC and he BEKK model o a numbe o easons. Fi s ly, he DCC model esul s in less
pa ame e s han he BEKK and he CCC model making i ela i ely mo e pa simonious. Secondly, i is ela-
i ely less complica ed han he BEKK model in ha i in ol es wo s ep pa ame e es ima ion p ocedu es
ela i e o nume ous s eps in he BEKK model.
Engaging mo e comp ehensi ely wi h he empi ical li e a u e ela ing o his in es iga ion, ega dless o
he discussed impo ance o ca ying ou his in es iga ion, a s and o pape s examining dynamic co ela-
ions in Eu ope and he Uni ed S a es, such as Chiang e al. (2015) ocus mos ly on he commonly esea ched
s ock-bond equi y-equi y co ela ion dynamics lea ing a gap in he unde s anding o s ock-FX, and bond-FX
co ela ions. These s udies also mos ly concen a e on c oss-coun y co ela ion dynamics, which o e impli-
ca ions o c oss-coun y asse alloca ion and di e si ica ion, lea ing a gap in he unde s anding o wi hin-
coun y dynamics, which a e essen ial o guiding domes ic asse alloca ion and di e si ica ion wi hin local
ma ke s. Conce ning hese s udies, Pe ego and Ve meulen (2013) examined he mac oeconomic de e mi-
nan s o dynamic co ela ions o s ocks and bonds in he Eu ozone. Using he DCC model o de i e he
dynamic condi ional co ela ions and OLS o asce ain he impac o mac oeconomic ac o s, hey ind ha
ela i e ma ke unce ain y and balance o paymen s a e signi ican in explaining dynamic co ela ions
ac oss he Eu ozone. Chiang e al. (2015) use he ADCC and he Logis ic Smoo h T ansi ion models o del e
in o he s ock-bond dynamic co ela ions and hei de e minan s ac oss he US, Ge many, he UK, F ance,
I aly, and Canada. They ind o e whelming e idence poin ing o he ime- a ying na u e o s ock-bond co -
ela ions ac oss selec ed coun ies. They also ind ha he VIX index (used in his s udy as a p oxy o global
isk a e sion), de aul isk, and he easu y bill a e ha e a signi ican impac on s ock-bond co ela ions. The
indings o his s udy, pa icula ly on he dynamic na u e o co ela ions and he impac o global isk a e -
sion, coincide wi h s udies by Connolly e al. (2005) who ound simila esul s o he US.
Macmillan (2019) In es iga ed he ime- a ying asse co ela ions and hei economic implica ions
using he US and global s ocks as a case s udy. Using he DCC model o es ima e he ime- a ying co e-
la ions and he OLS o asce ain he impac o mac oeconomic ac o s, he inds ha he e m s uc u e
4 K. MLOYI AND E. VENGESAI
o in e es a es and consume sen imen s a e he majo ac o s d i ing he ime- a ying asse co ela-
ions ac oss he US and he global ma ke s. Kanda e al. (2018) asce ained he ime- a ying co ela ions
and causali y o equi y and FX e u ns in he Uni ed Kingdom (UK). Using e idence om he DCC and
G ange causali y echniques, hey ound o e whelming e idence o ime- a ying co ela ions and caus-
ali y be ween equi y and FX ma ke s. Despi e unco e ing equi y-FX ma ke co ela ion dynamics, his
s udy, un o una ely, does no unco e he de e minan s o such co ela ions, lea ing an e iden
esea ch gap. Abuzayed e al. (2020) explo ed he dynamic co ela ions o Real Es a e In es men T us s
(REITs) wi h s ock ma ke e u ns using e idence om F ance, he Uni ed Kingdom, and Ge many. Using
he DCC model, hey ound ha REITs-s ock co ela ions a e dynamically co ela ed ac oss selec ed coun-
ies. Analysing co ela ions du ing he 2007-2009 GFC and he Eu opean So e eign Deb C isis, hey
documen ha he REITs-s ock co ela ions do no decouple in c isis pe iods. Hence, he REITs o e a
limi ed oppo uni y o in e na ional di e si ica ion du ing c isis pe iods.
Mo e ecen s udies ocusing on Eu ope and he US ha e e iden ly no add essed he discussed
esea ch gaps. The emphasis o hese s udies lies in unco e ing he S ock-bond, c ude oil-bond, s ocks-
s ocks co ela ions. Rega ding hese s udies, Nie (2020) applies he K nea es neighbou (KNN) me hod-
ology o de ec c i ical e en s in he co ela ion s uc u e o inancial ma ke s in he US. They conclude ha
hei me hod is able o de ec anomalies in he inancial ma ke co ela ions. Pa icula ly, hei me hod-
ology is able o pick c i ical e en s such as he 2007/2009 GFC and he 2020 Co id 19 pandemic. Howe e ,
hough hei s udy is plausible, i does no a emp o in es iga e he d i e s o asse co ela ions lea ing
he iden i ied gaps e iden . Chiang (2020) ponde s he impac o isk and policy unce ain y on he widely
s udied US s ock-bond e u n co ela ions using he DCC GARCH model. He inds ha s ock-bond co ela-
ions a e dynamic o e ime. His u he analysis shows ha he dynamic s ock-bond co ela ions a e nega-
i ely co ela ed wi h s ock and bond ma ke ola ili y measu ed by condi ional a iances o he espec i e
ma ke s while posi i ely co ela ed wi h economic policy unce ain y. Al hough his pape gi es a clue
ega ding ela ionships be ween hese selec ed ac o s and dynamic co ela ions, hey don’ ca y ou
impac analysis lea ing clea esea ch gap. Fu he s udies such as Tsia as (2020) in es iga ed he ime
a ying co ela ions be ween c ude oil u u es and US bond ma ke s using he DCC GARCH model. They
ind ha c ude oil and bond ma ke s co ela ions a e signi ican ly dynamic o e ime. Thei u he analysis
shows ha he co ela ions inc eases be ween he pe iod 2012 and 2020 implying less di e si ica ion bene-
i s du ing he pe iod. Ba igozzi e al. (2021) ponde s he inancial ma ke connec edness o he US s ocks.
They ind ha he como emen be ween US s ocks accele a es du ing pe iods o inancial c isis. Ka anasos
and Y an i (2021) in es iga es he de e minan s o dynamic co ela ions o s ocks, eal es a e, and com-
modi ies o global ma ke s. Using he Glos en-Jaganna han-Runkle (GJR)-GARCH model hey ind ha eco-
nomic policy unce ain y, inancial unce ain y, c edi condi ions, business con idence and geopoli ical isk
a e signi ican in explaining dynamic co ela ions.
S udies in ol ing co ela ion dynamics o SA inancial ma ke s o e a iega ed insigh s. Al hough all
s udies ha e consensus on he dynamic na u e o asse co ela ions in SA, some s udies look in o he de e -
minan s o hese dynamic co ela ions, while some concen a e solely on he spillo e implica ions o he
dynamic co ela ions. O e all, hough hese s udies a e plausible in unco e ing c oss-coun y and wi hin-
coun y dynamics, hey do no o e insigh s in o he co ela ion dynamics be ween s ock, bond, and FX
ma ke s. As discussed, such in es iga ion is c i ical o he adop ion o app op ia e asse alloca ion and
di e si ica ion s a egies in SA. To unpack hese s udies, Ka zke (2013) es s whe he he SA sec o al equi y
index e u ns a e dynamically co ela ed. Using he DCC and he ADCC models, he inds ha he sec o al
equi y index e u ns a e signi ican ly dynamic o e ime. Using he OLS eg ession model, he inds ha VIX
(used in his s udy as a p oxy o global isk a e sion), exchange a e ola ili y, domes ic asse ma ke con-
di ion, and mac oeconomic s abili y a e all signi ican in explaining equi y sec o al co ela ions. The es o
he SA s udies concen a e on he spillo e implica ions o dynamic co ela ions.
Ncube, Ndou, and Guma a (2016) examined ime- a ying equi y ma ke co ela ions be ween eme g-
ing ma ke s using e idence om SA, B azil, and India. Using olling window co ela ions, hey ind e i-
dence o como emen be ween equi y co ela ions o he selec ed coun ies. Addi ionally, hei analysis
shows e idence o a high co ela ion be ween ime- a ying co ela ions and u u e eal economic ac i -
i y ac oss coun ies. Sikhosana and Aye (2018) in es iga ed he ola ili y spillo e s be ween he eal
exchange a e and he s ock e u ns in SA using he MV exponen ial GARCH model. They ind e idence
COGENT ECONOMICS & FINANCE 5
o bi-di ec ional ola ili y spillo e s be ween he ma ke s. They conclude ha while in o ma ion abou
one ma ke can be used o p edic he o he , hese asse s should no be included in he same po olio
due o highe dynamic co ela ions. Mo ema and Bonga-Bonga (2020) in es iga ed he de e minan s o
SA equi y sec o al ola ili y, ocusing on he impac o oil and gold p ice luc ua ions using he Vec o
Au o-Reg essi e (VAR)-ADCC models. They ind s ong e idence sugges ing ha s ock-gold and s ock-oil
co ela ions a e dynamic o e ime, which hey a gue a e signs o ma ke spillo e s be ween he ma -
ke s. In e es ingly, hey ind lowe co ela ions be ween equi y sec o al index e u ns and gold, sugges -
ing g ea e di e si ica ion bene i s be ween gold and equi ies, pa icula ly du ing c isis pe iods.
Simila s udies ha e been eplica ed in o he eme ging ma ke s ac oss Eu ope and Asia wi h no imp o e-
men in he highligh ed esea ch gaps. These s udies also show close o unanimous u ilisa ion o he DCC
model o asce aining he dynamic na u e o co ela ions and OLS o impac assessmen . Howe e , a small
ac ion o hese s udies use o he me hodologies, such as olling window co ela ions and Au o Reg essi e-
Dis ibu ed Lag (ARDL) models, among o he s. Anancho ikul and Zhang (2014) ind equi y, bond, and FX
ma ke co ela ions signi ican ly dynamic ac oss Eu opean, Asian, and La in Ame ican Eme ging Ma ke s
(EMs). Al hough hei in es iga ion is plausible, i did no ca y ou an impac s udy on he dynamic co ela-
ions, lea ing he impac o global isk a e sion and domes ic mac oeconomic ac o s unknown o hese
EMs. Rehman (2016) Ponde ed on he inancial con agion in Eme ging F on ie Asian (EFA) ma ke s. He con-
cludes ha he s ock co ela ions be ween he EFA coun ies a e signi ican ly dynamic. He also highligh s
e idence o ele a ed co ela ions be ween EFA coun ies du ing c isis pe iods, which sugges s diminishing
di e si ica ion bene i s be ween EFA coun ies du ing pe iods o c isis. E aslan (2017) e eals ha so e eign
c edi a ing announcemen s ha e a signi ican impac on dynamic FX co ela ions ac oss 11 EM coun ies.
This in es iga ion, hough i unco e s c oss-coun y FX co ela ion dynamics, does no add ess he esea ch
gaps a hand. Demi e e al. (2018) documen ha global isk a e sion has a consis en ly posi i e signi ican
impac on equi y co ela ions o EM coun ies. Aloma i e al. (2018) disco e s ong e idence o he dynamic
na u e o he equi y sec o al co ela ions o he Amman s ock exchange. They u he conclude ha dynamic
co ela ions a e signi ican ly explained by in la ion, in e es a es, inancial c ises, and news.
Mo ing u he wi h pape s concen a ing on o he eme ging ma ke s, ecen s udies con inue o shade
ligh on he dynamic na u e o asse co ela ions and hei d i e s. Howe e , as we show in his discussion,
no s udies ha e s udied he combined impac o global isk a e sion and domes ic mac oeconomic ac o s
on dynamic co ela ions be ween s ock, bond, and FX ma ke s. Going ahead wi h hese s udies, Gungo
and Tas¸ an (2021) in es iga es he mac oeconomic de e mina es o s ock ma ke dynamic co ela ions o
G7 and BRICS coun ies. Thei analysis shows ha dynamic co ela ions a e signi ican ly de e mined by
GDP g ow h, economic policy unce ain y, and c edi de aul sp eads. Hashmi e al. (2021) demons a e
ha co ela ions be ween global economic policy unce ain y and Indonesian s ock ma ke e u ns a e sig-
ni ican ly dynamic o e ime. They u he ind ha in la ion, c ude oil p ices, GDP, and wo ld c ude oil p o-
duc ion ha e a signi ican impac on hese dynamic co ela ions. Chen e al. (2022) ponde s he d i e s o
s ock-bond ola ili y and co ela ions o China. They ind ha mac oeconomic undamen als including
indus ial p oduc ion g ow h is signi ican in explaining ola ili y in s ock and bond ma ke s. Howe e , hei
indings u he show ha he s ock bond-co ela ions a e weakly dynamic o e ime.
Ma gani and Husodo (2022) asce ain ha s ock-bond co ela ions ac oss Malaysia, Singapo e, India,
and Thailand a e signi ican ly dynamic. In e es ingly, hey ind ha c isis pe iods a e associa ed wi h
decoupling co ela ions o Thailand and Malaysia, which con adic s Ka zke (2013), who ound ha c isis
pe iods a e associa ed wi h ele a ed in e sec o al equi y co ela ions in SA. Sha iq e al. (2023) con i m
he dynamic na u e o commodi ies, bonds, o ex, and equi y ma ke co ela ions using e idence om
Bangladesh, Pakis an, Indonesia, Philippines, Vie nam, and Tu key. This s udy lea es ou an impac
assessmen , which is impo an o dynamic co ela ions o ecas ing and p edic ion equi ed o imp o -
ing ma ke iming. Cai e al. (2023) in es iga ed he impac o COVID-19 on he ime a ying s ock-bond
co ela ions ac oss 21 inancial ma ke s. Using he DCC model, hey ind ha he impac is a iega ed
ac oss egions. Fo No h Ame ica and Asia-Paci ic coun ies, hei esul s show ha he s ock bond co -
ela ions decoupled a he ini ial phases o he pandemic leading o inc eased di e si ica ion bene i s
which soon aded as he co ela ions s a ed o inc ease. Howe e , hey no e ha his phenomenon is
no p e alen o Eu opean s ocks.
6 K. MLOYI AND E. VENGESAI
This pape con ibu es o he academic li e a u e by examining he impac o global isk a e sion and
domes ic mac oeconomic ac o s on dynamic condi ional co ela ions om an eme ging ma ke (SA) pe -
spec i e. Fu he , i p o ides addi ional insigh s no co e ed in he cu en body o li e a u e by examin-
ing no only he equi y-bond co ela ions bu also he equi y-FX and he bond-FX ma ke co ela ions
ele an o ad ising in es o s abou he di e si ica ion s a egies a ailable ou side he SA equi y-bond
ma ke bounds. Expanding asse alloca ion and di e si ica ion beyond he adi ional s ock-bond mix has
been he cen al heme in academic li e a u e ollowing he endency o s ock-bond co ela ions o
su ge du ing pe iods o c isis educing di e si ica ion e ec i eness (Rehman, 2016).
3. Me hodology
3.1 Da a and a iables
To explo e he impac o global isk a e sion and domes ic mac oeconomic ac o s on dynamic condi-
ional co ela ions, his s udy uses mon hly ime se ies da a co e ing 14 yea s om Janua y 2008 o
Decembe 2021. This esea ch pe iod is chosen i s ly because i cap u es e en s such as he 2007-2009
GFC, he Eu opean Deb C isis o 2010, he ape an um o 2013, he commodi y p ice slump in 2015,
and he COVID-19 pandemic-induced ma ke ola ili y in 2020. Hence, he esea ch pe iod p o ides su i-
cien unway and c isis episodes o comp ehensi ely asce aining he impac o global isk a e sion and
domes ic mac oeconomic ac o s pos -global inancial c isis and o he gene a ion o insigh s ha will
guide policy o mula ion in simila episodes in he u u e. Fu he , he esea ch pe iod is su icien o
ou analysis, wi h a o al o 168 obse a ions pe a iable. Las ly, he esea ch pe iod is in line wi h he
objec i es o he pape , which is o unco e he insigh s up o he end o he COVID-19 c isis. Fo he
analysis, his s udy uses he e u ns o he JSE All Sha e Index (RJSEALSH), which is used as a p oxy o
equi y ma ke e u ns, JSE All bond Index e u ns (RJSEALB) used as a p oxy o bond ma ke e u ns,
and US dolla o Rand exchange a e e u ns (RFX) used as a p oxy o o eign exchange ma ke e u ns.
The e u ns we e de i ed using he ollowing loga i hmic o mula:
R ¼ln P
P −1
whe e R a e e u ns a ime ,P a e p ices a ime , and P −1 a e p ices a ime −1
In line wi h he empi ical li e a u e discussed in he second sec ion, his s udy uses he log o he
Chicago Boa d o Op ions (CBO) ola ili y index (LVIX) as a p oxy o global isky a e sion. By calcula ion,
VIX is de i ed by a e aging he weigh ed p ices o ou -o - he-money calls and pu s o a a ie y o US
op ion ma u i ies wi h he aim o de i ing ma ke consensus on he expec ed 30-day ola ili y. Hence,
VIX ep esen s he global ma ke ea and unce ain y ( isk a e sion) consensus. Highe VIX alues indi-
ca e inc eased global isk a e sion, while lowe alues signal less global isk a e sion (Chiang e al.,
2015). This pape ollows Ka zke (2013), Chiang e al. (2015) and Hashmi e al. (2021) in adop ing he VIX
as a p oxy o global isk a e sion, LINF, which deno es he log o he a e o in la ion, LM3 which s ands
o he log o b oad money supply, CABALANCE which is he cu en accoun balance, DMU s anding o
he domes ic ma ke unce ain y which is measu ed by he a io o condi ional a iances o ma ke
e u n se ies ollowing Pe ego and Ve meulen (2016) and Chiang (2020). LTB which is he log o easu y
bill yield, and LGDS ep esen ing he log o sa ings as a pe cen age o GDP as explana o y a iables.
Da a on in la ion was ob ained om he SARB da a po al, while he es o he da a was ob ained om
Bloombe g. This s udy u ilised he da a om hese sou ces due o hei uncomp omising quali y, accu -
acy, and eliabili y (P
ee e al., 2021).
3.2 Model speci ica ion
The me hodology o his s udy is wo old. Fi s ly, he s udy uses he DCC-GARCH model o asce ain
whe he he ma ke co ela ions a e dynamic and o de i e he dynamic condi ional co ela ions
Secondly, i hen uses he OLS eg ession model o asce ain he impac o global isk a e sion and
domes ic mac oeconomic ac o s on dynamic condi ional co ela ions ollowing mos o he pape s dis-
cussed in he li e a u e e iew sec ion. As highligh ed, he DCC model is p e e ed because i is mo e
COGENT ECONOMICS & FINANCE 7
The p- alues om he co elog am Q s a is ic and ARCH es a e g ea e han 5% ac oss models.
Hence, he models a e ee om au oco ela ion and he e oscedas ici y, espec i ely.
4.7 OLS eg ession equa ion ou pu s
Table 8 shows he eg ession esul s om he pa simonious models as p oposed by Guja a i (2012).
Guja a i (2012) con ends ha pa simonious models esul in high explana o y powe and mo e signi i-
can coe icien s. Hence, in he spi i o pa simony, LM3 and LINF we e d opped om he models as
hei inclusion did no make he models be e . Addi ionally, lagged dependen a iables we e included
as a panacea o se ial co ela ion. The EVIEWS 12 indica o sa u a ion unc ionali y was also used o he
de ec ion and emo al o ou lie s.
Fo esul s discussion, his s udy speci ies 2 hemes. The i s heme deals wi h he impac o global
isk a e sion, while he 2
nd
heme deals wi h he impac o domes ic mac oeconomic ac o s.
4.7.1 Impac o global isk a e sion on dynamic condi ional co ela ions
Resul s om he OLS models indica e ha global isk a e sion p oxied by he Loga i hm o he CBO
Vola ili y index (LVIX) has a nega i e insigni ican impac on equi y-bond ma ke co ela ions. These
indings align wi h he indings by Panchenko and Wu (2009), who simila ly ound global isk a e sion
insigni ican in hei s udy in ol ing eme ging ma ke coun ies. This s udy, howe e , de ia es om
he conclusions d awn by Connolly e al. (2005) and Chiang e al. (2015), who ound global isk a e -
sion o be nega i e and signi ican o he US, Canada, F ance, I aly, and Ge many. As a gued by
Tachibana (2020), he expec a ion is ha ele a ed global isk a e sion, which occu s in pe iods o u -
moil, should lead o he decoupling o s ock-bond co ela ions necessi a ed by he phenomenon o
ligh o quali y whe e in es o s shi hei po olio posi ions om isky asse s such as s ocks o sa e
asse s such as bonds. Subsequen ly, and as highligh ed ea lie , he esul an decoupling o s ock-bond
co ela ions should hus lead o he inc ease in di e si ica ion bene i s be ween hese ma ke s.
Howe e , agains hese p io i expec a ions, and sadly o SA in es o s, his s udy’s indingssugges
ha ele a ed global isk a e sion does no ansla e in o signi ican decoupling o s ock-bond co ela-
ions in SA and hence does no signi ican ly inc ease di e si ica ion bene i s be ween hese ma ke s.
Thus, hese indings mean ha he adi ional di e si ica ion s a egy, which in ol es he mixing o
Table 7. Diagnos ics o he DCC GARCH (1,1).
Tes conduc ed RJSEALSH RJSEALB RFX
Co elog am Q o se ial co ela ion: 15
h
Lag 6.76
(0.96)
17.08
(0.31)
9.45
(0.85)
ARCH es o He e oscedas ici y 2.08
(0.13)
0.30
(0.74)
0.23
(0.79)
The p alues o he coe icien s a e w i en in pa en hesis while he es s a is ics a e abo e he p alues. : Tes s a is ic is signi ican a
10%, : Tes s a is ic is signi ican a 5%, : Tes s a is ic is signi ican a 1%.
Sou ce: Au ho ’s own compu a ion.
Table 8. OLS eg ession equa ion ou pu s.
Va iable Equi y and Bond co ela ion Equi y and FX co ela ion Bond and FX co ela ion
CONSTANT 0.05 −0.11 0.10
CORRELATION (-1) 0.78 0.86 0.89
LVIX −0.01 0.05 −0.02
D(CABALANCE) 0.03 0.03 0.01
DMU 0.00 −0.014 0.06
D(LTB) −0.37 −0.30 −0.06
D(LGDS) −0.22−0.39 0.01
R-squa ed: 0.67
P ob(F-s a is ic):0.00
Du bin-Wa son s a : 2.02
: Coe icien is signi ican a 10%,
: Coe icien is signi ican a 5%,
: Coe icien is signi ican a 1%
R-squa ed: 0.81
P ob(F-s a is ic):0.00
Du bin-Wa son s a : 2.01
: Coe icien is signi ican a 10%
: Coe icien is signi ican a 5%
: Coe icien is signi ican a 1%
R-squa ed: 0.90
P ob(F-s a is ic):0.00
Du bin-Wa son s a : 2.04
: Coe icien is signi ican a 10%
: Coe icien is signi ican a 5%
: Coe icien is signi ican a 1%
Sou ce: Au ho ’s own compu a ion.
14 K. MLOYI AND E. VENGESAI
equi ies and bonds, does no p o ide he an icipa ed le el o isk mi iga ion du ing pe iods o ele-
a ed global isk a e sion in SA. As a esul , SA in es o s may need o explo e an al e na i e mix o
asse classes o be e sa egua d hei in es men s du ing such pe iods. Such s a egies include mixing
equi ies and gold, as p o en o wo k in pe iods o c isis by Chkili (2016), equi ies and ene gy commod-
i ies, as ecommended by Kuma e al. (2019), and equi ies and eal es a e in es men us s (REITs) as
ecommended by Ande son e al. (2021). The lack o di e si ica ion oppo uni ies be ween equi y and
bond ma ke s in imes o ele a ed global isk a e sion may exace ba e capi al losses. Hence, policy-
make s a e encou aged o enac measu es a ge ing educing he ulne abili y o SA inancial ma ke s
o heigh ened global isk a e sion. These measu es could include se ing up an in es men insu ance
und ha deals wi h in es men losses o e ail and ins i u ional in es o s. Simila e o s ha e been
ealised h ough he c ea ion o he Expo C edi Insu ance Co po a ion o SA (ECIC) which co e s o -
eign in es men losses o SA en i ies (ECIC, 2024). This s udy p oposes he deepening and widening
o he scope o such co po a ions o include co e ing losses o SA ins i u ional and e ail in es o s
in es ed domes ically and in e na ionally. These in e en ions may p o ide co e o in es o s du ing
c isis pe iods.
E idence om he equi y-FX co ela ion model shows ha global isk a e sion has a posi i e and sig-
ni ican impac on equi y-FX ma ke co ela ions. These indings show ha inc eases in global isk a e -
sion signi ican ly inc ease he co ela ion be ween he equi y and FX ma ke s, consequen ly educing
he di e si ica ion bene i s be ween hese ma ke s. This is so because inc eases in global isk a e sion
igge ligh o quali y om s ocks and he Rand o low- isk asse s such as gold and sa e ha en cu en-
cies such as he US dolla (T onzano, 2023). This leads o a decline in bo h equi y and Rand p ices, con-
sequen ly heigh ening he co ela ion be ween hese ma ke s. Gi en hese indings, i ollows ha
holding a mix o SA equi ies and he Rand in he FX ma ke may no p o ide e ec i e po olio isk p o-
ec ion in pe iods o high global isk a e sion. Howe e , he in e se o hese indings sugges s ha du -
ing pe iods o high global isk a e sion, SA equi ies a e nega i ely co ela ed wi h he US dolla as he
US dolla ends o app ecia e agains he Rand while he SA equi ies all. Hence, in es o s should con-
side opening o eign exchange accoun s which enable hem o hedge equi y posi ions by alloca ing a
po ion o hei capi al in o US dolla s. This app oach will no only mi iga e equi y ma ke isk bu will
also capi alise on he sa e ha en p ope y o he US dolla which may p o ide mo e e u ns as i app e-
cia es du ing c isis pe iods.
Fu he , his s udy inds ha global isk a e sion has a nega i e and signi ican impac on bond-FX
co ela ions. In line wi h p io i expec a ions, inc eases in global isk a e sion igge ligh o sa e y by
in es o s (Fleming e al.,1995). As a esul , in es o s ake long posi ions on sa e asse s such as bonds
and sho posi ions on isky asse s such as he Rand. This causes di e gence in he bonds and Rand p i-
ces, which consequen ly leads o alling co ela ion le els be ween hese asse s. The indings on bond-
FX co ela ions sugges ha heigh ened global isk a e sion inc eases he di e si ica ion oppo uni ies
be ween he bond and FX ma ke s. Consequen ly, his s udy ad ises in es o s o hold a combina ion o
bonds and he Rand in he FX ma ke du ing episodes o high global isk a e sion o mi iga e idiosyn-
c a ic isks du ing such pe iods. Fu he mo e, he indings also sugges ha in pe iods whe e global isk
a e sion is low, di e si ica ion bene i s may all be ween hese ma ke s necessi a ed by inc easing co e-
la ions. Hence, we a gue ha in es o s mus ack global isk a e sion as an indica o and implemen
dynamic asse alloca ion by ensu ing pe iodic po olio op imisa ion in line wi h e e changing le el o
asse co ela ion and global isk a e sion.
4.7.2 Impac o domes ic mac oeconomic ac o s on dynamic condi ional co ela ions
This s udy inds ha cu en accoun balance has a posi i e impac on dynamic condi ional co ela ions.
In pa icula , i s impac is signi ican o s ock-bond pai s, which sugges s ha an inc ease in he cu en
accoun balance inc eases he co ela ion be ween equi y and bond ma ke s, consequen ly educing he
di e si ica ion bene i s be ween hese ma ke s. This inding coincides wi h he indings o Pe ego and
Ve meulen (2013), who ound simila esul s. Addi ionally, his s udy es ablishes ha domes ic ma ke
unce ain y has bo h nega i e and posi i e impac s on he dynamic condi ional co ela ions. Howe e ,
i s p- alues show ha i is only signi ican in explaining bond-FX ma ke co ela ions. I s posi i e coe i-
cien sugges s ha inc eases in domes ic ma ke unce ain y educe he di e si ica ion bene i s be ween
COGENT ECONOMICS & FINANCE 15
hese ma ke s. This s udy also asce ains ha easu y bill a e has a nega i e impac on dynamic condi-
ional co ela ions. Howe e , i s impac is only signi ican in explaining he s ock-bond co ela ions coin-
ciding wi h ligh o liquidi y asse ions by Chiang e al. (2015), whe e in es o s mo e om isky asse s
o mo e liquid and less isky asse s, causing he asse co ela ions o decouple. As such, hese indings
sugges ha inc eases in easu y bill a es inc ease he di e si ica ion bene i s be ween s ock and bond
ma ke s in SA. Las ly, his s udy es ablishes ha sa ings ha e a nega i e and signi ican impac on
s ock-bond and s ock-FX co ela ions, hus sugges ing ha an inc ease in sa ings inc eases di e si ica-
ion bene i s be ween hese asse classes. Following hese indings and implica ions, his s udy ecom-
mends he adop ion o dynamic asse alloca ion and di e si ica ion s a egies ha espond o changes
in dynamic co ela ions, global isk a e sion, and domes ic mac oeconomic ac o s o po olios o
emain ully di e si ied a all imes. On his no e, in es o s can moni o he changes in global isk a e -
sion and domes ic mac oeconomic ac o s and ecalib a e asse alloca ion and di e si ica ion acco dingly
on a con inuous pe iodic basis. In ligh o his, and as emphasised by B ownlees and Llo ens-Te azas
(2020), his s udy ad oca es o he adop ion o obus dynamic co ela ion modelling and o ecas ing
ha includes hese ac o s. We posi ha dynamic co ela ion o ecas s can wo k as ea ly wa ning signals
o in es o s, hus helping hem o o esee po en ial ad e se and a ou able ma ke condi ions and s a -
egise o di e si ica ion be o ehand. On he mac oeconomic policy on , he highligh ed esul s and
implica ions pain a clea pic u e o he c ucial ole o global isk a e sion and mac oeconomic ac o s in
de e mining he e ec i eness o po olio isk managemen in SA. Hence, his s udy appeals o policy-
make s o conside inancial ma ke implica ions when o mula ing mac oeconomic policies. Speci ically,
we a gue ha policymake s should enac policies ha b ing ce ain y and con idence as well as s abili y
in he mac oeconomic en i onmen , as his is c ucial o c ea ing an enabling en i onmen o po olio
isk managemen in SA.
4.8 OLS esidual diagnos ics
Table 9 below pos s he esul s om he LM es o se ial co ela ion and BPG es o he e oscedas ic-
i y. The p- alues o bo h he LM and BPG es s a e g ea e han 5%. Hence, his s udy concludes ha
he models a e ee om se ial co ela ion and he e oscedas ici y.
5. Summa y and conclusion
This s udy aimed o assess he impac o global isk a e sion and domes ic mac oeconomic ac o s on
he dynamic condi ional co ela ions o asse e u ns using e idence om SA equi y, bond, and FX ma -
ke s. Two undamen al ques ions ueled his in es iga ion. Fi s ly, whe he co ela ions be ween SA
equi y, bond, and FX ma ke pai s a e dynamic, and secondly, whe he global isk a e sion and domes ic
mac oeconomic ac o s ha e any signi ican impac on hese dynamic co ela ions. Using he DCC-
GARCH model, his s udy inds ha he co ela ions be ween SA equi y and bond ma ke , equi y and FX
ma ke , and bond and FX ma ke a e signi ican ly dynamic o e ime. The luc ua ing na u e o asse co -
ela ions implies ha di e si ica ion bene i s a e no always p esen . Hence, his s udy ad ises in es o s
and in es men manage s o adop dynamic asse alloca ion and di e si ica ion s a egies o adjus po -
olios in a imely manne ha is app op ia e o he e e changing le el o asse co ela ions in SA. The
s udy cau ions agains he use o s a ic s a egies in SA’s e iden ly dynamic en i onmen and u he
Table 9. OLS esidual diagnos ics.
Tes conduc ed Equi y Bond co ela ion Equi y FX co ela ion Bond and FX co ela ion
LM es o se ial co ela ion 1.62
(0.44)
0.40
(0.82)
0.55
(0.76)
BPG es o He e oscedas ici y 5.83
(0.44)
5.51
(0.48)
4.88
(0.90)
The p alues o he coe icien s a e w i en in pa en hesis while he es s a is ics a e abo e he p alues. : Tes s a is ic is signi ican a
10%, : Tes s a is ic is signi ican a 5%, : Tes s a is ic is signi ican a 1%.
Sou ce: Au ho ’s own compu a ion.
16 K. MLOYI AND E. VENGESAI
con ends ha such may unde mine po olio isk managemen e o s and subjec po olios o high
ma ke isks.
Using e idence om he OLS eg ession models, his s udy inds ha global isk a e sion has a a ie-
ga ed impac on dynamic condi ional co ela ions. Resul s indica e ha i s impac is nega i e and insig-
ni ican on s ock-bond co ela ions, posi i e and signi ican on s ock-FX co ela ions, and nega i e and
signi ican on bond-FX co ela ions. These indings imply ha pe iods o ele a ed isk a e sion lead o
no signi ican inc ease in di e si ica ion bene i s be ween s ock and bond ma ke s, less di e si ica ion
bene i s be ween equi y and FX ma ke s, and inc eased di e si ica ion bene i s be ween bond and FX
ma ke s. As a esul , hese indings unde line he inadequacy o adi ional di e si ica ion me hods in
pe iods o c isis. Thus, hese indings mean ha he adi ional di e si ica ion s a egy, which in ol es
mixing equi ies and bonds, may no p o ide he an icipa ed le el o isk mi iga ion du ing pe iods o
ele a ed global isk a e sion. As a esul , SA in es o s may need o explo e an al e na i e mix o asse
classes o be e sa egua d hei in es men s du ing such pe iods. Such mix may include bonds and cu -
encies in he FX ma ke , equi ies and he US dolla in he FX ma ke , equi ies and REITs, and equi ies
and gold. Chkili (2016), Kuma e al. (2019), and Ande son e al. (2021) p o ide suppo ing e idence.
Addi ionally, OLS esul s also show ha domes ic mac oeconomic ac o s such as cu en accoun bal-
ance, domes ic ma ke unce ain y, easu y bill a e, and sa ings ha e a he e ogeneous impac on he
dynamic condi ional co ela ions. In ligh o hese indings, his s udy ad ises in es o s o adop ac i e
and dynamic asse alloca ion and di e si ica ion s a egies. These a e s a egies ha ake in o conside -
a ion he a iega ed na u e o he le el and di ec ion o s ock-bond, s ock-FX, and bond-FX co ela ions
and a iega ed impac - esponses o hese co ela ions o global isk a e sion and domes ic mac oeco-
nomic ac o s whils esponding o changes in dynamic co ela ions, global isk a e sion, and domes ic
mac oeconomic ac o s o keep po olios ully di e si ied a all imes. To implemen hese s a egies, we
ad ise in es o s o con inuously moni o and ecalib a e hei asse alloca ion and di e si ica ion s a -
egies in acco dance wi h changing asse co ela ions, global isk a e sion, and mac oeconomic ac o s.
C ucially, and based on he esea ch indings, his s udy ad oca es o he inclusion o global isk a e -
sion and domes ic mac oeconomic ac o s in obus dynamic co ela ion modeling and o ecas ing due
o hei signi icance in explaining dynamic co ela ions.
In conclusion, his pape con ibu es o he ield o inancial economics by enhancing he unde s anding
o he impac o global isk a e sion and domes ic mac oeconomic ac o s on dynamic condi ional co ela-
ions om an eme ging ma ke (SA) pe spec i e. Fu he , his pape p o ides addi ional insigh s no co e ed
in he cu en body o li e a u e by examining no only he equi y-bond co ela ions bu also he equi y-FX
and he bond-FX ma ke co ela ions ele an o ad ising in es o s abou he di e si ica ion s a egies a ail-
able ou side he adi ional s ock-bond ma ke bounds. Expanding asse alloca ion and di e si ica ion beyond
he adi ional s ock-bond mix has been he cen al heme in academic li e a u e, ollowing he endency o
s ock-bond co ela ions o su ge du ing pe iods o c isis, educing di e si ica ion e ec i eness (Rehman,
2016). Fo u u e esea ch, his pape ecommends he expansion o he s udy pe iod beyond 2021 o cap-
u e e ol ing dynamics beyond his s udy. Resea che s can also expand on explana o y a iables by explo -
ing o he se s o domes ic mac oeconomic ac o s such as unemploymen , in e es a es, and GDP.
Resea che s can also explo e subsec o dynamics, which will enable mo e g anula analysis. Resea che s can
also conside o he asse classes, such as commodi ies, gold, and eal es a e, o p o ide a solu ion o ailing
adi ionalasse classessuchass ocksandbonds.
Au ho con ibu ion s a emen
Kelleb Mloyi and Edson Vengesai we e bo h in ol ed in he concep ion and design, Kelleb Mloyi in he analysis and
in e p e a ion o he da a, Kelleb Mloyi in he d a ing o he pape , Edson Vengesai e ising i c i ically o in ellec-
ual con en , supe ising he p ojec and he inal app o al o he e sion o be published. All au ho s ag ee o be
accoun able o all aspec s o he wo k.
Disclosu e s a emen
The au ho s epo he e a e no compe ing in e es s o decla e.
COGENT ECONOMICS & FINANCE 17
Funding
This esea ch ecei ed no ex e nal unding.
Abou he au ho s
Kelleb Mloyi, is an Assis an Academic Manage a The S uden Hub Online since Janua y 2019, o e sees academic
s a and p e iously held oles such as Senio Academic Supe iso and Head Tu o . He has se ed as a Resea ch
Assis an a Lupane S a e Uni e si y and as a C edi Risk Analys a KCI Mic o inance. Kelleb holds a mas e ’s deg ee
in inancial economics and In es men Managemen om he Uni e si y o he F ee S a e and is a quali ied RPE in
Equi ies om he Sou h A ican Ins i u e o Financial Ma ke s.
Edson Vengesai, PhD, CFA, is a Senio Lec u e in Finance a he Uni e si y o F ee S a e in he Depa men o
Economics & Finance. His esea ch in e es s a e in Financial Economics: Co po a e Finance, Financial Ma ke s,
Po olio & In es men Managemen , Risk Managemen , Banking and Fin ech. Edson’s commi men o his ield
d i es his con inuous pu sui o knowledge and excellence in his academic and p o essional endea o s.
Da a a ailabili y
Da a is a ailable upon eques .
Re e ences
Abuzayed, B., Al-Fayoumi, N., & Bou i, E. (2020). Co-mo emen ac oss Eu opean s ock and eal es a e ma ke s.
In e na ional Re iew o Economics & Finance,69, 189–208. h ps://doi.o g/10.1016/j.i e .2020.05.010
Aloma i, M. W., Powe , D., & Tan isan iwong, N. (2018). De e minan s o equi y e u n co ela ions: a case s udy o
he Amman S ock Exchange. Re iew o Quan i a i e Finance and Accoun ing,50(1), 33–66. h ps://doi.o g/10.1007/
s11156-017-0622-4
Anancho ikul, N., & Zhang, L. (2014). Po olio lows, global isk a e sion and asse p ices in eme ging ma ke s. IMF
Wo king Pape s,14(156), 1. h ps://doi.o g/10.5089/9781498340229.001
Ande son, J. T., Ande son, R. I., Gui guis, H. S., P oppe, S., & Seile , M. J. (2021). Time- a ying co ela ions o REITs
and implica ions o po olio managemen . Jou nal o Real Es a e Resea ch,43(3), 317–334. h ps://doi.o g/10.
1080/08965803.2021.1985921
Baele, L., Bekae , G., & Koen, I. (2010). The de e minan s o s ock and bond e u n como emen s. Re iew o Financial
S udies,23(6), 2374–2428. h ps://doi.o g/10.1093/ s/hhq014
Ba igozzi, M., Hallin, M., Socco si, S., & on Sachs, R. (2021). Time- a ying gene al dynamic ac o models and he
measu emen o inancial connec edness. Jou nal o Econome ics,222(1), 324–343.
Bodie, Z., Kane, A., & Ma cus, A. J. (2024). In es men s and po olio managemen (13 h ed.). Mcg aw Hill.
Bolle sle , T. (1990). Modelling he cohe ence in sho - un nominal exchange a es: A mul i a ia e gene alized a ch
model. The Re iew o Economics and S a is ics,72(3), 498. h ps://doi.o g/10.2307/2109358
Bolle sle , T., Engle, R. F., & Woold idge, J. M. (1988). A capi al asse p icing model wi h ime- a ying co a iances.
Jou nal o Poli ical Economy,96(1), 116–131. h ps://doi.o g/10.1086/261527
B ownlees, C., & Llo ens-Te azas, J. (2020). P ojec ed dynamic condi ional co ela ions. SSRN Elec onic Jou nal.
h ps://doi.o g/10.2139/ss n.3576985
Cai, X., Cong, Y., & Sakemo o, R. (2023). COVID-19 and he o wa d-looking s ock-bond e u n ela ionship. Applied
Economics Le e s,30(3), 297–301. h ps://doi.o g/10.1080/13504851.2021.1985060
Chen, Q., Gao, X., Chen, C., Tian, S., & Hamo i, S. (2022). Mac o ac o , ma ke ola ili y, and s ock-bond co ela ion: A
dynamic mixed da a sampling o ecas . The Singapo e Economic Re iew,1–30. h ps://doi.o g/10.1142/
S021759082250028X
Chiang, T. (2020). Risk and policy unce ain y on s ock–bond e u n co ela ions: E idence om he US ma ke s.
Risks,8(2), 58. h ps://doi.o g/10.3390/ isks8020058
Chiang, T., Li, J., & Yang, S. (2015). Dynamic s ock–bond e u n co ela ions and inancial ma ke unce ain y. Re iew
o Quan i a i e Finance and Accoun ing,45(1)pages, 59–88. h ps://doi.o g/10.1007/s11156-013-0430-4
Chkili, W. (2016). Dynamic co ela ions and hedging e ec i eness be ween gold and s ock ma ke s: E idence o BRICS
coun ies. Resea ch in In e na ional Business and Finance,38(C), 22–34. h ps://doi.o g/10.1016/j. iba .2016.03.005
Connolly, R., S i e s, C., & Sun, L. (2005). S ock ma ke unce ain y and he s ock-bond e u n ela ion. Jou nal o
Financial and Quan i a i e Analysis,40(1), 161–194. h p://www.js o .o g/s able/27647190 h ps://doi.o g/10.1017/
S0022109000001782
Demi e , R., Omay, T., Yuksel, A., & Yuksel, A. (2018). Global isk a e sion and eme ging ma ke e u n como emen s.
Economics Le e s,173, 118–121. h ps://doi.o g/10.1016/j.econle .2018.09.027
18 K. MLOYI AND E. VENGESAI
ECIC. (2024). In es men insu ance. Re ie ed Janua y 5, 2024, om h ps://www.ecic.co.za/p oduc s/in es men -
insu ance/
Engle, R. (2001). GARCH 101: The use o ARCH/GARCH models in applied econome ics. Jou nal o Economic
Pe spec i es,15(4), 157–168. h ps://doi.o g/10.1257/jep.15.4.157
Engle, R. (2002). Dynamic condi ional co ela ion—A simple class o mul i a ia e GARCH models. Jou nal o Business
& Economic S a is ics,20(3), 339–350. h ps://doi.o g/10.1198/073500102288618487
Engle, R., & K one , F. (1995). Mul i a ia e Simul aneous Gene alized ARCH. Econome ic Theo y,11(1), 122–150.
h ps://doi.o g/10.1017/S0266466600009063
E aslan, V. (2017). Do so e eign a ing announcemen s a ec eme ging ma ke exchange a e co ela ions? A mul i a ia e
DCC-GARCH app oach. Applied Economics,49(21), 2060–2082. h ps://doi.o g/10.1080/00036846.2016.1231906
Fiszede , P., Fałdzi
nski, M., & Moln
a , P. (2019). Range-based DCC models o co a iance and alue-a - isk o ecas ing.
Jou nal o Empi ical Finance,54(C), 58–76. h ps://doi.o g/10.1016/j.jemp in.2019.08.004
Fleming, J., Os diek, B., & Whaley, R. E. (1995). P edic ing s ock ma ke ola ili y: A new measu e. Jou nal o Fu u es
Ma ke s,15(3), 265–302. h ps://doi.o g/10.1002/ u .3990150303
Ga c
ıa-He e o, A., & O iz Sa a ia, A. (2007). The ole o global isk a e sion in explaining so e eign sp eads.
Econom
ıa,7(1), 125–155. h ps://doi.o g/10.1353/eco.2007.0005
Guja a i. (2012). Econome ics by examples (4 h ed.). Palg a e, Mcmillan.
G€
ung€
o , A., & Tas¸ an, H. (2021). On mac oeconomic de e minan s o co-mo emen s among in e na ional s ock ma -
ke s: E idence om DCC-MIDAS app oach. Quan i a i e Finance and Economics,5(1), 19–39. h ps://doi.o g/10.
3934/QFE.2021002
Hashmi, S. M., Gilal, M., & Wong, W. (2021). Sus ainabili y o global economic policy and s ock ma ke e u ns in
Indonesia. Sus ainabili y,13(10), 5422. h ps://doi.o g/10.3390/su13105422
Hausmann, R., S u zenegge , F., Golds ein, P., Muci, F., & Ba ios, D. (2022). Mac oeconomic isks a e a decade o
mic oeconomic u bulence: Sou h A ica 2007-2020. UNU-WIDER Wo king Pape 3/2022.
JSE. (2024). JSE’s 2023 annual inancial esul s show s ong pe o mance in line wi h long- e m a ge s. Re ie ed
June 4, 2024, om h ps://www.jse.co.za/news/news/jses-2023-annual- inancial- esul s-show-s ong-pe o mance-
line-long e m- a ge s
Kanda, P. T., Bu ke, M., & Gup a, R. (2018). Time- a ying causali y be ween equi y and cu ency e u ns in he Uni ed
Kingdom: E idence om o e wo cen u ies o da a. Physica A: S a is ical Mechanics and I s Applica ions,506,
1060–1080. h ps://doi.o g/10.1016/j.physa.2018.05.037
Ka anasos, M., & Y an i, S. (2021). On he economic undamen als behind he dynamic equico ela ions among asse
classes: Global e idence om equi ies, eal es a e, and commodi ies. Jou nal o In e na ional Financial Ma ke s,
Ins i u ions and Money,74, 101292. h ps://doi.o g/10.1016/j.in in.2021.101292
Ka zke, N. (2013). Sou h A ican sec o e u n co ela ions: Using DCC and ADCC Mul i a ia e GARCH echniques o
unco e he unde lying dynamics, Wo king Pape s 17/2013. S ellenbosch Uni e si y, Depa men o Economics.
Kuma , S., P adhan, A. K., Tiwa i, A. K., & Kang, S. H. (2019). Co ela ions and ola ili y spillo e s be ween oil, na u al
gas, and s ock p ices in India. Resou ces Policy,62, 282–291. h ps://doi.o g/10.1016/j. esou pol.2019.04.004
Lin, F.-L., Yang, S.-Y., Ma sh, T., & Chen, Y. (2018). S ock and bond e u n ela ions and s ock ma ke unce ain y:
E idence om wa ele analysis. In e na ional Re iew o Economics & Finance,55(C), 285–294. h ps://doi.o g/10.
1016/j.i e .2017.07.013
Lin ne , J. (1965). Secu i y p ices, isk, and maximal gains om di e si ica ion. The Jou nal o Finance,20(4), 587–615.
h ps://doi.o g/10.1111/j.1540-6261.1965. b02930.x
Ma gani, M., & Husodo, Z. (2022). Time- a ying co ela ion be ween s ock and go e nmen bond in Asia: Fligh - o-
quali y. Poli ik Indonesia: Indonesian Poli ical Science Re iew,7(2), 194–213. h ps://doi.o g/10.15294/ips . 7i2.37838
Ma kowi z, H. (1952). Po olio selec ion. The Jou nal o Finance,7(1), 77–91.
McMillan, D. G. (2021). The ime- a ying ela ion be ween s ock e u ns and mone a y a iables. Jou nal o Risk and
Financial Managemen ,15(1), 9. h ps://doi.o g/10.3390/j m15010009
Mo ema, K., & Bonga-Bonga, L. (2020). The impac o oil and gold p ice luc ua ions on he sou h a ican equi y ma -
ke . Resou ces Policy,68, 101740. h ps://doi.o g/10.1016/j. esou pol.2020.101740
Mossin, J. (1966). Equilib ium in a capi al asse ma ke . Econome ica,34(4), 768. h ps://doi.o g/10.2307/1910098
Ncube, M., Guma a, N., & Ndou, E. (2016). Global g ow h and inancial spillo e s and he Sou h A ican mac o-econ-
omy., Palg a e Macmillan Books, Palg a e Macmillan.
Nie, C. (2020). A ne wo k-based me hod o de ec ing c i ical e en s o co ela ion dynamics in inancial ma ke s. EPL
(Eu ophysics Le e s),131(5), 50001. h ps://doi.o g/10.1209/0295-5075/131/50001
Panchenko, V., & Wu, E. (2009). Time- a ying ma ke in eg a ion and s ock and bond e u n conco dance in eme g-
ing ma ke s. Jou nal o Banking & Finance,33(6), 1014–1021. h ps://doi.o g/10.1016/j.jbank in.2008.10.016
Pee , E., Ro hschild, D., Go don, A., E e nden, Z., & Dame , E. (2021). Da a quali y o pla o ms and panels o online
beha iou al esea ch. Beha io Resea ch Me hods,54(4), 1643–1662. h ps://doi.o g/10.3758/s13428-021-01694-3
Pe ego, E., & Ve meulen, W. (2013). Mac oeconomic de e minan s o Eu opean s ock and go e nmen bond ela ions: A
ale o wo egions. DEM Discussion Pape Se ies 13-08, Depa men o Economics a he Uni e si y o Luxembou g.
COGENT ECONOMICS & FINANCE 19
Pe ego, E. R., & Ve meulen, W. N. (2016). Mac o-economic de e minan s o Eu opean s ock and go e nmen bond
co ela ions: A ale o wo egions. Jou nal o Empi ical Finance,37, 214–232. h ps://doi.o g/10.1016/j.jemp in.
2016.04.002
Rehman, M. (2016). Financial con agion in EFA ma ke s in c isis pe iods: A mul i a ia e GARCH dynamic condi ional
co ela ion amewo k. Laho e Jou nal o Economics,21, 121–151.
Ross, S. A. (1976). The a bi age heo y o capi al asse p icing. Jou nal o Economic Theo y,13(3), 341–360. h ps://
doi.o g/10.1016/0022-0531(76)90046-6
SARB. (2023). In e na ional in es men posi ion: In e ne summa y, Sou h A ican Rese e Bank.
Sha iq, S., Qu eshi, S. S., & Akba , M. (2023). Dynamic ela ionship o ola ili y o e u ns ac oss di e en ma ke s:
E idence om selec ed nex 11 coun ies. Jou nal o Economic and Adminis a i e Sciences. (ahead-o -p in ).
h ps://doi.o g/10.1108/JEAS-09-2022-0216
Sha pe, W. F. (1964). Capi al asse p ices: A heo y o ma ke equilib ium unde condi ions o isk. The Jou nal o
Finance,19(3), 425–442. h ps://doi.o g/10.2307/2977928
Sikhosana, A., & Aye, G. C. (2018). Asymme ic ola ili y ansmission be ween he eal exchange a e and s ock
e u ns in Sou h A ica. Economic Analysis and Policy,60(C), 1–8. h ps://doi.o g/10.1016/j.eap.2018.08.002
S a is ics Sou h A ica. (2024). Economy 0,1% weake in he i s qua e . Re ie ed June 4, 2024, om h ps://www.
s a ssa.go .za/?p=17310
Tachibana, M. (2020). Fligh - o-quali y in he s ock–bond e u n ela ion: A egime-swi ching copula app oach.
Financial Ma ke s and Po olio Managemen ,34(4), 429–470. h ps://doi.o g/10.1007/s11408-020-00361-5
T onzano, M. (2023). Sa e-Ha en Cu encies as De ensi e Asse s in Global S ocks Po olios: A Reassessmen o he
Empi ical E idence (1999–2022). Jou nal o Risk and Financial Managemen ,16(5), 273. h ps://doi.o g/10.3390/
j m16050273
Tsia as, K. (2020). The ime- a ying co ela ion be ween c ude oil u u es and USA bond ma ke s du ing 2005-2020:
E idence om a DCC-GARCH model. Saudi Jou nal o Economics and Finance,4(12), 550–561. h ps://doi.o g/10.
36348/sje .2020. 04i12.003
Van Wyk, K., Bo ha, Z., & Goodspeed, I. (2015). Unde s anding Sou h A ican Financial Ma ke s (4 h ed.). Van Schaik
Publishe s.
Vengesai, E. (2022). COVID-19 and S ock Ma ke Vola ili y in Sou h A ica: A C oss-Sec o Analysis. Asian Economic
and Financial Re iew,12(7)pages, 473–493. h ps://doi.o g/10.55493/5002. 12i7.4533
20 K. MLOYI AND E. VENGESAI
