Abstract
This paper examines the importance of economic factors in a time-varying beta model of country risk before and after the occurrence of financial integration for South Africa's stock market. We examine how fundamental economic factors impact the variation of South Africa's country risk over the period 1993–2008. We find that exchange rates and gold prices are significant economic variables that induce significant volatility in South Africa's beta during the pre-financial integration period through June 1998. Post-financial integration, South Africa's beta rises and fundamental economic factors cease to be significant in determining its variation, a result consistent with an integrated financial market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
