On bank stock return spillovers in South Africa: Implications for portfolio hedging
The purpose of this study is to investigate the return spillovers among the five systemically important banks in South Africa. The study employs a time-varying parameter vector autoregression (TVP-VAR) framework utilising daily data between 2000 and 2024. A minimum return connectedness portfolio is...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-12-01
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| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S246822762400348X |
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