The Transmission of Foreign Financial Crises to South Africa: A Firm-Level Study

Journal for Studies in Economics and Econometrics, Vol. 30, No. 2, pp. 61-85, 2006

25 Pages Posted: 27 Mar 2010

See all articles by Willem H. Boshoff

Willem H. Boshoff

Stellenbosch University - Department of Economics

Date Written: 2006

Abstract

The process of financial integration has increased the exposure of South African financial markets to foreign financial crises. This paper contributes to the understanding of crisis transmission by evaluating several hypotheses that claim to explain how financial crises are transmitted to South African financial markets. The study proceeds from a firm-level perspective, which it argues overcomes the potential loss of information when using aggregate economic data. Consequently, the different transmission hypotheses are evaluated for the East Asian, Russian and Argentinean crises using firm-level daily stock return data from the JSE Securities Exchange. A multivariate regression model, supplemented by sensitivity tests, forms the core of the empirical methodology.

Keywords: contagion, South Africa, financial crisis, transmission, financial markets

JEL Classification: G01, G15

Suggested Citation

Boshoff, Willem H., The Transmission of Foreign Financial Crises to South Africa: A Firm-Level Study (2006). Journal for Studies in Economics and Econometrics, Vol. 30, No. 2, pp. 61-85, 2006 . Available at SSRN: https://ssrn.com/abstract=1576505

Willem H. Boshoff (Contact Author)

Stellenbosch University - Department of Economics ( email )

South Africa
+27218082387 (Phone)
+27218084637 (Fax)

HOME PAGE: http://www.ekon.sun.ac.za/wboshoff

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