Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic
This paper analysed the impact of interest rate and exchange rate volatility on banking sector stock returns in South Africa considering the Covid-19 pandemic. This paper employed daily secondary data for the period 01 January 2011 - 19 August 2021. The OLS and GARCH approaches were utilized to ana...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Danubius University
2022-12-01
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| Series: | Acta Universitatis Danubius: Oeconomica |
| Online Access: | https://dj.univ-danubius.ro/index.php/AUDOE/article/view/2004 |
| _version_ | 1797948353725595648 |
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| author | Ledwaba Reabetswe Daniel Mokatsanyane Suné Ferreira-Schenk Johnny Jansen van Rensburg Ruschel Sgammini |
| author_facet | Ledwaba Reabetswe Daniel Mokatsanyane Suné Ferreira-Schenk Johnny Jansen van Rensburg Ruschel Sgammini |
| author_sort | Ledwaba Reabetswe |
| collection | DOAJ |
| description |
This paper analysed the impact of interest rate and exchange rate volatility on banking sector stock returns in South Africa considering the Covid-19 pandemic. This paper employed daily secondary data for the period 01 January 2011 - 19 August 2021. The OLS and GARCH approaches were utilized to analyse the relationship between the variables. The results indicate that the interest rates have a positive and significant relationship with bank stock returns as four out of five banks showed positive coefficients in the OLS estimator. Moreover, a high foreign exchange rate leads to a negative bank stock returns as the coefficients from the OLS estimator were negative. The ARCH and GARCH models' results indicate that bank stock returns are determined by their past volatility. The study has managerial implications for the banking sector because interest rate and exchange rate volatility increase the risks associated with the returns, implying that banks should consider various hedging strategies in mitigating these risks. Therefore, banks should consider various hedging strategies while the investors could attentively consider monetary policies during the investment decision process.
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| first_indexed | 2024-04-10T21:42:00Z |
| format | Article |
| id | doaj.art-ed3ccaac2d0d4990b358c958ed78c604 |
| institution | Directory Open Access Journal |
| issn | 2065-0175 2067-340X |
| language | English |
| last_indexed | 2024-04-10T21:42:00Z |
| publishDate | 2022-12-01 |
| publisher | Danubius University |
| record_format | Article |
| series | Acta Universitatis Danubius: Oeconomica |
| spelling | doaj.art-ed3ccaac2d0d4990b358c958ed78c6042023-01-19T01:40:36ZengDanubius UniversityActa Universitatis Danubius: Oeconomica2065-01752067-340X2022-12-01186Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 PandemicLedwaba Reabetswe0Daniel Mokatsanyane1Suné Ferreira-Schenk2Johnny Jansen van Rensburg3Ruschel Sgammini4orth-West University, VanderbijlparkNorth West UniversityNorth-West University, VanderbijlparkNorth-West University, VanderbijlparkNorth-West University, Vanderbijlpark This paper analysed the impact of interest rate and exchange rate volatility on banking sector stock returns in South Africa considering the Covid-19 pandemic. This paper employed daily secondary data for the period 01 January 2011 - 19 August 2021. The OLS and GARCH approaches were utilized to analyse the relationship between the variables. The results indicate that the interest rates have a positive and significant relationship with bank stock returns as four out of five banks showed positive coefficients in the OLS estimator. Moreover, a high foreign exchange rate leads to a negative bank stock returns as the coefficients from the OLS estimator were negative. The ARCH and GARCH models' results indicate that bank stock returns are determined by their past volatility. The study has managerial implications for the banking sector because interest rate and exchange rate volatility increase the risks associated with the returns, implying that banks should consider various hedging strategies in mitigating these risks. Therefore, banks should consider various hedging strategies while the investors could attentively consider monetary policies during the investment decision process. https://dj.univ-danubius.ro/index.php/AUDOE/article/view/2004 |
| spellingShingle | Ledwaba Reabetswe Daniel Mokatsanyane Suné Ferreira-Schenk Johnny Jansen van Rensburg Ruschel Sgammini Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic Acta Universitatis Danubius: Oeconomica |
| title | Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic |
| title_full | Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic |
| title_fullStr | Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic |
| title_full_unstemmed | Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic |
| title_short | Analysing Interest Rate and Exchange Rate Volatility on South African Banks' Stock Returns Considering the COVID-19 Pandemic |
| title_sort | analysing interest rate and exchange rate volatility on south african banks stock returns considering the covid 19 pandemic |
| url | https://dj.univ-danubius.ro/index.php/AUDOE/article/view/2004 |
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