The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries
We investigated the effects of cross-border equity flow volatility (EFV) on equity market returns (EMR) in SANEK countries (South Africa, Nigeria, Egypt, and Kenya) using the nonlinear autoregressive distributed lag (NARDL) model from 2000Q1 to 2021Q4. This model includes macro-finance variables suc...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2025-01-01
|
| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2025002 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850254599274889216 |
|---|---|
| author | Dumisani Pamba Sophia Mukorera Peter Moores-Pitt |
| author_facet | Dumisani Pamba Sophia Mukorera Peter Moores-Pitt |
| author_sort | Dumisani Pamba |
| collection | DOAJ |
| description | We investigated the effects of cross-border equity flow volatility (EFV) on equity market returns (EMR) in SANEK countries (South Africa, Nigeria, Egypt, and Kenya) using the nonlinear autoregressive distributed lag (NARDL) model from 2000Q1 to 2021Q4. This model includes macro-finance variables such as stock price volatility, market capitalization, interest rates, exchange rate risk, and inflation risk. Our findings revealed that cross-border equity flow volatility has a significant impact on equity market returns in SANEK countries, with both short-term and long-term effects observed. The NARDL model revealed that positive shocks have a greater impact on South Africa, while negative shocks have a positive effect on Nigeria. In Kenya, positive shocks have a negative impact on the equity market, whereas in Egypt, they have a positive effect. These findings suggested that cross-border equity flow volatility affects equity market returns differently across SANEK countries. Investors and policymakers should therefore develop customized strategies to deal with global financial market complexities. South African investors should be cautious during positive shocks, while Nigerians may benefit from economic downturns. Kenyan policymakers should stabilize the equity market during positive shocks, while Egypt could leverage the positive effects. Understanding these market dynamics can help investors and policymakers make informed decisions to maximize returns and ensure stability, despite cross-border equity flow volatility. |
| format | Article |
| id | doaj-art-fbbfa3f3671f45348898b54d07456bc4 |
| institution | OA Journals |
| issn | 2573-0134 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Quantitative Finance and Economics |
| spelling | doaj-art-fbbfa3f3671f45348898b54d07456bc42025-08-20T01:57:07ZengAIMS PressQuantitative Finance and Economics2573-01342025-01-0191407510.3934/QFE.2025002The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countriesDumisani Pamba0Sophia Mukorera1Peter Moores-Pitt2School of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville, Durban, 4000, South AfricaSchool of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville, Durban, 4000, South AfricaSchool of Accounting, Economics and Finance, University of KwaZulu-Natal, Westville, Durban, 4000, South AfricaWe investigated the effects of cross-border equity flow volatility (EFV) on equity market returns (EMR) in SANEK countries (South Africa, Nigeria, Egypt, and Kenya) using the nonlinear autoregressive distributed lag (NARDL) model from 2000Q1 to 2021Q4. This model includes macro-finance variables such as stock price volatility, market capitalization, interest rates, exchange rate risk, and inflation risk. Our findings revealed that cross-border equity flow volatility has a significant impact on equity market returns in SANEK countries, with both short-term and long-term effects observed. The NARDL model revealed that positive shocks have a greater impact on South Africa, while negative shocks have a positive effect on Nigeria. In Kenya, positive shocks have a negative impact on the equity market, whereas in Egypt, they have a positive effect. These findings suggested that cross-border equity flow volatility affects equity market returns differently across SANEK countries. Investors and policymakers should therefore develop customized strategies to deal with global financial market complexities. South African investors should be cautious during positive shocks, while Nigerians may benefit from economic downturns. Kenyan policymakers should stabilize the equity market during positive shocks, while Egypt could leverage the positive effects. Understanding these market dynamics can help investors and policymakers make informed decisions to maximize returns and ensure stability, despite cross-border equity flow volatility.https://www.aimspress.com/article/doi/10.3934/QFE.2025002cross-border equity flow volatilityequity market returnsnardlsanek countries |
| spellingShingle | Dumisani Pamba Sophia Mukorera Peter Moores-Pitt The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries Quantitative Finance and Economics cross-border equity flow volatility equity market returns nardl sanek countries |
| title | The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries |
| title_full | The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries |
| title_fullStr | The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries |
| title_full_unstemmed | The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries |
| title_short | The asymmetric effects of cross-border equity flow volatility on equity market returns in SANEK countries |
| title_sort | asymmetric effects of cross border equity flow volatility on equity market returns in sanek countries |
| topic | cross-border equity flow volatility equity market returns nardl sanek countries |
| url | https://www.aimspress.com/article/doi/10.3934/QFE.2025002 |
| work_keys_str_mv | AT dumisanipamba theasymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries AT sophiamukorera theasymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries AT petermoorespitt theasymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries AT dumisanipamba asymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries AT sophiamukorera asymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries AT petermoorespitt asymmetriceffectsofcrossborderequityflowvolatilityonequitymarketreturnsinsanekcountries |