Original Articles

Monetary policy, structural breaks and JSE returns

Published in: Investment Analysts Journal
Volume 40, issue 73, 2011 , pages: 27–35
DOI: 10.1080/10293523.2011.11082535
Author(s): R Mangani [AN0001]

Abstract

This study investigated the effects of monetary policy on JSE portfolios using a GARCH(1,1) framework. Results for the period 1990—2009 were compared with those based on four sub-periods. The analysis shows that discount rate changes are important in describing mean returns and return volatilities. The significance of these effects varies during different states of the economy; according to the definition of the market portfolio; and depending on whether or not the asymmetric effects of monetary policy changes are modelled. The effects of positive and negative policy changes are somewhat asymmetric on the JSE.

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