| Popis: |
This paper assesses the extent of the transmission of financial shocks between South Africa and other members of the BRICS grouping in order to infer the degree of contagion during the period 1996–2012. The paper makes use of a multivariate VAR-DCC-GARCH model to this end. The paper finds evidence of cross-transmission and dependence between South Africa and Brazil. However, the empirical results show that South Africa is more affected by crises originating from China, India and Russia while these countries are least affected by crises originating from South Africa. The findings of this paper should be of interest to policy makers in the BRICS grouping should they be considering the possibility of full capital market liberalization and to the international investor who is looking at diversifying portfolios in the BRICS grouping. |
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