I’m a passionate Financial Economist working to better understand how macro trends influence capital markets and trade dynamics around the world. My fields of expertise include Macroeconomic & Thematic Research, Forecasting & Modelling, Financial Analysis and Data Visualisation. I thoroughly enjoys generating new ideas and devising feasible solutions to broadly relevant problems. I’m also an avid fan of sports, winetasting, politics and travel in my spare time.
CFA Level 1 (Ongoing), 2020
CFA Institute
Masters Degree, Financial Economics, 2019
Stellenbosch University (South Africa)
Bachelors Degree (Hons), Finance and Economics, 2017
Stellenbosch University (South Africa)
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This paper investigates the extent of conditional volatility and time-varying correlations in South African and 18 other emerging market equity indices between January 2000 and November 2019. With considerations related to the dynamics in returns and correlation being focal drivers in the trajectory of asset pricing and hedging strategies, the multivariate DCC-GARCH model is used to study these characteristics extensively. Specifically, these estimates are decomposed into pre and post global financial crisis periods in attempt to understand how the dynamics have evolved since the crisis’ onset. Furthermore, episodes of high and low financial market volatility are characterised by stratifying the CBOE VIX into quintiles to assess whether these episodes intensify the correlations between equity indices. Overall, the main findings suggest a sharp rise in these co-movements in the post-Lehman era, as well as limited evidence to suggest that equity market correlations are magnified during these periods of uncertainty. These findings are bound to have considerable impacts on international investor decisions when considering the scope for hedging their portfolios across emerging markets, as well as policymaking decisions where the liberalisation of their capital markets is considered.