On the relationship between oil price, exchange rate and stock market performance in South Africa: Further evidence from time-varying and regime switching approaches

The study examines the dynamics between oil price, exchange rate, and stock market performance in South Africa using DCC-GARCH, time-varying VAR, multivariate Markov regime switching models. Monthly data on capitalization as a measure of from 2003(01) to 2019(7) were employed. results DCC-GARCH model show that dynamic conditional correlation among variable was stable with few exceptionalities. empirical findings VAR existence feedbacks price. rate have significant effects price booming period. concludes provides an important policy help stemming erratic fluctuations Appropriate knowledge linkage African economy is because her heavy reliance importation. upward change has so many overlapping sectors form increase cost goods services (inflation) lower standard living others. Hike believed also worsen external value Rands. This could send some dangerous signals foreign investors market, which may undermine market. Empirical this assist makers come up mitigating policies reduce volatility other economic fundamentals.