Browsing by Author "Sayed, Ayesha"

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    Time varying connectedness and volatility spillover among Shariah compliant indices
    (2025) Patel, Zeenat; Sayed, Ayesha
    Shariah-compliant investing is a subset of the conventional financial market; it follows certain faith-based principles and is also seen as a subset of ESG investing. This study seeks to identify the net transmitters and receivers of volatility within the Shariah compliant equity markets of the US, Europe, Canada, Japan, the UK, Asia Pacific, and South Africa. Using several shariah-compliant Dow Jones Islamic Market (DJIM) indices as well as the shariah-compliant JSE Top 40 index, data is collected from Bloomberg for the period of 22 September 2003 to 31 March 2023. The study employs the dynamic connectedness approach to investigate time-varying interdependence and volatility spillover among the indices during periods of economic crises. The results show that during economic crises, the volatility spillover between the shariah-compliant indices decreases significantly. Therefore, we conclude that shariah compliant indices decouple from each other during economic crises. Additional results show that the DJIM US index is the dominant net transmitter of volatility, while the DJIM Japan index is the main receiver of volatility spillover within the network. This study contributes to the academic literature by including an index from the South African market, incorporating a new methodology, and finally extending the period to incorporate the Russia-Ukraine conflict. The results have implications for individual and institutional investors active in the ESG environment and for the development of shariah-compliant investing.
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    Volatility spillover between Exchange-Traded Funds on the Johannesburg Stock Exchange
    (2025) Starr, Caleb; Sayed, Ayesha
    Growth in the Exchange-Traded Fund industry (ETF) has been exponential in the past decade. International research on this topic has been extensive, with less focus given to the local Johannesburg Stock Exchange (JSE). This research aims to extend the existing literature on the JSE, particularly focusing on the volatility spillover between domestic ETFs representing four major asset classes and four equity ETFs using the Diebold and Yilmaz (2012) Spillover Index. The equity ETF system includes the Satrix RESI 10 (STXRES), Satrix FINI 15 (STXFIN), and Satrix Capped INDI (STXIND). Four ETFs are selected as proxies for equities, bonds, commodities, and property. The ETFs representing the asset classes are the Satrix 40 (STX40), Satrix GOVI (STXGVI), ABSA NewGOLD (GLD), and 1Invest SA Property (ETFSAP), respectively. These two volatility systems are examined independently. The results show that the STX40 ETF is a net volatility transmitter in the alternate asset ETF system. Within the equity ETF system, the STXFIN and STXRES are net volatility receivers, and the STXIND fluctuates between receiver and transmitter of volatility over the period analysed. In the alternate asset system, ETFSAP and STXGVI are net volatility receivers, with the GLD ETF oscillating between being both a net receiver and transmitter. Furthermore, the Chicago Board Options Exchange Volatility Index (VIX) index is used to proxy foreign volatility shocks to South African financial assets. Approximately 12,5% of volatility for the full set of ETFs can be attributed to the VIX. Additionally, a regression analysis is employed to evaluate the VIX as a significant explanatory variable for measuring volatility propagation through the chosen ETFs, with the results confirming its significance solely in the equity ETF system. This study adds to the existing literature on portfolio allocation decisions by focusing on sector rotation and asset allocation strategies. Additionally, it provides insights into the diversification opportunities that JSE investors can benefit from using ETFs. The study includes periods of financial market volatility, driven by significant macroeconomic events, such as Britain's referendum vote on European Union participation, the COVID-19 pandemic, and the conflict between Russia and Ukraine