Title: The effect of economic, financial and political country risk factors on the JSE mining index: an ARDL approach

Authors: Paul-Francois Muzindutsi; Swastika Rajhununan; Minenhle Dube; Bilal Ganie; Evaniya Mahess; Delvina Reddy

Addresses: School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa ' School of Accounting, Economics and Finance, University of KwaZulu-Natal, Durban, 4000, South Africa

Abstract: This study employed the auto-regressive distribution lag (ARDL) and non-linear auto-regressive distribution lag (NARDL) models to assess the response of the JSE mining index subsectors to economic, financial and political country risk factors. The sample period comprises of monthly observations from July 1995 to December 2018. Selected mining subsectors include coal, diamonds and gemstones, general mining, gold, and platinum and precious metals. Long-run and short-run findings show that various subsectors of the JSE mining index react differently to country risk shocks, suggesting that investors can diversify some components of country risk within the JSE mining sector.

Keywords: country risk; auto-regressive distribution lag; non-linear ARDL; mining sector; stock market; South Africa.

DOI: 10.1504/IJTGM.2022.120905

International Journal of Trade and Global Markets, 2022 Vol.15 No.1, pp.22 - 31

Received: 16 Feb 2020
Accepted: 01 Jul 2020
Published online: 16 Feb 2022 *

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