Abstract
The post-COVID-19 period has intensified risks across global and domestic financial markets, driven by persistent uncertainty, geopolitical frictions, and weakened investor sentiment. These conditions require institutional investors and policymakers to reassess portfolio behaviour under heightened volatility. Although related studies exist, their scope and methodological emphasis diverge from the present research. This thesis therefore investigates three critical dimensions of financial integration and portfolio risk relevant to South Africa: (1) dynamic correlation and hedging potential of major precious-metal stocks before and after COVID-19; (2) dynamic portfolio optimisation and diversification benefits when combining leading cryptocurrencies with South African banking equities; and (3) asymmetric volatility spillovers among key South African trading partners and resulting implications for FX-market portfolio strategies. The findings contribute to improved portfolio risk management for institutional and retail investors while offering evidence-based guidance for policymakers seeking to strengthen regulatory safeguards in a volatile post-pandemic environment.
The first empirical contribution evaluates the time-varying correlations and hedge ratios of selected gold and platinum stocks listed on the JSE during pre- and post-COVID-19 periods. Using GARCH frameworks and, complemented by an R-vine copula to capture tail dependence, the analysis shows that gold stocks provide consistently superior hedge effectiveness in bearish markets. Dynamic hedging strategies outperform static approaches by delivering more efficient protection against adverse JSE index movements. Moreover, results indicate that hedging costs were comparatively higher before COVID-19. These outcomes suggest that renewed investment in South Africa’s precious-metals sector may enhance macroeconomic resilience...