Thesis (MDF)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: Pension funds are large institutional investors in South Africa and hold some of the highest levels of investment, relative to gross domestic product, in the world. The South African stock market is also the largest stock market in Africa. Research has shown that pension funds can play an important role in developing stock markets. This assignment investigated the impact that pension fund investment has had on the development of the South African stock market. This question is particularly relevant in the light of the changing domestic pension policy environment and the need to better develop stock markets in Southern Africa and globally to generate economic growth. The Johansen cointegration approach was applied to evaluate the impact of pension funds on the development of the South African stock market. Stock market development was measured by its depth or market capitalisation, liquidity and volatility. The analysis shows that South African pension funds have improved the liquidity and reduced the volatility of the stock market. Pension fund investment in shares increased market capitalisation, while market capitalisation was reduced when the prime lending rate was included as a control variable. Total pension fund investment decreased market capitalisation, probably through the impact of interest rates on interest-bearing assets held in the portfolio.