The study is based on the time series analysis of stock prices in South Africa. It
uses the data covering the period 1980Q1 to 2010Q4 to test the effect of
inflation on stock prices. The analysis is done using Auto-Regressive
Distributed Lag Model (ARDL). First, we investigate time series properties of
data. The unit root test results reveal stock prices (SP), interest rate (IR),
economic growth (GOP) and real effective exchange rate (EXCR) are integrated
of order zero -1(0), while the growth of money supply (MS) and inflation were
found to contain unit root. The Augumented Dickey-Fuller (ADF) test and the
Philips-Perron (PP) tests were used to test for unit root. Causality test suggests
that causation runs from inflation to stock prices. Cointegration test shows that
there is cointegration and as such, Error Correction Model (EC) is done to
establish short-run and long-run dynamics. The study shows that inflation does
contribute negatively to stock prices. / Thesis (MBA) North-West University, Mafikeng Campus, 2011
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:nwu/oai:dspace.nwu.ac.za:10394/15672 |
| Date | January 2011 |
| Creators | Khumalo, M J |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
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