The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange

Description

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / This study investigates how interest rates impact the South African Stock market. We investigate how the selected interest rates proxies predict the level of the FTSE/JSE All Share Index returns. The vector auto-regression (VAR) model was estimated and interpreted, based on the monthly data from June 1995 to September 2014. Using tools such as Granger causality, impulse response function and variance decomposition, we found that the selected variables did not significantly influence the FTSE/JSE All Share Index returns. Consequently, these variables are not useful as predictive tools for the South African stock market returns. / MT2017

Links & Downloads

1. Msindo, Zethu Handrey (2016) The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange, University of the Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/22148>
2. http://hdl.handle.net/10539/22148

Tags

Stocks--Prices--South Africa

Capital Assets Pricing Model

Interest rates--Forecasting

Johannesburg Stock Exchange

Additional Fields

Identifer	oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/22148
Date	January 2016
Creators	Msindo, Zethu Handrey
Source Sets	South African National ETD Portal
Language	English
Detected Language	English
Type	Thesis
Format	Online resource (49 leaves), application/pdf