This study aims to address the empirical question of whether macroeconomic variables drive future stock market returns in South Africa. If found, the macroeconomic variables would therefore constitute useful predictive information for the future FTSE/JSE All Share Index. The data was examined from 1965 to 2010 which constitutes the longest study of its nature in South Africa. The macroeconomic variables were selected based on international and local precedent of intuitive influential macroeconomic factors. Through the use of Johansen multivariate cointegration, Granger causality and innovation accounting, it was found that the selected South African macroeconomic variables did not significantly influence future FTSE/JSE All Share Index returns. Therefore the chosen macroeconomic variables should not be used as a future predictive tool for South African stock market returns.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/12476 |
| Date | January 2011 |
| Creators | MacFarlane, Andrew |
| Contributors | West, Darron |
| Publisher | University of Cape Town, Faculty of Commerce, Department of Finance and Tax |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MCom |
| Format | application/pdf |
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