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Do macroeconomic variables explain future stock market movements in South Africa?
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 1...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2015
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| _version_ | 1867613342272585729 |
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| access_status_str | Open Access |
| author | MacFarlane, Andrew |
| author2 | West, Darron |
| author_browse | MacFarlane, Andrew West, Darron |
| author_facet | West, Darron MacFarlane, Andrew |
| author_sort | MacFarlane, Andrew |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12476 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:36.552Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12476 Do macroeconomic variables explain future stock market movements in South Africa? MacFarlane, Andrew West, Darron Financial Management 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. 2015-02-11T14:21:51Z 2015-02-11T14:21:51Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/12476 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management MacFarlane, Andrew Do macroeconomic variables explain future stock market movements in South Africa? |
| thesis_degree_str | Master's |
| title | Do macroeconomic variables explain future stock market movements in South Africa? |
| title_full | Do macroeconomic variables explain future stock market movements in South Africa? |
| title_fullStr | Do macroeconomic variables explain future stock market movements in South Africa? |
| title_full_unstemmed | Do macroeconomic variables explain future stock market movements in South Africa? |
| title_short | Do macroeconomic variables explain future stock market movements in South Africa? |
| title_sort | do macroeconomic variables explain future stock market movements in south africa |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/12476 |
| work_keys_str_mv | AT macfarlaneandrew domacroeconomicvariablesexplainfuturestockmarketmovementsinsouthafrica |