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The effect of South African and international macro-economic variables on the South African Stock Market
This study aims to answer the empirical question of whether South African and US macroeconomic variables are predictors of returns on the South African stock market. The results add to a body of literature, assessing the period from 1996 to 2016, which includes comparative analysis of data pre-and p...
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| Format: | Thesis |
| Language: | English |
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College of Accounting
2019
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| _version_ | 1867613299650068480 |
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| access_status_str | Open Access |
| author | Olivier, Alison Michell |
| author2 | Willows, Gizelle |
| author_browse | Olivier, Alison Michell Willows, Gizelle |
| author_facet | Willows, Gizelle Olivier, Alison Michell |
| author_sort | Olivier, Alison Michell |
| collection | Thesis |
| description | This study aims to answer the empirical question of whether South African and US macroeconomic variables are predictors of returns on the South African stock market. The results add to a body of literature, assessing the period from 1996 to 2016, which includes comparative analysis of data pre-and post the 2008 financial crisis. Furthermore, both local and US macro-economic variables are assessed. Variables selected include 1) GDP (SA and US), 2) Interest Rates (SA and US), 3) Inflation (SA and US), 4) South African Money Supply, 5) Rand/Dollar Exchange Rate, and 6) FTSE Index. These variables are assessed on a monthly and quarterly basis, to provide further information on whether the relationships between the selected variables and the stock market are affected by the timing of the data or the level of noise within the data set. The variables are tested using time series Ordinary Least Squares (OLS) regression analysis. This analysis is used to assess predictive relationships. The results show that South African Interest rates and the RandDollar exchange rate have a statistically significant negative relationship with the South African stock market. Additionally, the South African interest rate appeared to hold a more statistically significant relationship with the stock market when the change in the rate was high. Furthermore, the FTSE Index shows a consistent statistically significant positive relationship. These findings provide valuable information to investors who, with further testing to determine exact time lags, can consider these predictive variables when making investment decisions, assuming weak form efficiency exists within the market. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/29199 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:55.830Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | College of Accounting |
| publisherStr | College of Accounting |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/29199 The effect of South African and international macro-economic variables on the South African Stock Market Olivier, Alison Michell Willows, Gizelle Accounting This study aims to answer the empirical question of whether South African and US macroeconomic variables are predictors of returns on the South African stock market. The results add to a body of literature, assessing the period from 1996 to 2016, which includes comparative analysis of data pre-and post the 2008 financial crisis. Furthermore, both local and US macro-economic variables are assessed. Variables selected include 1) GDP (SA and US), 2) Interest Rates (SA and US), 3) Inflation (SA and US), 4) South African Money Supply, 5) Rand/Dollar Exchange Rate, and 6) FTSE Index. These variables are assessed on a monthly and quarterly basis, to provide further information on whether the relationships between the selected variables and the stock market are affected by the timing of the data or the level of noise within the data set. The variables are tested using time series Ordinary Least Squares (OLS) regression analysis. This analysis is used to assess predictive relationships. The results show that South African Interest rates and the RandDollar exchange rate have a statistically significant negative relationship with the South African stock market. Additionally, the South African interest rate appeared to hold a more statistically significant relationship with the stock market when the change in the rate was high. Furthermore, the FTSE Index shows a consistent statistically significant positive relationship. These findings provide valuable information to investors who, with further testing to determine exact time lags, can consider these predictive variables when making investment decisions, assuming weak form efficiency exists within the market. 2019-02-04T10:54:52Z 2019-02-04T10:54:52Z 2018 2019-02-04T10:46:35Z Master Thesis Masters MCom http://hdl.handle.net/11427/29199 eng application/pdf College of Accounting Faculty of Commerce University of Cape Town |
| spellingShingle | Accounting Olivier, Alison Michell The effect of South African and international macro-economic variables on the South African Stock Market |
| thesis_degree_str | Master's |
| title | The effect of South African and international macro-economic variables on the South African Stock Market |
| title_full | The effect of South African and international macro-economic variables on the South African Stock Market |
| title_fullStr | The effect of South African and international macro-economic variables on the South African Stock Market |
| title_full_unstemmed | The effect of South African and international macro-economic variables on the South African Stock Market |
| title_short | The effect of South African and international macro-economic variables on the South African Stock Market |
| title_sort | effect of south african and international macro economic variables on the south african stock market |
| topic | Accounting |
| url | http://hdl.handle.net/11427/29199 |
| work_keys_str_mv | AT olivieralisonmichell theeffectofsouthafricanandinternationalmacroeconomicvariablesonthesouthafricanstockmarket AT olivieralisonmichell effectofsouthafricanandinternationalmacroeconomicvariablesonthesouthafricanstockmarket |