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The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE
Dissertation (MCom)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613521513021440 |
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| access_status_str | Open Access |
| author2 | Hall, J.H. (John Henry) |
| author_browse | Hall, J.H. (John Henry) |
| author_facet | Hall, J.H. (John Henry) |
| collection | Thesis |
| dc_rights_str_mv | © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MCom)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/65841 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:28.126Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/65841 The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE Hall, J.H. (John Henry) kamoto.banda@gmail.com Banda, Kamoto UCTD Dissertation (MCom)--University of Pretoria, 2017. This study investigates the causal relationships, both long run and short run between the Industrial Index 25 and some macroeconomic variables in South Africa. Quarterly data from all the variables was collected from 1995 Q3 (September) to 2015 Q2 (June). Included in the set of macroeconomic variables used in this study are gross domestic product (GDP), inflation (CPI), prime rates and exchange rates. Statistical techniques applied in order to analyse the relationship between stock returns and macroeconomic variables include Augmented Dickey Fuller (ADF) unit root tests, correlation analysis, Johansen cointegration test, Vector error correction (VECM) and Granger causality tests in a multivariate framework. Results show that inflation significantly increases stock prices, hence investors get some inflationary compensation. Interest rates are shown to have a negative relationship between, suggestive of the substitution between stocks and interest bearing securities when interest rates increase. On the other hand, exchange rates have a positive effect on the INDI25, whilst there is no relationship between INDI 25 and GDP. Two error correction terms were obtained from the VECM. Whilst the first one was insignificant and failed to indicate any long -run relationship, the other term was significant, indicating short term adjustments and the presence of a long run relationship from GDP, CPI, prime rates and exchange rates to INDI 25. Results from Granger causality showed only univariate causality from INDI 25 to prime rates. Financial Management MCom Unrestricted 2018-07-25T06:53:32Z 2018-07-25T06:53:32Z 2018/04/18 2017 Dissertation Banda, K 2017, The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE, MCom Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/65841> A2018 http://hdl.handle.net/2263/65841 en © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title | The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title_full | The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title_fullStr | The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title_full_unstemmed | The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title_short | The Impact of Macroeconomic Variables on Industrial Shares Listed on the JSE |
| title_sort | impact of macroeconomic variables on industrial shares listed on the jse |
| topic | UCTD |
| url | http://hdl.handle.net/2263/65841 |