Do macroeconomic variables explain future stock market movements in South Africa?

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dc.contributor.advisorWest, Darronen_ZA
dc.contributor.authorMacFarlane, Andrewen_ZA
dc.date.accessioned2015-02-11T14:21:51Z
dc.date.available2015-02-11T14:21:51Z
dc.date.issued2011en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationMacFarlane, A. (2011). <i>Do macroeconomic variables explain future stock market movements in South Africa?</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/12476en_ZA
dc.identifier.chicagocitationMacFarlane, Andrew. <i>"Do macroeconomic variables explain future stock market movements in South Africa?."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2011. http://hdl.handle.net/11427/12476en_ZA
dc.identifier.citationMacFarlane, A. 2011. Do macroeconomic variables explain future stock market movements in South Africa?. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - MacFarlane, Andrew AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Do macroeconomic variables explain future stock market movements in South Africa? TI - Do macroeconomic variables explain future stock market movements in South Africa? UR - http://hdl.handle.net/11427/12476 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12476
dc.identifier.vancouvercitationMacFarlane A. Do macroeconomic variables explain future stock market movements in South Africa?. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12476en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleDo macroeconomic variables explain future stock market movements in South Africa?en_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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