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TitleThe effect of macroeconomic factors on the JSE All Share Index and Sectoral Returns
AuthorNaicker, Pragasen
Subjectmacroeconomic factors
AbstractThis study examined the empirical relationships between macroeconomic variables and the Johannesburg Stock Exchange (JSE) All Share Index returns, as well as the effects on the Resource 10 (RES10), Industrial 25 (IND25) and the Financial 15 (FIN15) indices. The macroeconomic factors investigated included: South African inflation; short and long-term interest rates; the rand-dollar exchange rate; and an international world economy proxy represented by the US interest rates. The period under investigation for this study ranged from Q1 1998 to Q3 2016, with data captured on a quarterly basis. Johansen (1988) cointegration methods together with impulse response analysis, variance decomposition and Granger-causality tests were used to identify long and short run dynamics. The US interest rate, South African inflation, and the exchange rate were found to have a significant relationship with the ALSI. CPI and the short-term interest rate were found to negatively impact the labour intensive resources and industrial sectors, represented by the RES10 and IND25 indices respectively.
PublisherUniversity of Cape Town
PublisherFaculty of Commerce
PublisherResearch of GSB