Munich Personal RePEc Archive

Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa

Shawtari, Fekri Ali and Masih, Mansur (2017): Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa.

[img]
Preview
PDF
MPRA_paper_99848.pdf

Download (414kB) | Preview

Abstract

This paper investigates the Granger-causal relationship between the South African stock index and selected macroeconomic variables using the standard time series techniques. The tests of cointegraion, long run structural modeling (LRSM), VECM and VDC tend to indicate that industrial production is the most leading determinant of stock market prices. This suggests that the South Africa stock market is very sensitive to the industrial production of the country. Money supply, Inflation, exchange rates are the other determinants of stock index of South Africa but to a lesser extent compared to the industrial production. The findings have implications for the policy makers in the sense that any changes in the macroeconomic policy should take into consideration the impact of such changes on the most important institution in the country which is stock market.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.