An econometric model of the South African stock market

E Moolman, C Du Toit

Abstract


A wealth of literature exists concerning the modelling of stock markets, as well as the examination of the relationshiop between share price and various economic factors, both theoretically and empirically.  However, most studies use data for developed countries in their analyses, while the literature moselling emerging stock markets in general, and the south African stock market in particular, is quite sparse.  This study develops a structural theoretically founded model of the South African stock market that is estimated using co-integration and error-correction techniques. These techniques respectively estimate the long-term equilibrium or intrinsic value of the stock market, and the short-term fluctuations around the quilibrium level. According to the results, share prices are co-integrated with the variables dictated by the expected present value model of asset price determination.  The short-term fluctuations are determined by various factors such as interest rates, a risk premium, the exchange rate, foreign stock market adn other variables.

Full Text:

PDF


DOI: http://dx.doi.org/10.4102/sajems.v8i1.1285

Submitted: 12 January 2015
Published: 13 January 2015


African Online Scientific Information Systems (Pty) Ltd t/a AOSIS
Reg No: 2002/002017/07
RSA Tel: 086 1000 381
International Tel: +27 21 975 2602
15 Oxford Street, Durbanville, Cape Town, 7550, South Africa
publishing(AT)aosis.co.za replace (AT) with @

All articles published in this journal are licensed under the Creative Commons Attribution 4.0 International (CC BY 4.0) license, unless otherwise stated.
Website design & content: ©2016 AOSIS (Pty) Ltd. All rights reserved. No unauthorised duplication allowed.
By continuing to use this website, you agree to our Privacy Policy.

Subscribe to our newsletter

Get specific, domain-collection newsletters detailing the latest CPD courses, scholarly research and call-for-papers in your field.

Subscribe

South African Journal of Economic and Management Sciences    |    ISSN: 1015-8812 (PRINT)    |    ISSN: 2222-3436 (ONLINE)