Original Research

South Africa and United States stock prices and the Rand/Dollar exchange rate

Matthew Ocran
South African Journal of Economic and Management Sciences | Vol 13, No 3 | a106 | DOI: https://doi.org/10.4102/sajems.v13i3.106 | © 2010 Matthew Ocran | This work is licensed under CC Attribution 4.0
Submitted: 03 September 2010 | Published: 03 September 2010

About the author(s)

Matthew Ocran, Nelson Mandela Metropolitan University

Full Text:

PDF (837KB)

Share this article

Bookmark and Share


This paper seeks to examine the dynamic causal relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions.  The paper identifies a bi-directional causality from the Standard & Poor’s 500 stock price index to the rand/US$ exchange rate in the Granger sense. It was also found that the Standard & Poor’s stock price index accounts for a significant portion of the variations in the Johannesburg Stock Exchange’s All Share index. Thus, while causality in the Granger sense could not be established for the relationship between the price indices of the two stock exchanges it can argued that there is some relationship between them. The results of the study have implications for both business and Government.


No related keywords in the metadata.


Total abstract views: 1624
Total article views: 3613


Crossref Citations

1. Stock Price Index and Exchange Rate Nexus in African Markets
Jimoh Olajide Raji, Yusnidah Ibrahim, Siti-Aznor Ahmad
International Economic Journal  vol: 31  issue: 1  first page: 112  year: 2017  
doi: 10.1080/10168737.2016.1245354