Original Research

An econometric model of the South African stock market

E Moolman, C Du Toit
South African Journal of Economic and Management Sciences | Vol 8, No 1 | a1285 | DOI: https://doi.org/10.4102/sajems.v8i1.1285 | © 2015 E Moolman, C Du Toit | This work is licensed under CC Attribution 4.0
Submitted: 12 January 2015 | Published: 13 January 2015

About the author(s)

E Moolman, Consultant
C Du Toit, University of Pretoria

Full Text:

PDF (271KB)

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.

Keywords

No related keywords in the metadata.

Metrics

Total abstract views: 5020
Total article views: 5105

 

Crossref Citations

1. An Econometric Model of the Brazilian Stock Market
Otavio Ribeiro de Medeiros
SSRN Electronic Journal  year: 2005  
doi: 10.2139/ssrn.701422

2. Global Risk Factors and South African Equity Indices
Daniel Adam Polakow, Emlyn James Flint
South African Journal of Economics  vol: 83  issue: 4  first page: 598  year: 2015  
doi: 10.1111/saje.12065

3. The impact of macroeconomic variables on industrial shares listed on the Johannesburg Stock Exchange
Kamoto Banda, John Henry Hall, Rudra P. Pradhan
Macroeconomics and Finance in Emerging Market Economies  vol: 12  issue: 3  first page: 270  year: 2019  
doi: 10.1080/17520843.2019.1599034

4. What is the optimal offshore allocation for South African investors?
Emlyn Flint
Investment Analysts Journal  vol: 52  issue: 3  first page: 189  year: 2023  
doi: 10.1080/10293523.2023.2230750

5. An Examination of Price Discovery and Hedging Efficiency of Indian Equity Futures Market
Kapil Gupta, Balwinder Singh
SSRN Electronic Journal  year: 2007  
doi: 10.2139/ssrn.962002

6. Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa
Ayanda Sikhosana, Goodness C. Aye
Economic Analysis and Policy  vol: 60  first page: 1  year: 2018  
doi: 10.1016/j.eap.2018.08.002

7. The portfolio risk management and diversification benefits from the South African rand currency index (RAIN)
F.Y. Jordaan, J.H. Van Rooyen
Risk Governance and Control: Financial Markets and Institutions  vol: 2  issue: 4  first page: 40  year: 2012  
doi: 10.22495/rgcv2i4art4

8. Factor structure of South African financial stocks
Sudhir Madaree
South African Journal of Economic and Management Sciences  vol: 21  issue: 1  year: 2018  
doi: 10.4102/sajems.v21i1.2001

9. Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment
Rangan Gupta, Jacobus Nel, Christian Pierdzioch
Mathematics  vol: 11  issue: 6  first page: 1371  year: 2023  
doi: 10.3390/math11061371

10. Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa
Kejin Wu, Sayar Karmakar, Rangan Gupta, Christian Pierdzioch
Climate  vol: 12  issue: 5  first page: 68  year: 2024  
doi: 10.3390/cli12050068