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

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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.


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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