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