Business cycles and stock market performance in South Africa

Business cycles and stock market performance in South Africa

The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident...

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Bibliographic Details
Main Author: Muchaonyerwa, Forward
Format: Others
Language:English
Published: University of Fort Hare 2011
Subjects:
Stock exchanges > South Africa
Economic indicators > South Africa
Business cycles > South Africa
Economic forecasting > South Africa
Stocks > South Africa
Online Access:http://hdl.handle.net/10353/312
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spelling ndltd-netd.ac.za-oai-union.ndltd.org-ufh-vital-114602017-12-21T04:22:54ZBusiness cycles and stock market performance in South AfricaMuchaonyerwa, ForwardStock exchanges -- South AfricaEconomic indicators -- South AfricaBusiness cycles -- South AfricaEconomic forecasting -- South AfricaStocks -- South AfricaThe study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.University of Fort HareFaculty of Management & Commerce2011ThesisMastersM Com119 leaves; 30 cmpdfvital:11460http://hdl.handle.net/10353/312EnglishUniversity of Fort Hare
collection NDLTD
language English
format Others
sources NDLTD
topic Stock exchanges -- South Africa
Economic indicators -- South Africa
Business cycles -- South Africa
Economic forecasting -- South Africa
Stocks -- South Africa
spellingShingle Stock exchanges -- South Africa
Economic indicators -- South Africa
Business cycles -- South Africa
Economic forecasting -- South Africa
Stocks -- South Africa
Muchaonyerwa, Forward
Business cycles and stock market performance in South Africa
description The study investigates the relationship between stock market performance and business cycles in South Africa for the period 2002-2009 using monthly data. This is done by constructing a Vector Error Correction Model (VECM). The study specifies a business cycle model with the business cycle coincident indicator (BC) regressed against, the All Share Price Index (ALSI), Real Effective Exchange Rate (REER), Money Supply (M1), Inflation (CPIX) and the Prime Overdraft Rate (POR). The ALSI represents stock market performance whilst the rest of the variables are to enhance model specification. The study found a positive relationship between stock market performance and business cycles in South Africa. The results also indicated that business cycles are positively related to the lagged variable of the coincident indicator and money supply. In addition, the findings also reveal that BC is negatively related to interest rates and the real effective exchange rate.
author Muchaonyerwa, Forward
author_facet Muchaonyerwa, Forward
author_sort Muchaonyerwa, Forward
title Business cycles and stock market performance in South Africa
title_short Business cycles and stock market performance in South Africa
title_full Business cycles and stock market performance in South Africa
title_fullStr Business cycles and stock market performance in South Africa
title_full_unstemmed Business cycles and stock market performance in South Africa
title_sort business cycles and stock market performance in south africa
publisher University of Fort Hare
publishDate 2011
url http://hdl.handle.net/10353/312
work_keys_str_mv AT muchaonyerwaforward businesscyclesandstockmarketperformanceinsouthafrica
_version_ 1718565758455250944

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