SciELO - Scientific Electronic Library Online

 
vol.13 issue3Value at Risk in the South African equity market: A view from the tails author indexsubject indexarticles search
Home Pagealphabetic serial listing  

South African Journal of Economic and Management Sciences

On-line version ISSN 2222-3436
Print version ISSN 1015-8812

Abstract

OCRAN, Matthew Kofi. South Africa and United States stock prices and the Rand/Dollar exchange rate. S. Afr. j. econ. manag. sci. [online]. 2010, vol.13, n.3, pp.362-375. ISSN 2222-3436.

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.

Keywords : Exchange rate; cointegration; stock price; impulse response; variance decomposition and Granger causality.

        · text in English     · English ( pdf )

 

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License