An econometric model of the South African stock market
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | An econometric model of the South African stock market | |
| Creator | Moolman, E Du Toit, C | |
| Description | A wealth of literature exists concerning the modelling of stock markets, as well as the examination of the relationshiopbetween share price and various economic factors, both theoretically and empirically. However, most studies use data fordeveloped countries in their analyses, while the literature moselling emerging stock markets in general, and the southAfrican stock market in particular, is quite sparse. This study develops a structural theoretically founded model of theSouth African stock market that is estimated using co-integration and error-correction techniques. These techniquesrespectively estimate the long-term equilibrium or intrinsic value of the stock market, and the short-term fluctuationsaround the quilibrium level. According to the results, share prices are co-integrated with the variables dictated by theexpected present value model of asset price determination. The short-term fluctuations are determined by various factorssuch as interest rates, a risk premium, the exchange rate, foreign stock market adn other variables. | |
| Publisher | AOSIS Publishing | |
| Date | 2015-01-13 | |
| Identifier | 10.4102/sajems.v8i1.1285 | |
| Source | South African Journal of Economic and Management Sciences; Vol 8, No 1 (2005); 77-91 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/1285/478
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