Document Type Master's Dissertation Author Afordofe, Patrick URN etd-06102012-105835 Document Title The impact of selected macroeconomic variables on resource equity prices on the Johannesburg Stock Exchange Degree MBA Department Gordon Institute of Business Science Supervisor
Advisor Name Title Dr J Rossouw Supervisor Keywords
- JSE resources index
- Johannesburg Stock Exchange (JSE)
- prime interest rate
- exchange rate
- Consumer Price Index (CPI)
- gross domestic product (GDP)
Date 2012-03-08 Availability unrestricted AbstractThere exists significant literature investigating the link between macroeconomic variables and stock market returns. Most previous studies utilise an overall stock market index to measure stock market returns, thereby aggregating a number of different industries into a single index. This research investigated the link between macroeconomic variables and a single sector’s share returns, being the Resources sector. The aim was to ascertain whether or not a correlation exists between the Resource Index of the Johannesburg Stock Exchange and four macroeconomic variables, namely: GDP, Inflation, Interest rates and the Rand/US Dollar Exchange Rate. Quarterly data for all 4 macroeconomic variables and the Resource Index was collected for the period 2002 to 2011 and tests of correlation performed between each macroeconomic variable and the Resource Index.
The findings reveal that there is a positive correlation between GDP and resources share returns, a negative correlation between interest rates and resources share returns and a positive relationship between the Rand/US Dollar Exchange rate and resources share returns. The relationship between the inflation and the resource share returns proved inconclusive.
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Please cite as follows:
Afordofe, P 2011, The impact of selected macroeconomic variables on resource equity prices on the Johannesburg Stock Exchange, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-06102012-105835/ >
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