Abstract
As an export based economy, commodity prices and stock market performances are always a course for concern in the South African economy. This paper investigates the effects of the commodity prices and selected macroeconomic variables on stock market performance. The paper uses quarterly time series data and the estimation covers the period 1994 to 2013. Using Engle-Granger two steps econometric technique, the underlying series are tested for univariate characteristics of the variables unit root by employing the Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski-Phillips-Schmidt-Shin test statistics. The findings show that an increase in commodity prices is associated with an increase in stock market performance and there is a positive association between stock market and macroeconomic such as money supply and exchange rate in South Africa.
Subject
General Business, Management and Accounting
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