Stock prices as a leading indicator of economic activity

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dc.contributor.author Golding, John
dc.date.accessioned 2011-10-31T10:58:11Z
dc.date.available 2011-10-31T10:58:11Z
dc.date.issued 2011-10-31
dc.identifier.uri http://hdl.handle.net/10539/10673
dc.description.abstract Most asset pricing theories suggest that asset prices are forward looking and reflect market expectations of future earnings. By aggregating across companies, aggregate market prices may then be used as leading indicators of future Real GDP, Real Industrial Production and the level of Inflation. A Hodrick & Prescott (1981) filter is used to detrend the data, which is compiled on an annual and quarterly basis from the JSE, to test whether stock returns are in fact useful for indicating economic activity. An autoregressive model is constructed, yielding strong evidence of significance, in the first four quarters on a quarterly basis, and two years on an annual basis, for Real Stock Prices. Therefore, in terms of a South African context, the Cycle of Real Stock Prices are a leading indicator on the JSE. en_US
dc.language.iso en en_US
dc.subject Stocks en_US
dc.subject Prices en_US
dc.subject Johannesburg Stock Exchange en_US
dc.title Stock prices as a leading indicator of economic activity en_US
dc.type Thesis en_US


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