The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange
Date
2016
Authors
Msindo, Zethu Handrey
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Abstract
This study investigates how interest rates impact the South African Stock market. We investigate how the selected interest rates proxies predict the level of the FTSE/JSE All Share Index returns. The vector auto-regression (VAR) model was estimated and interpreted, based on the monthly data from June 1995 to September 2014. Using tools such as Granger causality, impulse response function and variance decomposition, we found that the selected variables did not significantly influence the FTSE/JSE All Share Index returns. Consequently, these variables are not useful as predictive tools for the South African stock market returns.
Description
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
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Citation
Msindo, Zethu Handrey (2016) The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange, University of the Witwatersrand, Johannesburg, <http://wiredspace.wits.ac.za/handle/10539/22148>