The influence of macroeconomic
Date
2011-06-15
Authors
Reddy, Sugendree
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Abstract
This paper uses Fama and MacBeth (1973) methodology for deriving factor
realisations from a group of economic indicators for the South African economy,
in order to test the effect of economic factors on asset returns in an arbitrage
pricing theory framework. Four factors were tested against the All share, Top
40, Industrial 25 and Resource 40 indices. No significant evidence was found of
the gold price, foreign exchange rate, 10 year bond rate or prime overdraft rate
factor beta coefficients having significant influence on asset returns in the four
selected indices of the Johannesburg securities exchange for the period 1996 –
2008
Description
MBA - WBS
Keywords
Johannesburg Securities Exchange, Macroeconomics