The influence of macroeconomic

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dc.contributor.authorReddy, Sugendree
dc.date.accessioned2011-06-15T10:54:11Z
dc.date.available2011-06-15T10:54:11Z
dc.date.issued2011-06-15
dc.descriptionMBA - WBSen_US
dc.description.abstractThis 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 – 2008en_US
dc.identifier.urihttp://hdl.handle.net/10539/10114
dc.language.isoenen_US
dc.subjectJohannesburg Securities Exchangeen_US
dc.subjectMacroeconomicsen_US
dc.titleThe influence of macroeconomicen_US
dc.typeThesisen_US
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