The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange
dc.contributor.author | Msindo, Zethu Handrey | |
dc.date.accessioned | 2017-03-03T08:36:06Z | |
dc.date.available | 2017-03-03T08:36:06Z | |
dc.date.issued | 2016 | |
dc.description | Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 | |
dc.description.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. | en_ZA |
dc.description.librarian | MT2017 | en_ZA |
dc.format.extent | Online resource (49 leaves) | |
dc.identifier.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> | |
dc.identifier.uri | http://hdl.handle.net/10539/22148 | |
dc.language.iso | en | en_ZA |
dc.subject.lcsh | Stocks--Prices--South Africa | |
dc.subject.lcsh | Capital Assets Pricing Model | |
dc.subject.lcsh | Interest rates--Forecasting | |
dc.subject.lcsh | Johannesburg Stock Exchange | |
dc.title | The impact of interest rates on stock returns: empirical evidence from the JSE Securities Exchange | en_ZA |
dc.type | Thesis | en_ZA |
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