The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications
This paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa’s stock market index is positively influenced by the growth rate of real GDP, the ratio of the money supply...
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| Format: | Article |
| Language: | English |
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EconJournals
2011-01-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | http://www.econjournals.com/index.php/ijefi/article/view/2/1 |
| _version_ | 1797910715238973440 |
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| author | Yu Hsing |
| author_facet | Yu Hsing |
| author_sort | Yu Hsing |
| collection | DOAJ |
| description | This paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa’s stock market index is positively influenced by the growth rate of real GDP, the ratio of the money supply to GDP and the U.S. stock market index and negatively affected by the ratio of the government deficit to GDP, the domestic real interest rate, the nominal effective exchange rate, the domestic inflation rate, and the U.S. government bond yield. Therefore, to maintain a robust stock market, the authorities are expected to pursue economic growth, fiscal prudence, a higher ratio of the money supply to GDP, a lower real interest rate, depreciation of the rand, and/or a lower inflation rate. |
| first_indexed | 2024-04-10T11:30:08Z |
| format | Article |
| id | doaj.art-973a1761fbf94581b0564eca71f82ba8 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:30:08Z |
| publishDate | 2011-01-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-973a1761fbf94581b0564eca71f82ba82023-02-15T16:18:10ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382011-01-01111218The Stock Market and Macroeconomic Variables in a BRICS Country and Policy ImplicationsYu HsingThis paper examines the effects of selected macroeconomic variables on the stock market index in South Africa. The exponential GARCH (Nelson, 1991) model is applied. It finds that South Africa’s stock market index is positively influenced by the growth rate of real GDP, the ratio of the money supply to GDP and the U.S. stock market index and negatively affected by the ratio of the government deficit to GDP, the domestic real interest rate, the nominal effective exchange rate, the domestic inflation rate, and the U.S. government bond yield. Therefore, to maintain a robust stock market, the authorities are expected to pursue economic growth, fiscal prudence, a higher ratio of the money supply to GDP, a lower real interest rate, depreciation of the rand, and/or a lower inflation rate.http://www.econjournals.com/index.php/ijefi/article/view/2/1Stock marketmonetary policyfiscal policyinterest ratesexchange ratesinflation |
| spellingShingle | Yu Hsing The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications International Journal of Economics and Financial Issues Stock market monetary policy fiscal policy interest rates exchange rates inflation |
| title | The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications |
| title_full | The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications |
| title_fullStr | The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications |
| title_full_unstemmed | The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications |
| title_short | The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications |
| title_sort | stock market and macroeconomic variables in a brics country and policy implications |
| topic | Stock market monetary policy fiscal policy interest rates exchange rates inflation |
| url | http://www.econjournals.com/index.php/ijefi/article/view/2/1 |
| work_keys_str_mv | AT yuhsing thestockmarketandmacroeconomicvariablesinabricscountryandpolicyimplications AT yuhsing stockmarketandmacroeconomicvariablesinabricscountryandpolicyimplications |