Examining the Long-run Relationship Between South African and United States Markets.

      Аннотация: The objective of this study is to examine the long-run equilibrium between the markets of South Africa and the United States of America (USA). To achieve this, the study reviews theoretical literature that examines the link between stock market returns, the real effective exchange rate and interest rates. Furthermore, the study provides a review of previous empirical literature. In addition, the study estimates a number of time series econometric techniques to examine the equilibrium between the four variables. The study estimates: The Johansen co-integration test, the Granger causality test in the VAR system; the Impulse Response Function, as well as the Forecast Error Variance Decomposition. The period under review is January 1996 to January 2016.

Ключевые слова: Exchange Rate, forecast error variance decomposition, Granger causality, Interest Rates, South Africa, stock exchange, stock market, United States, Generalised Impluse Response Function, Russell3000 Index, JSE All Share Index