The impact of selected macroeconomic variables on sectors of the JSE

Show simple item record

dc.contributor.postgraduate Hackland, Charles en
dc.date.accessioned 2016-05-04T13:46:20Z
dc.date.available 2016-05-04T13:46:20Z
dc.date.created 2016-03-30 en
dc.date.issued 2015 en
dc.description Mini Dissertation (MBA)--University of Pretoria, 2015. en
dc.description.abstract Various studies have examined the relationships between macroeconomic variables and equity returns using large volumes of data from various time periods. Many studies used an overall stock market index as a proxy for measuring the returns of an entire stock market. Using an overall stock market index has the consequence that the performance of different sectors of an economy cannot be considered separately. The aim of this study was to assess whether relationships exist between four preselected macroeconomic variables and three sectors of JSE. The Prime lending rate, CPI, the rand-dollar exchange rate and GDP were cross-correlated at different time lags with the Top 40, Resource 10, Industrial 25 and the Financial 15 FTSE/JSE indices. Quarterly data for four macroeconomic variables and the four indexes was collected from Bloomberg for the 10-year period 2005 to 2014 and tests of cross-correlation were performed at different time lags between each macroeconomic factor and each index. The results showed that the GDP was positively correlated with the Industrial 25 and Financial 15 indexes. Movements of the Prime lending rate were negatively correlated with the Top 40, Resource 10, and Financial 15. Inflation was negatively correlated with the Top 40 and Resource 10 indexes and the rand-dollar exchange rate was negatively correlated with the Top 40, Industrial 25 and Financial 15 indexes. en
dc.description.availability Unrestricted en
dc.description.degree MBA en
dc.description.department Gordon Institute of Business Science (GIBS) en
dc.description.librarian zk2016 en
dc.identifier.citation Hackland, C 2015, The impact of selected macroeconomic variables on sectors of the JSE, MBA Mini-dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/52404> en
dc.identifier.other GIBS en
dc.identifier.uri http://hdl.handle.net/2263/52404
dc.language.iso en en
dc.publisher University of Pretoria en_ZA
dc.rights © 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. en
dc.subject UCTD en
dc.title The impact of selected macroeconomic variables on sectors of the JSE en
dc.type Mini Dissertation en


Files in this item

This item appears in the following Collection(s)

Show simple item record