Interrelations among stock prices of South Africa and the United States and the rand/dollar exchange rate

dc.contributor.authorOcran, Matthew Kofi
dc.date.accessioned2021-03-18T11:23:41Z
dc.date.available2021-03-18T11:23:41Z
dc.date.issued2007
dc.description.abstractThis paper seeks to examine the dynamic short-term causal relations and the long-term equilibrium relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions. The study identifies a long-run relationship among the rand/US$ exchange rate and the stock prices of South Africa and the United States. It was also observes that there is a causal relationship from the stocks in the United States to the rand/US$ exchange rate. In the short run however, the interactions among the variables are quite modest. The result of the study has implications for investors, policy makers and researchers.en_US
dc.identifier.citationOcran, M. K. (2007). Interrelations among stock prices of South Africa and the United States and the rand/dollar exchange rate . A paper presented at the 12th Annual Conference of the African Econometric Society Cape Sun Hotel, Cape Town.en_US
dc.identifier.uri10.4102/sajems.v13i3.106
dc.identifier.urihttp://hdl.handle.net/10566/5990
dc.language.isoenen_US
dc.publisherStellenbosch Universityen_US
dc.subjectExchange rateen_US
dc.subjectCointegrationen_US
dc.subjectStock priceen_US
dc.subjectImpulse responseen_US
dc.subjectGranger causalityen_US
dc.subjectVariance decompositionen_US
dc.titleInterrelations among stock prices of South Africa and the United States and the rand/dollar exchange rateen_US
dc.typeArticleen_US

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