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dc.contributor.advisorDurodola, Oludamola.
dc.creatorMuzindutsi, Paul-Francois.
dc.date.accessioned2012-11-27T12:04:52Z
dc.date.available2012-11-27T12:04:52Z
dc.date.created2011
dc.date.issued2011
dc.identifier.urihttp://hdl.handle.net/10413/8025
dc.descriptionThesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2011.en
dc.description.abstractThe foreign exchange market plays an important role in global finance, as it is considered to be among the largest financial markets in the world because of the significant amount of money involved in the foreign exchange market's transactions. Economic theories show that the exchange rate market may interact with the stock market index, but empirical studies on the interaction between the exchange rate market and the stock market index produced mixed results. Thus there is no empirical agreement regarding the interactions between the stock prices and exchange rate. This study examined the interaction between the real exchange rate and the stock market index in South Africa, with the aim of identifying the effect of exchange rate shocks on the Johannesburg Stock Exchange (JSE). It establishes the direction of causality between the stock market index and the real exchange rate; identifies the long-run and short-run relationships between the South African stock market and the exchange rate and determines the response of the South African stock market to different exchange rate regimes from 1978 to 2008. This study used different econometrics models, including descriptive statistics analysis, Engle-Granger cointegration approach, Error Correction Model and a Granger-Causality test. Variables used in this study include the real values of the JSE all share index and the real exchange rate series (the Rand/U.S. dollar exchange rate) from January 1978 to December 2008. The stock market index responded to changes in exchange rate regimes. Although the response tended to be slightly stronger during the period of the free floating exchange rate, correlation coefficients were insignificant in both fixed and flexible exchange rate regimes. A negative long-run relationship between the real exchange rate and the stock market index was found. The short-run results established that changes in the real exchange rate have no impact on the real stock market index. Granger-Causality tests indicated that there is a bidirectional causal relationship between the South African stock market index and the Rand/U.S. dollar exchange rate.en
dc.language.isoen_ZAen
dc.subjectJohannesburg Stock Exchange.en
dc.subjectForeign exchange rates--South Africa.en
dc.subjectStock price indexes--South Africa.en
dc.subjectTheses--Economics.en
dc.titleExchange rate shocks and the stock market index : evidence from the Johannesburg Stock Exchange.en
dc.typeThesisen


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