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Stock return predictability in South Africa: An Alternative Approach

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  • Ailie Charteris
  • Barry Strydom

Abstract

The financial and real sectors of the economy are inextricably linked; with strong evidence to suggest that there are spillover effects from the stock market to the real economy, with the stock market usually leading the real sector. As such, substantial stock market downturns can negatively impact output. This is of particular concern in an […]

Suggested Citation

  • Ailie Charteris & Barry Strydom, 2016. "Stock return predictability in South Africa: An Alternative Approach," Working Papers 85, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:85
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    Cited by:

    1. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, vol. 27(1), pages 315-323, January.
    2. Alain KABUNDI & Rangan GUPTA, 2009. "The Effect of Monetary Policy on House Price Inflation: A Factor Augmented Vector Autoregression (FAVAR) Approach," EcoMod2009 21500048, EcoMod.
    3. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, vol. 18(4), pages 325-335, December.
    4. Rangan Gupta & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working papers 2010-06, University of Connecticut, Department of Economics.

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