An investigation of the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy (2000-2009)

Samkange, Edgar

Title: An investigation of the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy (2000-2009)
Creator: Samkange, Edgar
Subject: Holding companies -- South Africa
Subject: Stock exchanges -- South Africa
Subject: Monetary policy -- South Africa -- History
Date Issued: 2010
Date: 2010
Type: Thesis
Type: Masters
Type: M Com
Identifier: vital:11456
Identifier: http://hdl.handle.net/10353/324
Identifier: Holding companies -- South Africa
Identifier: Stock exchanges -- South Africa
Identifier: Monetary policy -- South Africa -- History
Description: This study aims to investigate the informational efficiency of the Johannesburg Stock Exchange with respect to monetary policy. Multivariate co-integration, Granger causality, vector error correction model, impulse response function analysis and variance decomposition analysis are employed to determine the semi-strong form efficiency in South African equity market. Monthly data of Johannesburg Stock Exchange index, money supply (M1 & M2), short term interest rate, inflation, rand/dollar exchange rate, London Stock Exchange index (FSTE100) and GDP from 2000-2009 are the variables of interest.Weak form efficiency is examined using unit root tests. The results of this study show evidence of weak form efficiency of the JSE using the Augmented-Dickey Fuller and Philip-Perron unit root tests. The results reject the hypothesis that the JSE is semi-strong and have important implications for government policy, regulatory authorities and participants in the South African stock market.
Format: 104 leaves; 30 cm
Format: pdf
Publisher: University of Fort Hare
Publisher: Faculty of Management & Commerce
Language: English
Rights: University of Fort Hare

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