是市场对通货膨胀的影响，而不是相反

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-04-02 DOI:10.1080/10293523.2020.1742999

Carlos de Jesus, G. Willows, A. M. Olivier

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引用次数: 2

摘要

收益预测研究是投资者研究的基础。然而，对于南非(SA)股票市场的回报是否可以由SA的变动或国际宏观经济变量来解释，存在不确定的证据。本研究探讨宏观经济变量与JSE ALSI之间的整合关系。使用1995-2016年的月度数据集，该研究能够更新整合关系的确定，并减少先前研究中普遍存在的“噪音”。应用了单位根、相关、积分、因果关系和矢量误差修正模型。研究发现，ALSI在解释SA膨胀方面具有统计学意义。这种关系的方向和意义引起了投资者和金融经济学家的兴趣。如果ALSI与通货膨胀有预测关系，那么市场表现可能会影响提高或降低回购利率的决定。除了确定整合关系外，本研究还为研究人员提供了SA市场效率和可预测性的信息。

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The influence of the market on inflation, not the other way around

ABSTRACT The study of return prediction is fundamental to investors. However, inconclusive evidence exists as to whether returns on the South African (SA) stock market may be explained by movements in SA or international macroeconomic variables. This study investigates integration between macroeconomic variables and the JSE ALSI. Using a monthly dataset from 1995–2016, the study is able to update the determination of integration relationships and reduce the ‘noise’ prevalent in prior research. Unit root, correlation, integration, causality and a vector error correction model were applied. The study identified that the ALSI was statistically significant in explaining SA inflation. The direction and significance of this relationship is of interest to investors and financial economists. If the ALSI has a predictive relationship with inflation, then market performance could impact the decisions made to raise or drop the Repo rate. In addition to the determination of the integration relationships, this study informs researchers on the efficiency and predictability of the SA market.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.