Essays on determinants spillovers and predictability of the South African stock returns

摘要: Following the recent recession, major global economies are still experiencing weak recoveries. The likelihood that economy may experience a double-dip recession driven by poor performance advanced stresses need for predicting behaviour of leading indicators such as stock returns and equity premium. An understanding market helps in guiding both policy trading decisions. main objective this thesis is to assess predictability, spillovers determinants South Africa. Stock determined number financial macroeconomic variables including valuation ratios (price-earnings ratio price-dividend ratio), payout ratio, interest rates, term spread, Africa‟s partners, inflation rate, money stock, industrial production employment world oil production, refiner acquisition cost imported crude oil, activity index, returns. A econometric models used investigating determinants, predictability – including; predictive regressions using in-sample out-ofsample test statistics (t-statistics, MSE-F ENC-NEW, , utility gains, forecasting encompassing test); exponential smooth-transition autoregressive; Monte Carlo simulations; data-mining-robust bootstrap procedure; general-to-specific model selection, aggregating, combining method (simple averages, discounting, clusters, principal components, Bayesian regression methods under Gaussian doubleexponential prior); sign restriction VAR TVP-VAR specification with stochastic volatility. results show firstly, certain (assessing statistical economic significance). Secondly, African react differently different types shocks suggesting cause price shock crucial determining policy. combination forecasts, especially methods, outperform benchmark (AR(1)/random walk model). Further, analysis does not only evidence significant consumption rate from market, but, more importantly, it also highlights fact these effects have significantly varied over time.