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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Global risk factors and South African equity indices
Authors:Polakow, Daniel Adam
Flint, Emlyn James
Periodical:South African Journal of Economics (ISSN 0038-2280)
Geographic term:South Africa
Subjects:financial market
economic models
External link:https://doi.org/10.1111/saje.12065
Abstract:South African equity is frequently portrayed as a market requiring a high degree of local expertise - to appropriately understand its many idiosyncratic features - as well as intimate knowledge of its unique drivers - to prudently invest in the same. This claim is evidenced by the amount of research and effort devoted to understanding South African-specific economics, interest rates and risks. The aim of this research is to debunk this perception with a simple yet robust and highly replicable statistical model (best-subsets regression) for the majority of the traded South African equity indices. The authors show how the South African equity market is mostly a one-way mirror of a confluence of international factors, all arguable largely unrelated to South Africa. They discuss why these models are currently less useful than their longer-term predictive averages and note the current relevance of including implied volatility and interest rates as predictors. Bibliogr., notes, ref., sum. [Journal abstract]