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.

中文翻译：

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市场对通货膨胀的影响，而不是反之

摘要收益预测的研究对投资者至关重要。但是，关于南非股票市场的回报是否可以用南非的变动或国际宏观经济变量来解释尚无定论。这项研究调查了宏观经济变量和JSE ALSI之间的整合。使用1995年至2016年的月度数据集，该研究能够更新积分关系的确定并减少先前研究中普遍存在的“噪声”。应用了单位根，相关性，积分，因果关系和矢量误差校正模型。研究发现，ALSI在解释SA通胀方面具有统计学意义。这种关系的方向和意义是投资者和金融经济学家所感兴趣的。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策。除了确定整合关系之外，本研究还向研究人员介绍了SA市场的效率和可预测性。