ABSTRACT

We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and endogeneity bias. Oil price proxies for fundamentals, while gold and silver prices capture sentiments. We find that the metrics for fundamentals and sentiments both predict real stock returns of South Africa, with nonlinearity, modeled by decomposing these prices into their respective positive and negative counterparts, playing an important role in terms of forecasting when a longer out-of-sample period spanning over three-quarters of a century is used. When compared to fundamentals, sentiments, particularly real gold prices, have a relatively stronger role to play in forecasting real stock returns. Further, the predictability of stock returns emanating from fundamentals and sentiments is in line with the findings over the same period derived for two other advanced markets namely, the United Kingdom (UK) and the United States (US), but the stock market of another emerging economy, i.e., India covering 1920:08 to 2021:03, unlike South Africa, is found to be completely unpredictable.

摘要

我们基于控制持久性和内生性偏差的自回归型分布式滞后模型，使用实际石油、黄金和白银价格预测 1915:01 至 2021:03 月期间南非的实际股票收益。石油价格代表基本面，而黄金和白银价格则捕捉市场情绪。我们发现，基本面和情绪指标都预测南非的实际股票回报，具有非线性，通过将这些价格分解为各自的正负对应物来建模，在预测更长的样本外时发挥重要作用使用的时间跨度超过四分之三世纪。与基本面相比，情绪，尤其是实际黄金价格，在预测实际股票回报方面发挥着相对更强的作用。更远，