Abstract:

This study examines the effects of macroeconomic variables on the stock market prices in South Africa for the period of 2010 to 2021. Quarterly data was used applying the Autoregressive Distributed lag Model given the order of integration of the variables. The NARDL model was estimated and to a greater extent, the results were found to be consistent with the standard ARDL model. The results revealed that interest rates have a negative effect, and the unemployment rate was also found to have an inverse relationship with the stock market performance. On the contrary, the results pointed out that economic growth has a positive effect on stock market development in South Africa. While sovereign credit rating was found to have a negative effect. These results imply that the relationship between macroeconomic variables and the stock market needs to be constantly studied and analysed as these variables do have an influence on the stock market performance. And in analysing the effects of macroeconomic variables on the stock market policy makers can be in a better position to enforce economic policies to create a stable environment for the stock market to grow and thrive, thus attracting more investors both locally and internationally. Nevertheless, it is important to note that there are important qualitative events that may have influenced the relationship between the variables; therefore, this validates the limitation of the approach utilised.

Keywords:

Macroeconomic variables, Sovereign credit Rating, Stock market, Economic growth, Cumulative Dynamic Multiplier, ARDL.

JEL Codes:

R48, O16, N1, J65, J11, E44, D53, B16.

How to Cite:

Sandile Mokoena and Dr Oliver Takawira. Sovereign Credit Ratings, Macroeconomic Variables and their Impact on Stock Market Performance. [ref]: vol.22.2024. available at: https://refpress.org/ref-vol22-a10/