Cointegration Between Energy Commodities and the South African Financial Market

Corlise L. Roux ()
Additional contact information
Corlise L. Roux: University of Johannesburg

Chapter Chapter 38 in Advances in Applied Economic Research, 2017, pp 577-589 from Springer

Abstract: Abstract The long run relationship between the three energy commodities, namely crude oil, jet kerosene and natural gas, and the FTSE/JSE Top 40 Index will be examined. A second relationship between the three commodities and the FTSE/JSE Top 40 Index against the South African Rand (versus the US Dollar) will also be explored to determine the impact of the variables on the ZAR. The analysis of the variables will include correlation, regression, vector autoregression and the Johansen cointegration test to determine linear interdependencies among the variables. The results indicate that there is a cointegrating relationship between the both relationships investigated.

Keywords: Energy commodities; FTSE/JSE Top 40 Index; South African Rand; Cointegration (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-48454-9_38

Ordering information: This item can be ordered from
http://www.springer.com/9783319484549

DOI: 10.1007/978-3-319-48454-9_38

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().