Macroeconomic Identification of Candidate Apt Factors on the Johannesburg Stock Exchange

P van Rensburg

Studies in Economics and Econometrics, 1999, vol. 23, issue 2, 27-53

Abstract: This study investigates the interrelationships between Johannesburg Stock Exchange (JSE) returns and a comprehensive list of macroeconomic series over the turbulent-period of democratic transition, 1965-1995. As a necessary condition for a priced APT factor is that it exhibits a pervasive influence on security returns, candidate APT factors are inferred from the analysis.

Date: 1999
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DOI: 10.1080/03796205.1999.12129257

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