Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach

Rangan Gupta and Mampho Modise ()
Additional contact information
Mampho Modise: Department of Economics, University of Pretoria

No 201318, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South Africa, stock returns only increase with oil prices when global economic activity improves. In response to oil supply shocks and speculative demand shocks, stock returns and the real price of oil move in opposite directions. The analysis of the variance decomposition shows that the oil supply shock contributes more to the variability in real stock prices. The main conclusion is that different oil price shocks affect stock returns differently and policy makers and investors should always consider the source of the shock before implementing policy and making investment decisions.

Keywords: Oil price shocks; stock returns; sign-restrictions; structural vector autoregression (search for similar items in EconPapers)
JEL-codes: C32 C58 G1 Q43 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2013-04
New Economics Papers: this item is included in nep-afr and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (85)

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

Related works:
Journal Article: Does the source of oil price shocks matter for South African stock returns? A structural VAR approach (2013)
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:pre:wpaper:201318

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().