The Unemployment-Stock Market Relationship in South Africa: Evidence from Symmetric and Asymmetric Cointegration Models

Abstract

In this study, we examine linear and nonlinear cointegration and causal relations between unemployment and stock market returns in South Africa using quarterly data collected between 1994:q1 and 2016:q1. Our empirical results reveal significant cointegration effects between the time series in both linear and nonlinear models, even though both frameworks ultimately reject the notion of any causal relations between the variables. Collectively, our study rejects the notion of unemployment being a good predictor for stock market returns and neither do developments in the stock market have any effect on the unemployment rate. Such evidence advocates for weak-form efficiency in the jse equity prices whereby unemployment data cannot help investors to predict the movement of future share prices and further suggests that policymakers cannot rely on stock market development as an avenue towards lowering the prevailingly high levels of unemployment as set in current macroeconomic policy objectives.

Impact of tourism development on inclusive growth: A panel vector autoregression analysis for African economies

“…This hinges on the grounds that improvement in economic growth causes the demand for tourism to rise and vice versa (Narayan, 2004;Sari Hassoun et al, 2021). This conservation hypothesis has been analyzed and verified by several studies, including Sari Hassoun et al (2021) for Algeria; Aratuo and Estienne (2019) for the United States; Phiri (2016) for South Africa; Bouzahzah and Menyari (2013) for Morocco and Tunisia; Ivanov and Webster (2013) for a worldwide investigation; Lee (2012) for Singapore; and Oh (2005) for Korea. Oh (2005) explored the tourism development-economic growth nexus in Korea using the Engle-Granger 2-stage technique and a VAR model.…”

Revisiting Feldstein–Horioka Puzzle: Evidence from SAARC Economies

“…Ketenci (2016) found lower saving retention coefficient and thus, higher international capital mobility in the post-Asian crisis period. In another study, Phiri (2017) found increase in international capital mobility in the post-global financial crisis period thereby weakening the F–H high correlation between domestic savings and investment. Therefore, countries with higher international capital mobility are likely to be affected by the contagion effects of global financial crisis.…”

Financial Development and Unemployment in MENA: Evidence from Heterogeneous Panel Causality and Quantile via Moment Regression

“…The first one is that it is believed that financial market indicator, as well as unemployment, behaves asymmetrically throughout different economic conditions. Thus, modelling financial development and growth or unemployment linearly may yield low explanatory or testing power and an inferior coefficient (Tapa, et al 2016). Second, the economic agents are said to respond differently to positive development in the financial sector than negative development in the financial sector.…”