Czynniki ryzyka w stopach zwrotu akcji w RPA 
[Risk factors in returns of the South African stock market]

J.J. (Kuba) Szczygielski 
(Department of Financial Management, University of Pretoria, South Africa)


This paper employs a multifactor model motivated by the Arbitrage
Pricing Theory (APT) to describe the time series behaviour of the
South African stock market as represented by the JSE All-Share
Index. Factors representative of eight risk factor categories are
considered, namely inflation, real activity, the money supply, interest
rates, commodities, exchange rates, business cycles indicators and
international market indices. These categories are then represented in
the return generating process. The results indicate that the South
African stock market is influenced by movements in international
markets, inflation, inflation expectations, real activity, the money
supply, oil prices, exchange rates and cyclical variations in the
business cycle. Furthermore, the Autoregressive Conditional
Heteroscedastic (ARCH) and Generalized Autoregressive Conditional
Heteroscedastic (GARCH) model framework is found to be a more
appropriate econometric framework relative to the Least Squares
framework (LS) for models of the return generating process of South
African stock returns.

Based on: J.J. Szczygielski, C. Chipeta, C. (2015) Risk Factors in 
Returns of the South African Stock Market, Studies in Economics and 
Econometrics 39(1), 1-24