Proyección de la demanda

In an earlier study conducted by Moolman (2004), the aim of the academic was to develop a model to examine the relationship between macroeconomic variables and the SA stock market. They used the threshold cointegration test of Enders and Siklos (2001) and a Markov switching-regime model and found asymmetry market shocks were not a direct result of over or undervaluation or the direction of the error terms. Moreover, exchange rates and interest rates are the leading cause of short-run fluctuations in stock market returns. In a similar study by Maghyereh (2006), using the MS-VAR model, they found a negative nonlinear relationship between the inflation (CPI) and the JSE All-Share Index returns. Furthermore, it was seen that there existed a nonlinear adjustment to long-run equilibrium.

Bonga-Bonga and Makakabule (2010) used the STM to investigate the connection between macroeconomic factors and the aggregated JSE returns. The findings indicated that fluctuations in dividend yield were an essential determinant of the nonlinear relationship in the SA capital market. Moreover, it was found that the nonlinear models outperform linear models. The finding of the paper was seen to violate the weak and semi-strong form tests of EMH. Consistent with this, Mariappan, Hari and Jyotishi (2013) used the NARDL model to investigate the relationship between the macroeconomy and developed, developing and under developing countries stock markets. They found an inverse (nonlinear) relationship between the SA stock market returns and exchange rates, unemployment rate and bank rates. Finding a nonlinear link with stock market returns and exchange rate was consistent with a study conducted by Courage, Andrew and Kin (2013), as a negative nonlinear relationship between exchange rate and returns was found.

Balcilar, Gupta and Kyei (2015) investigated the predictability power of Economic Policy Uncertainty (EPU) and the JSE All-Share Index returns. Using a non-parametric-parametric model, they found EPU to significantly predict the SA stock market returns. This demonstrated that the SA stock market was not efficient as investors can use EPU in the country to determine the stock market returns. It, therefore, refuted EMH in favour of AMH. Ali, Idris and Kofarmata (2015) also aimed to determine the nonlinear relationship between stock market returns and exchange rates using the asymmetrical cointegration procedure. They found the JSE All-Share Index returns to have a long-run relationship with the exchange rate. In addition, the SA stock market returns were affected by the exchange rate and the speed of adjustment is nonlinear.

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Cifter (2015) used the Markov switching dynamic regression (MS-DR) model that contained two regimes, namely a recession and expansion period, to determine if stock market returns were affected by inflation (CPI). The concluding remarks were such the SA stock market returns were affected negatively during the recession regime as opposed to the expansion regime. This implied that stock market movements were regime-dependent and nonlinear. Consistent with this, Marx and Stuweg (2015) used the multiple regression/correlation model to find that a nonlinear negative relationship existed between the JSE All-Share Index and stagflation. The findings showed that the identified relationship remained constant across business cycle periods and not change. Finding a negative link with inflation (CPI) was consistent with a study conducted by Phiri (2017), which found a negative nonlinear relationship and a unidirectional causality between the JSE returns and inflation (CPI). This suggested that market participants did not use equity returns to hedge against rising inflation. Hence, investing in stock market returns was not a good hedge against inflation.

Tapa, Tom, Lekoma, Ebersohn and Phiri (2016) also investigated the linear and nonlinear effect of macroeconomy on stock market returns. However, they used the Engle-Granger test, threshold autoregressive test and the momentum threshold autoregressive test of cointegration. They found a positive nonlinear relationship between the JSE All-Share Index returns and the unemployment rate in the long run. The findings implied that by investing in stock market returns in SA did not expose investors to losses due to flatulating macroeconomic variables. Consistent with this, Fourie, Pretorious, Harvey, Van Niekerk and Phiri (2016) used the STR model to find a nonlinear correlation between exchange rate growth and the JSE All-Share Index returns. Furthermore, the relationship was positive and significant at a regime of less than six percent as opposed to the regime exceeding six percent.

Similarly, Cifter (2017) examined the effect of inflation (CPI) on the SA stock market. However, the MS-VAR model was used. The findings show that inflation (CPI) affects the JSE All-Share Index returns negatively in the short run. Furthermore, it was found that movements in stock market returns were regime dependent. These findings were consistent with studies by Marx and Stuweg (2015) and Phiri (2016). Nhlapho and Muzindutsi’s (2019) study was seen to deviate from the general performed studies evident in the literature, as the study considered the effect of political, financial and economic risk on the JSE All-Share Index returns and the All Bond Index returns. Using the NARDL model, they found an asymmetric relationship between country risk and the index returns. Moreover, political risk was seen to have a short-

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run and long-run effect on bond returns, whereas economic risk only had a short-run relationship.