Stock market and foreign exchange market integration in South Africa 指導教授：楊奕農 學生：林孜璟

Introduction The objectives of this paper are two-fold: Examine the short-run and long-run effects of currency depreciation on the total value of stock transactions in South Africa Examine the degree of integration of the stock market in South Africa with the world capital markets.

Data Total value of stocks traded in South Africa Total value of stocks traded in America Real effective exchange rate index World Development Indicators of the World Bank.

Methodology Unit root tests Co-integration Tests

Results

Results

Conclusion The results indicate a close association between the stock and foreign exchange markets in South Africa. Results also indicate lack of a significant relation between stock transactions in the U.S. and South Africa.