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

2. 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.

3. 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.

4. Methodology
Unit root tests
Co-integration Tests

5. Results

6. Results

7. 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.