An investigation of the effect of macroeconomic variables on the performance of the Namibia stock market select="/dri:document/dri:meta/dri:pageMeta/dri:metadata[@element='title']/node()"/>

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dc.contributor.author Philipus, Nellius
dc.date.accessioned 2019-06-10T12:54:04Z
dc.date.available 2019-06-10T12:54:04Z
dc.date.issued 2019
dc.identifier.uri http://hdl.handle.net/11070/2525
dc.description A thesis submitted in partial fulfillment of the requirements for the Degree of Master of Science in Economics en_US
dc.description.abstract This study investigated the long term as well as short term relationship between macroeconomic variables and the Namibia Stock Market using monthly data from 1996 to 2016. The macroeconomic variables tested are interest rate, inflation, exchange rate, foreign direct investments and GDP. A Vector Error Correction Model (VECM) was employed to determine the long run equilibrium relationship while short term Granger causality test was employed for any short run interactions among the variables. The results indicate that the NSX has insignificant positive long run relationships with interest rate, exchange rate lag two and GDP, and an insignificant negative relationship with the inflation, exchange rate lag one, and foreign direct investments. The results indicate that a multifactor model is appropriate for Namibia Stock Market. Specifically, the study is in support of the multifactor APT as opposed to CAPM, identifying interest rate, exchange rate, FDI and GDP as priced risk factors. However, given the moderate R-squared of the VECM, there may be other macroeconomic variables of statistical significance that still remain unidentified. en_US
dc.language.iso en en_US
dc.publisher University of Namibia en_US
dc.subject Macroeconomic variables en_US
dc.subject Stock market en_US
dc.title An investigation of the effect of macroeconomic variables on the performance of the Namibia stock market en_US
dc.type Thesis en_US


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