Cointegration between energy commodities and the South African financial market

Abstract: The long-run relationship between three energy commodities, namely crude oil, jet kerosene and natural gas; and the FTSE/JSE Top 40 Index will be examined. A second relationship between the three commodities and the FTSE/JSE Top 40 Index against the South African Rand (versus the United States Dollar) will also be explored to determine the impact of the variables on the ZAR. The analysis of the variables will include correlation, regression, vector autoregression and the Johansen cointegration test to determine linear interdependencies among the variables. The results indicate that there is a cointegrating relationship between the both relationships investigated