This study addresses the empirical question of whether macroeconomic variables drive
future stock market returns in South Africa. Where such a relationship can be found, the
macroeconomic variables are useful predictive information for future equity index
returns. Data was examined over the 45 year period from 1965 to 2010. The
macroeconomic variables were selected based on international and local precedent of
influential macroeconomic factors. Through the use of Johansen multivariate
cointegration, Granger causality and innovation accounting, it was found that the selected
South African macroeconomic variables do not significantly influence future FTSE/JSE
All Share Index returns.