Pre-Doctoral Fellow Elysée Chouga Presents at Academic Seminar

The seminar series continued this week with an academic research seminar from ASE Pre-Doctoral Fellow Elysee Chouga, who presented his paper “Commodity Prices and Predictability of South Africa Equity Premium.” The main of focus of the presentation was  to check the predictive power of commodity prices on stock prices.

Chouga checked for in sample and out of sample predictability in linear and nonlinear specifications and found that in a linear model framework, commodity prices have in-sample predictive power, but not out of sample. However, a non-parametric Granger causality test showed that a linear model is not appropriate in this case and that commodity prices have predictability power within some quantiles. As a result a non-linear model is more consistent. Chouga concluded the presentation by sharing that the next step for the paper will be to find a suitable non-linear specification to enhance the out of sample predictive power of commodity prices on stock prices in South Africa.