Long- and Short-run Effects of Crude Oil Prices on Stock Price Under Exchange Rate Fluctuations: Evidence from South Africa

Global economy has witnessed a complex relationship between oil prices, exchange rates and stock prices due to geopolitical instability, supply chain interruptions and changes in the production levels of the oil-producing countries. The current research aims to recognize the nexus of exchange rates, stock prices, and oil prices and whether it also affects the stock market prices in South Africa. The JSE200 index returns have been considered representative stock price to analyze the effects. The sample period for the study is from 1 March 2012 to 28 February 2025. Cointegration using the autoregressive distributed lag procedure and Granger causality have been utilized to test the data. The result demonstrates that the South African market has witnessed long-term cointegration among crude oil prices, stock prices and exchange rate. The short-term and long-term estimates further illustrate the significant influence of crude oil prices and exchange rates on stock prices. The present study attempts to fill the research gap by enhancing the current body of literature pertaining to the South African stock market.