Global Risk Factors and S outh A frican Equity Indices

S outh A frican equity is frequently portrayed as a market requiring a high degree of local expertise – to appropriately understand its many idiosyncratic features – as well as intimate knowledge of its unique drivers – to prudently invest in the same. This claim is evidenced by the amount of research and effort devoted to understanding S outh A frican‐specific economics, interest rates and risks. The aim of this research is to debunk this perception with a simple yet robust and highly replicable statistical model (best‐subsets regression) for the majority of the traded S outh A frican equity indices. We show how the S outh A frican equity market is mostly a one‐way mirror of a confluence of international factors, all arguable largely unrelated to S outh A frica. We discuss why these models are currently less useful than their longer‐term predictive averages and note the current relevance of including implied volatility and interest rates as predictors.