Macroeconomic Variables and South African Stock Return Predictability

► In-sample and out-of-sample predictability of South African stock returns examined. ► Interest rate variables, world oil production and money supply have some in-sample predictive power. ► Only interest rates, and money supply and the inflation rate show some out-of-sample predictive power. ► Data mining critical values indicate insignificance of positive in- and out-of-sample results. ► So, in a linear predictive regression framework South African stock market is efficient.