Relationships between Soft Commodities, the FTSE/JSE Top 40 Index and the South African Rand

The relationships between seven soft agricultural commodities, namely cocoa, coffee, corn, cotton, soyabean, sugar and wheat; and the FTSE/JSE Top 40 Index will be investigated. The relationship between the seven commodities and the FTSE/JSE Top 40 Index against the South African Rand (versus the United States Dollar) will also be investigated to determine the impact of the variables on the ZAR. The analysis of the variables will include correlation, regression, vector autoregression and the Johansen cointegration test to determine linear interdependencies among the variables. The results indicate that there is a cointegrating relationship between the both relationships investigated.