Abstract
In this dissertation, I investigated whether global financial shocks impacted the South African agricultural sector. The study spanned 23 years, during which six major financial shocks occurred worldwide. Indices from countries worldwide, where major financial shocks had taken place, were utilised in determining whether those financial shocks impacted the South African agricultural sector. The study employed the EGARCH model to analyse price data from the JSE All Share Index, S&P 500 Index, Thailand SET Index and Shanghai Composite Index. The three-month JIBAR and USD-ZAR rates were also included to further investigate whether shocks emanating from macroeconomic indicators impact the agricultural sector, with the rationale being that these indicators have major impacts on financial markets and thus also warrant investigation. A dummy variable coded with data on the occurrence of droughts in South Africa was also included to investigate whether climate change has an impact on the agricultural sector and how that relates to financial shocks and their impact on the agricultural sector. This study revealed that all these variables have an impact on the agricultural sector, with periods of major drought preceding major financial shocks resulting in high levels of price volatility.