We examine stock return predictability of the South African (SA) market using lagged country monthly returns of the US, the UK, Germany, and Japan during the period 1973–2014. Our results show that SA market return and industry returns can be significantly predicted by lagged US market return and industry returns, mainly in the pre-1996 market change period. However, the weaker return predictability for SA stock market in the post-1996 period could be due to liquidity effects of economic reforms, regulatory changes and an enhanced information environment on the SA market.