This paper develops a new index of financial market stress for South Africa (SAFSI) over the period 1995-2017, that has the advantage of capturing the interconnectedness of financial markets as well as enabling each indicator to be assessed in terms of its systemic importance. The index represents a technical improvement over past measures as it is comprised of financial indicators that have been selected based on their ability to capture key periods of financial stress in the economy. These indicators are aggregated using information weights and time-varying cross correlations between markets to form a comprehensive index, that accounts for the systemic dimension of financial indicators. In addition to capturing the benchmark episodes of financial stress in South Africa, the SAFSI successfully captures other global and idiosyncratic risks that affect the nancial markets in the country. Furthermore, the SAFSI outperforms alternative measures that tend to overstate the intensity of financial stress, particularly during normal times. The disaggregation of the SAFSI into contributions emanating from each market sub-index (with information weights) and the overall contribution from the cross-correlations is quite useful for regulatory purposes, especially in terms of the financial stability surveillance functions carried out by macroprudential authorities.