Academic literature on the topic 'Johannesburg Stock Exchange (JSE)'
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Journal articles on the topic "Johannesburg Stock Exchange (JSE)"
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Sarpong, Prince Kwasi, Mabutho Sibanda, and Merle Holden. "Investigating Chaos on the Johannesburg Stock Exchange." Journal of Economics and Behavioral Studies 8, no. 5(J) (October 30, 2016): 56–67. http://dx.doi.org/10.22610/jebs.v8i5(j).1431.
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This study investigates the existence of chaos on the Johannesburg Stock Exchange (JSE) and studies three indices namely the FTSE/JSE All Share, FTSE/JSE Top 40 and FTSE/JSE Small Cap. Building upon the Fractal Market Hypothesis to provide evidence on the behavior of returns time series of the above mentioned indices, the BDS test is applied to test for non-random chaotic dynamics and further applies the rescaled range analysis to ascertain randomness, persistence or mean reversion on the JSE. The BDS test shows that all the indices examined in this study do not exhibit randomness. The FTSE/JSE All Share Index and the FTSE/JSE Top 40 exhibit slight reversion to the mean whereas the FTSE/JSE Small Cap exhibits significant persistence and appears to be less risky relative to the FTSE/JSE All Share and FTSE/JSE Top 40contrary to the assertion that small cap indices are riskier than large cap indices.
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Davidson, Sinclair, and Steven Meyer. "The Monday effect and the Johannesburg Stock Exchange: Revisited." South African Journal of Business Management 24, no. 3 (September 30, 1993): 83–87. http://dx.doi.org/10.4102/sajbm.v24i3.867.
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The Monday effect is an anomaly that has defied explanation. It has been found to be present in major stock exchanges around the world. Bhana found evidence in favour of this anomaly in the share returns on the Johannesburg Stock Exchange (JSE). In this article the Monday effect on the JSE is reinvestigated in a later period. The methodology employed is superior to that of previous studies. It appears that the Monday effect is no longer present in the pattern of share returns on the JSE. The results of the article suggest that the original methodology creates a bias in favour of finding a Monday effect. Evidence in favour of the trading time hypothesis is found, indicating that no equity growth occurs over weekends.
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Ngwakwe, Collins C. "Independent assurance compliance of sustainable development disclosures in the Johannesburg stock exchange firms." Corporate Ownership and Control 10, no. 2 (2013): 226–40. http://dx.doi.org/10.22495/cocv10i2c2art2.
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This paper examines the extent to which the sustainable development disclosures of companies listed on the Johannesburg stock exchange (JSE) comply with independent external assurance. This is necessary to provide information to responsible investors and to assess the sustainable development commitment of firms in the JSE. A sample of firms within the JSE was taken from the Socially Responsible Index (SRI) group and the non-SRI group. Analysis indicates an increase in the number of firms vying for recognition as socially responsible firms in the JSE’s SRI. Furthermore, a chi-square analysis shows that the SRI and non-SRI group of companies have a comparable rate of compliance with the independent external assurance of sustainable development disclosures. Overall findings indicate that the JSE’s SRI initiative has been functional in driving the sustainable development initiatives of firms in the JSE. There is practical evidence of firms’ commitment to carbon reduction, energy efficiency, waste management, black economic empowerment, water efficiency and other sustainable development initiatives. The paper concludes that stock exchanges may be a catalyst for driving sustainable development behaviour in firms located in emerging and developing countries, hence the paper recommends that stock exchanges in these countries may replicate the sustainable development initiative of the Johannesburg Stock Exchange as this may contribute to the sustainable economic development of emerging and developing countries. The paper offers opportunities for future research on the role of global stock exchanges in fostering sustainable development.
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Cheteni, Priviledge. "Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets." Journal of Economics and Behavioral Studies 8, no. 6(J) (January 24, 2017): 237–45. http://dx.doi.org/10.22610/jebs.v8i6(j).1497.
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Abstract: This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shanghai Stock Exchange. Furthermore, the analysis reveals that volatility is persistent in both exchange markets and resembles the same movement in returns. Consistent with most stock return studies, we find that movements of both markets seem to take a similar trajectory.Keywords: GARCH, ARCH effect, JSE index, Shanghai Stock Exchange Composite Index
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Bowie, D. C., and D. J. Bradfield. "Improved beta estimation on the Johannesburg Stock Exchange: A simulation study." South African Journal of Business Management 24, no. 4 (December 31, 1993): 118–23. http://dx.doi.org/10.4102/sajbm.v24i4.872.
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In this article we focus on beta estimation in the thinly-traded environment of the Johannesburg Stock Exchange (JSE). We build on existing literature by evaluating a beta estimation procedure known as the trade-to-trade which has not until now been considered in the context of the JSE. We contrast our results with two known estimation procedures, i.e. the Cohen et al. and the traditional ordinary least squares (OLS). The trade-to-trade methodology, the estimator proposed by Cohen et al. and OLS are objectively assessed for shares typical of the JSE on the basis of unbiasedness and efficiency in the controlled environment of a simulation study. The trade-to-trade technique is found to be superior on both counts and is recommended as the appropriate technique for beta estimation on the JSE.
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K. Oseifuah, Emmanuel, and Carl H. Korkpoe. "A Markov regime switching approach to estimating the volatility of Johannesburg Stock Exchange (JSE) returns." Investment Management and Financial Innovations 16, no. 1 (March 12, 2019): 215–25. http://dx.doi.org/10.21511/imfi.16(1).2019.17.
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The study used the Markov regime switching model to investigate the presence of regimes in the volatility dynamics of the returns of JSE All-Share Index (ALSI). Volatility regimes are as a result of sudden changes in the underlying economy generating the market returns. In all, twelve candidate models were fitted to the data. Estimates from the regime switching model were compared to the industry standard non-switching GARCH (1,1) using the Deviance Information Criteria (DIC). The results show that the two-regime switching EGARCH model with skewed Student t innovations describes better the return of the JSE Index. Additionally, we backtest the model results in order to confirm our findings that the two-regime switching EGARCH is the best of the models for the sample period.
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Bonga-Bonga, Lumengo. "The Evolving Efficiency Of The South African Stock Exchange." International Business & Economics Research Journal (IBER) 11, no. 9 (August 17, 2012): 997. http://dx.doi.org/10.19030/iber.v11i9.7183.
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This paper tests the weak-form efficiency in the South African stock exchange - the Johannesburg Securities Exchange (JSE) - under the hypothesis that emerging markets efficiency evolves through time as these markets constantly enhance their regulatory environment. The paper makes use of the time varying GARCH model in testing this hypothesis. In addition, the paper compares the out-of-sample forecast performance of the time varying and fixed parameter GARCH models in predicting stock returns in the JSE making use of MSE-F statistics for nested models proposed (McCracken, 1999). The findings of the paper show that the two models provide the same conclusion in showing that the JSE has been efficient during the period of the analysis. In addition, the time varying model outperforms the fixed coefficient model in predicting the JSE stock returns. This finding indicates that the time-varying parameter model adds a benefit in testing the weak-form efficiency or modelling stock return in the JSE.
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Marozva, Godfrey. "The performance of socially responsible investment funds and exchange-traded funds: Evidence from Johannesburg stock exchange." Corporate Ownership and Control 11, no. 4 (2014): 150–59. http://dx.doi.org/10.22495/cocv11i4p11.
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The research reported in this article explored how the JSE SRI Index performed relative to exchange-traded funds during the period of economic growth as well as during the period of economic decline between 2004 and 2014. The JSE SRI Index and exchange traded funds are analysed by a single factor model as well as other risk-adjusted performance measures including the Sharpe ratio, the Treynor ratio and the M-squared ratio. The single-factor model regression results suggest that during the period of economic growth the JSE SRI index neither significantly outperformed nor underperformed the exchange-traded funds. However, the JSE SRI Index significantly underperformed the exchange-traded funds during the period of economic decline. Further tests that engaged other risk-adjusted measures indicated that the exchange-traded funds performed better than the JSE SRI index in both periods. Based on this research it is recommended that further research be conducted using models that can control for the liquidity difference in funds.
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Van der Merwe, R., and J. D. Krige. "Perfect foresight portfolios on the Johannesburg stock exchange." South African Journal of Business Management 48, no. 2 (June 30, 2017): 1–9. http://dx.doi.org/10.4102/sajbm.v48i2.23.
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The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The PF portfolio is a buy-and-hold portfolio of all shares in a particular segment with weights at the beginning of the return period set to be proportional to the market capitalisation of the shares at the end of the return period. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the effect of unanticipated information on the return of the benchmark portfolio. It provides an estimate of the maximum annual amount of available alpha to all investors involved in that segment in a given year. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap and Small Cap segments of the JSE. Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. Therefore a secondary aim was to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 90%) existed between cross-sectional standard deviation and PF excess return in all segments. In ascending order of annual PF excess return and average cross-sectional standard deviation the results for the segments were: Large Cap (8% and 29%), All Share (9% and 32%), Mid Cap (13% and 36%) and Small Cap (17% and 43%).
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McKane, Graeme, and James Britten. "Liquidity and size effects on the Johannesburg Stock Exchange (JSE)." Investment Analysts Journal 47, no. 3 (July 3, 2018): 229–42. http://dx.doi.org/10.1080/10293523.2018.1485218.
Full textDissertations / Theses on the topic "Johannesburg Stock Exchange (JSE)"
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Moodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.
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Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Patel, Zubair. "Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33929.
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Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.
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Mabhunu, Mind. "The market efficiency hypothesis and the behaviour of stock returns on the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002762.
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While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.
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Zuka, Mawethu. "Stalking black swans, dragon kings, and market crashes on the JSE." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/18376.
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This paper examines bubbles on the JSE All Share Index as well as the critical time of the stock market crash from 2/01/ 2004 – 27/03/2014. The underlying hypothesis define bubbles as extreme and begin as a group of small events which grow in a super exponential form explained by a log periodic power law model (LPPL model). The hypothesis is based on the assumption of investors’ herding behavior, where investors collude by making investment decision correlated with their counterparties. The paper implements a Savitzky Golary Algorithm to detect peaks and calculate the critical time of the crash from the peaks. An Ordinary Least Squares (OLS) method is used to determine both the value of stock market price index at the critical time and the increase in the stock market price index over the time before the crash. The remaining parameters of the LPPL model are estimated using a Maximum Likelihood Estimation method. On the empirical results; 68 peaks were detected, and the LPPL model at the critical crash time is estimated 34736.586. Five bubbles are detected; the 15/8/2005 bubble, 28/5/2013 bubble, 23/8/2013 bubble, 5/11/2013, and 1/20/2014.
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Viljoen, Louis Egbert. "Residual momentum and investor sentiment on the Johannesburg Stock Exchange (JSE)." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/59799.
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Momentum has been described as the premier financial market anomaly (Fama & French, 2008), but styles based on this phenomenon tend to suffer intermittent crashes (Barroso & Santa-Clara, 2015). The study investigated a variation on momentum that considers only firm-specific returns, determined from the residual remaining after deducting returns attributable to common risk factors, when selecting portfolio constituents. This prevents concentrated exposure to common risk factors in any one portfolio. The method is known as residual momentum and has shown great promise to improve risk-related returns. Investor sentiment is another financial market phenomenon and is often explained by means of the same behavioural factors as momentum. The study also considered the effect of investor sentiment on momentum in order to document the effect on the JSE, to shed further light on the driving factors behind the phenomena, and to explore practical investment opportunities. Equally weighted conventional momentum and residual momentum portfolios were constructed from the largest 160 stocks on the JSE on a quarterly basis over the last 27 years in order to compare the styles' performances. In addition, momentum returns were compared across different sentiment states, defined based on the level of investor sentiment as proxied by a consumer confidence index orthogonalised to various
macroeconomic variables. Residual momentum was found to provide better risk-adjusted returns than conventional momentum on the JSE. Investor sentiment showed an effect on momentum styles, with residual momentum most profitable following pessimistic formation periods and conventional momentum most profitable following non-pessimistic periods.Mini Dissertation (MBA)--University of Pretoria, 2017.
nk2017
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Van, Heerden Carel. "Is the AltX doing what it is supposed to do? An analysis of the JSE Alternative Exchange." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97366.
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Thesis (MBA)--Stellenbosch University, 2015.ENGLISH ABSTRACT: This research report investigates the history and current status of the Johannesburg Stock Exchange Alternative Exchange and its performance over time. The focus is on comparing the AltX with the JSE Main Board, the JSE top 40, The JSE Small Cap Index and London’s Alternative Investments Market AIM. The different listing requirements and the JSE Main Board will be explored. It then goes further to compare the performance of the JSE with that of AltX and AIM over time. A comparison between listings and de-listings is drawn between the AltX and the JSE Main Board. Complete risk analysis is then conducted in an attempt to compare the risk of listing on AltX, JSE and AIM and determine whether the AltX holds more risk than the other exchanges given its relaxed listing requirements and market sentiment around AltX. In comparing risk analysis with market sentiment as well as actual results, it can be concluded that AltXwhen analysed using beta; standard deviation; maximum draw down; Value at Risk; and the Sharpe ratio, does not carry significantly more risk than the JSE Main Board or AIM. The AltXdoes meet its requirements and is doing what it is designed to do, namely offering an opportunity for small and medium sized companies to raise capital and providing investors with the opportunity to become shareholder and trade in those shares as well as being a spring board to the JSE Main Board, but that moving to the Main Board does not always create more value for shareholders or has a positive influence on share price or liquidity.This brings the conclusion that company performance is still based on the individual performance of the company and not dependant on where the company is listed.
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Oosthuizen, Gerhard. "Analysing cash retained by companies declaring scrip dividend on the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/5046.
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Thesis (MBA (Business Management))--University of Stellenbosch, 2009.ENGLISH ABSTRACT: The research report investigated scrip dividends declared by companies on the Johannesburg Stock Exchange (JSE). Scrip dividends started becoming popular in 1993, due to the introduction of the secondary tax on companies (STC). The purpose of the study was to calculate the total amount of money not paid out as dividends, but retained within the company as cash. No single source could be found which provided sufficient dividend information. Eventually the JSE Monthly Bulletin, Reuters, McGregor BFA and the Hamman financial dataset had to be combined to collect a single set of scrip dividends. Changes in the number of shares issued were used as a way to calculate scrip dividends that were not available, or to crosscheck with the Hamman dataset. All along the way various validations were performed to ensure data consistency. For example, the percentage of shares for which scrip dividends were paid out was checked to ensure that the calculated amount of scrip shares issued were within acceptable boundaries. Furthermore, the equivalent scrip option value on the last date to register (LOR) was compared to the cash dividend option to ensure that the values were of equivalent sizes. In total, 754 scrip dividends were included in the report. For these dividends, R33 265 million was not paid out as cash dividends, but retained within the company. The equivalent share value of those shares on the LOR is R35 337 million. Only R19 576 million was paid as cash. This means that 63% of the total dividend payout was reinvested in the companies. Analysis of the LOR dates shows that 1995 to 1997 were the most popular years for scrip, with more than 130 cases every year. From 1994 to 2000, there were more than 40 scrip dividends every year. Not much has been written in South Africa about the impact and usage of scrip dividends. The research report has for the first time created a consolidated datasheet containing scrip dividend details, allowing further research. The R33 265 million reinvested in the economy has perhaps helped fuel the successful growth of the South African economy over the last 10 years.
AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek skripdividende wat verklaar is deur maatskappye op die Johannesburgse Effektebeurs (JSE). Skripdividende het gewild begin raak in 1993 as gevolg van die bekendstelling van sekondêre belasting op maatskappye (STC). Die doel was om die totale kontantbedrag te bereken wat behou is in die maatskappy, en dus nie uitbetaal is as dividende nie. Geen enkele bron kon gevind word wat volledige inligting oor skripdividende bevat het nie. Uiteindelik is die JSE Monthly Bulletin, Reuters, McGregor BFA en die Hamman finansiele datastel gekombineer in 'n enkele versameling van skrip dividende. Veranderinge in the totale hoeveelheid uitgereikte aandele is gebruik as 'n manier om die skrip aandele wat uitgereik is te bereken, en te korrelleer met die Hamman datastel. Gedurende die dataversamelingsproses is daar verskeie toetsdatapunte bereken, om die data integriteit te verseker. Byvoorbeeld, die persentasie aandele waarvoor skrip uitgereik is, is geverifieer om seker te maak dat die berekende hoeveelheid skrip aandele binne geldige grense was. Verder is die kontantwaarde van die skrip aandeel, soos op die laaste dag van registrasie (LOR), vergelyk met die kontant dividendopsie, om te verifieer dat die waardes van soortgelyke groottes was. In totaal is daar 754 skripdividende ingesluit in die verslag. Vir hierdie dividende is R33 265 miljoen nie uitbetaal as kontant dividende nie, maar as skrip aandele. Die ekwivalente aandeelwaardes van hierdie uitgereikte aandele op die LOR was R35 337 miljoen. Slegs R19 576 miljoen is uitbetaal as kontant. Dit beteken dat 63% van die totale dividenduitbetaling herbelê is in die maatskappye as skrip-aandele. Analise van die dividend LDR datums wys dat 1995 tot 1997 die gewildste jare was vir skrip, met meer as 130 gevalle per jaar. Van 1994 tot 2000 is daar elke jaar meer as 40 skripdividende uitgereik. Daar is nog nie veel oor die impak en gebruik van skripdividende in Suid-Afrika geskryf nie. Die navorsingsverslag het vir die eerste keer 'n gekonsolideerde skripdividend datastel geskep waarmee verdere navorsing gedoen kan word. Die R33 265 miljoen wat herbelê is in die ekonomie het moontlik bygedra tot die ongekende groei in die Suid-Afrikaanse ekonomie oor die laaste 10 jaar.
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Snyman, Hendrik Andries. "Investigating momentum on the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6613.
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Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2011.ENGLISH ABSTRACT: Applying the Industrial Engineering systems approach, this dissertation utilised the theories and propositions of previous studies to argue (model) the cause of financial herd behaviour and the subsequent momentum effect. From this, a hypothesis was postulated to test: whether momentum is a common attribute amongst top performing shares, whether technical analysis indicators can better identify the phenomenon, and whether the return from these shares would justify momentum as a viable investment strategy. A unique experiment derived from previous academic studies was adapted to explore the degree of the momentum phenomenon. This was done by ranking shares according to both technical analysis as well as pure price performance momentum criteria. Returns were translated as a rank in relation to the market as a whole, thereby minimising any effects that different market periods could have on a momentum return relationship. The degree of the relationship was evaluated by applying the alternative Spearman Rank Order Correlation Co-efficient in conjunction with a permutation test to determine the statistical significance of any trends. The viability of the phenomenon as an investment strategy was gauged by comparing annualised average returns against both the market capitalisation weighted JSE All Share Index as well as against an un-weighted representation of the market. The results revealed a seemingly unambiguous co-dependence between momentum and return with statistically significant trends being ever present. Applying the maximum taxes and trading costs revealed that the highest ranked momentum shares did indeed outperform both market benchmarks from the period of January 1990 to August 2009, suggesting the validity of the philosophy as an investment strategy. The outcome of the study in part rejected the null hypothesis, as technical indicators were unable to identify future top performing shares better, with price performance momentum measures delivering the superior returns. Future studies may include optimising the various technical indicators towards the JSE rather than using generic settings. Other interesting topics could include combining momentum with other investment strategies to investigate synergy and further pinpointing the source of the phenomenon. Over the past number of years, tighter controls and monitoring of investments has resulted in the documentation of the individual number of shareholders who are buying and selling shares. Utilising this data over the next number of years, an experiment could attempt to relate the number of individual investors trading in a particular share to herd behaviour and the subsequent momentum effect.
AFRIKAANSE OPSOMMING: Die verhandeling, binne die bedryfsingenieursstelsels benadering, gebruik teorieë en voorstelle van vorige studies om die gevolge van finansiële gedrag en die gevolglike momentum effek te bespreek. Uit die analise is ‘n voorstel saamgestel om die volgende te toets:Is momentum ‘n algemene verskynsel by aandele wat goed presteer, en kan tegniese analitiese indikatore die verskynsel beter verklaar, en dui die opbrengs van die aandele daarop dat momentum ‘n bruikbare beleggingsstrategie is. ‘n Unieke eksperiment uit vorige studies is aangepas om die aard van die momentum verskynsel te ondersoek. Dit was gedoen deur aandele volgens beide tegniese analise asook suiwer prestasie momentum kriteria te klassifiseer. Opbrengste is met die hele mark in konteks geplaas om sodoende enige impak van verskillende mark tye op die momentum opbrengs verhouding te elimineer. Die verband is opgestel deur die alternatiewe “Spearman Rank Order Correlation koëffisiënt” saam met permutasie toetse te gebruik om die statistiese belangrikheid van enige neigings uit te wys. Die geldigheid van die verskynsel as ‘n beleggingsstrategie is gemeet deur jaarlikse gemiddelde opbrengste teen beide die markkapitalisasie geweeg teen die JSE Alle Aandele Indeks sowel as ‘n ongeweegde verteenwoordiging van die mark te bepaal. Die resultate dui op ‘n interafhanklikheid tussen momentum en opbrengste met statistiese neigings altyd teenwoordig. Deur die maksimum belasting en verhandelingskoste toe te pas wys dit dat die hoogste momentum uitgewyste aandele die markriglyne uitpresteer het van Januarie 1990 tot Augustus 2009 wat die geldigheid van die benadering as ‘n beleggingsstrategie bevestig. Die studie verwerp die nul hipotese gedeeltelik in die sin dat dit nie toekomstige top presterende aandele kan uitwys nie, maar aan die ander kant gee prysprestasie momentum meting wel buitegewone opbrengs. Toekomstige studies mag die optimisering van verskeie tegniese indikatore van die JSE insluit, ‘n kombinasie van momentum met ander beleggingsstrategieë gebruik, en verder die bron van die verskynsel vas pen. Oor die afgelope aantal jare het beter beheer en die monitoring van beleggings die dokumentasie van individuele aandeelhouers moontlik gemaak. Hieride data sou kon gebruik word as ‘n toets om die korrelasie tussendie aantal aandeelhouers wat ‘n spesifieke aandeel verhandel en tropgedrag te bepaal en om dit te gebruik om die momentum effek beter te verklaar.
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Voigt, Ivan. "Published share tips : do they out-perform the JSE?" Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49704.
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Study project (MBA) -- University of Stellenbosch, 2001.University of Stellenbosch Business School
ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three months and six months after the date of publication and after inclusion of dividends paid during those periods, returns were calculated. The returns attained for each share was compared to the return on the JSE-Overall Index during that period, the difference between the two being the excess return of the share. The excess returns of the shares recommended by each journalist were used to calculate portfolio excess returns, on which tests of statistical significance carried out. The portfolio of one journalist showed statistically significant excess returns in all four periods under review. One other achieved a statistically significant excess return over 1 week. No other portfolios achieved significant excess returns over the market.
AFRIKAANSE OPSOMMING: In hierdie werkstuk word die aandeelwenke wat in ‘n gerespekteerde tydskrif gepubliseer is, ondersoek om vas te stel of ‘n beleggingsstrategie wat op die wenke van die joernaliste gebaseer is, die mark gemiddlede opbrengs kan klop. Ses joernaliste is gekies, en hul wenke oor ‘n periode van 30-maande is geklassifiseer in “koop” en “nie koop” wenke. Vir die “koop” wenke is die prys-verandering oor tydperke van een week, een maand, drie maande en ses maande gemeet. Opbrengste met insluiting van dividende is bereken. Die opbrengste is met die JE-algehele indeks se opbrengs vir elk van die periodes vergelyk, en die verskil is as bo-opbrengste gedefinieer. Die bo-opbrengste vir elke aandeel is gebruik om portfolio bo-opbrengste te bereken, weereens vir elk van die periodes. Hierdie bo-opbrengste is vir statistiese betekenisvolheid getoets. Die portfolio van een joernalis het statisties beteksnisvolle bo-opbrengste vir al vier periodes getoon. Die portfolio van een ander joernalis het statisties betekenisvolle bo-opbrengste vir ‘n hou-periode van een week getoon. Geen ander portfolios het bo-opbrengste getoon nie.
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Van, Heerden Gillian. "An analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE)." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1017546.
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The underpricing of initial public offerings (IPOs) and their subsequent low long-run performance represents one of the anomalies observed in primary markets worldwide. However, the depth and breadth of it varies from country to country, and sector to sector. Literature has documented that the phenomenon surrounding the long-run post issue performance of IPOs is not unique and that quite similar patterns can be found regarding firms making seasoned equity offerings (SEOs). This study is an empirical analysis of public equity offerings listed on the Johannesburg Stock Exchange (JSE). Using data for 141 South African IPOs that were listed on the JSE Mainboard from 2001 to 2010, significant short-run underpricing is found. A sector wise analysis of three broad sectors indicated that the ‘other’ sector had the largest IPO underpricing after the first few days of trading. The year-wise analysis is also documented. In the long-run this study showed that IPOs in South Africa underperformed two out of three benchmarks in 36 full months post listing. In contrast, using data for 50 South African SEOs during 2003 to 2010, superior SEO performance is found over a 36-month period when assessed using a size and industry adjusted benchmark. Various cross-sectional and time-series patterns in the aftermarket performance of IPO and SEO firms are also documented
Books on the topic "Johannesburg Stock Exchange (JSE)"
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Expected returns and volatility on the JSE securities exchange of South Africa. Zomba, Malawi: University of Malawi, Chancellor College, 2005.
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Posel, Karl. Investing in gold on the JSE. Johannesburg: Southern Book Publishers, 1989.
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Robin, McGregor, ed. McGregor's company disclosure and protection of investors on the JSE. Kenwyn: Juta, 1992.
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Exchange, Johannesburg Stock. Listings requirements of the Johannesburg Stock Exchange. [Johannesburg: Johannesburg Stock Exchange], 1986.
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Bryant, Margot. Taking stock: Johannesburg Stock Exchange, the first 100 years. Johannesburg: Jonathan Ball Publishers, 1987.
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McGregor, Robin. Mcgregor's The mechanics of the Johannesburg Stock Exchange. Cape Town: Juta, 1989.
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Evidence against static asset pricing on the JSE security exchange of South Africa. Zomba: University of Malawi, Chancellor College, Dept. of Economics, 2005.
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Roets, Willem A. V. H. The real creators of wealth on the Johannesburg Stock Exchange. Stellenbosch [South Africa]: W. A v H Roets, 1994.
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Makatjane, Katleho, Ntebo Moroke, and Elias Munapo. "Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach." In Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, 31–64. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-54108-8_2.
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Jones, Stuart. "The Johannesburg Stock Market and Stock Exchange, 1962–87." In Financial Enterprise in South Africa since 1950, 273–301. London: Palgrave Macmillan UK, 1992. http://dx.doi.org/10.1007/978-1-349-11536-5_12.
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Ajayi, Oluwaseun Damilola, and Omokolade Akinsomi. "Empirical Evidence on the Measurement of Information Asymmetry on the Pricing of REITs on the Johannesburg Stock Exchange." In The Construction Industry in the Fourth Industrial Revolution, 287–96. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-26528-1_28.
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Lawrence, Babatunde Samuel, and Mishelle Doorasamy. "Climate Change Risk and the Performance of South African Banks." In Handbook of Research on Climate Change and the Sustainable Financial Sector, 387–98. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-7967-1.ch023.
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The comprehensive climate risk index (CRI) is used to proxy climate change risk in this chapter as an independent variable alongside control variables such as credit risk/nonperforming loan (CRISK), total asset (TA), leverage (LEV), net income margin (NIM), capital adequacy ratio (CAR), yield on earning assets (YEA), and gross domestic product (GDP). Return on assets (ROA) as the response variable was used as proxy for performance of the top six listed South African banks on the Johannesburg stock exchange. Using Stata in a multiple regression technique for the period 2006 to 2019, this chapter concludes that the CRI is negative but not significant enough to impact performance of banks; however, its different individual components such as drought index, rain-waterlogged, etc. could be computed and regressed with other profitability measures to investigate their impact on performance of the banks in future editions of this book.
Conference papers on the topic "Johannesburg Stock Exchange (JSE)"
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Ramantswana, Thabelo. "Johannesburg Stock Exchange Corporate Headquarters Location in South Africa's Metropolitan Areas." In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2016. http://dx.doi.org/10.15396/eres2016_278.
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