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1
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.
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Mackinnon, Sarah Kate, and Ryan Kruger. "Factors Influencing Changes In Analyst Consensus Recommendations: Evidence From The Johannesburg Stock Exchange." Journal of Applied Business Research (JABR) 30, no. 3 (April 24, 2014): 959. http://dx.doi.org/10.19030/jabr.v30i3.8580.
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This paper builds on Prayag and van Rensburgs (2006) study that recognised the returns that can be generated by acting on changes in consensus recommendations on the Johannesburg Stock Exchange (JSE). It identifies factors that influence analysts to revise their recommendations based on style anomalies, momentum strategies, and market sentiment. Findings indicate that analysts recommendations on the JSE are driven by similar factors to those in other major markets with a propensity for favouring high-growth stocks with low value multiples. The results for tests in which variables are lagged for longer periods suggest that historical price changes have a more significant impact on analyst revisions than recent changes.
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Hodnett, Kathleen. "Value-Growth Spread: Evidence From The Johannesburg Stock Exchange." Journal of Applied Business Research (JABR) 30, no. 6 (November 14, 2014): 1939. http://dx.doi.org/10.19030/jabr.v30i6.8958.
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<p>This study attempts to establish the cyclical nature of the value-growth spread on the Johannesburg Stock Exchange (JSE) over the period from 1 January 1997 through 31 December 2013, and subsequently undertakes to determine if the recent value-growth spread could be useful to forecast the near-term market risk premium. The three value-growth benchmarks used to classify value and growth stocks include earnings/price ratio (E/P), book/price ratio (B/P) and sales/price ratio (S/P). The ratio between the median S/P ratio for the value portfolio versus the growth portfolio is found to be the highest and most volatile over the examination period, which suggests that the relative valuation of value and growth stocks based on S/P could be cyclical and reflective of the market sentiments and degrees of risk aversion. The prediction of forward market risk premium using the trailing average of S/P value-growth spread achieved the highest R-squared of 26.79%. In addition, predicting forward market risk premium using the other two value-growth spreads is also statistically significant. Examining the coefficients of the regressions reveals that although a significant portion of the forward market risk premium is left unexplained, there exists a significantly positive correlation between recent value-growth spreads and near-term market risk premiums on the JSE. This implies that higher future reward could be expected for equity investments when the value risk premium is higher than its historical average, and vice versa.</p>
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Matarutse, Justice. "Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa." Journal of Economics and Behavioral Studies 6, no. 10 (October 30, 2014): 829–39. http://dx.doi.org/10.22610/jebs.v6i10.542.
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Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in emerging markets. The study measures price volatility in ETFs and their underlying stocks before and after ETF inception so as to provide new evidence of the volatility implications of ETFs for financial markets. The analysis focuses on the Johannesburg Stock Exchange (JSE) SatrixTop40 ETF and its components using an EGARCH (1, 1) model. The analysis focuses on leverage effects, absolute size of volatility innovations and volatility persistence, and concludes that these volatility characteristics have changed and/or increased after the Satrix Top40 ETF introduction on the JSE.
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Bhana, N. "New listings share price behaviour on the Johannesburg Stock Exchange." South African Journal of Business Management 20, no. 4 (December 31, 1989): 195–203. http://dx.doi.org/10.4102/sajbm.v20i4.963.
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The objective of this paper is to determine the price behaviour of new listings on the JSE during the period 1985-1987. The results clearly indicate that those investors who acquired new issues at the initial offering price attained significant short-term benefits in the form of a new issues premium followed by an after-market performance generally supportive of an efficiently operating market. Investors who acquired new issues subsequent to the initial offering earned negative returns (adjusted for market risk as well as systematic risk) during the first year of investment. The investigation reveals that new issues with very large price increases immediately subsequent to their offering do not have returns significantly different from new issues as a whole during the period up to one year following the listing. Investors in the secondary market, on balance, overestimated the return potential and/or underestimated the risk characteristics of new listings on the JSE.
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Chitenderu, Tafadzwa T., Andrew Maredza, and Kin Sibanda. "The Random Walk Theory And Stock Prices: Evidence From Johannesburg Stock Exchange." International Business & Economics Research Journal (IBER) 13, no. 6 (October 31, 2014): 1241. http://dx.doi.org/10.19030/iber.v13i6.8918.
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In this paper, we test the Johannesburg Stock Exchange market for the existence of the random walk hypothesis using monthly time series of the All Share Index (ALSI) covering the period 2000 2011. Traditional methods, such as unit root tests and autocorrelation test, were employed first and they all confirmed that during the period under consideration, the JSE price index followed the random walk process. In addition, the ARIMA model was constructed and it was found that the ARIMA (1, 1, 1) was the model that most excellently fitted the data in question. Furthermore, residual tests were performed to determine whether the residuals of the estimated equation followed a random walk process in the series. The authors found that the ALSI resembles a series that follow random walk hypothesis with strong evidence of a wide variance between forecasted and actual values, indicating little or no forecasting strength in the series. To further validate the findings in this research, the variance ratio test was conducted under heteroscedasticity and resulted in non-rejection of the random walk hypothesis. It was concluded that since the returns follow the random walk hypothesis, it can be said that JSE, in terms of efficiency, is on the weak form level and therefore opportunities of making excess returns based on out-performing the market is ruled out and is merely a game of chance.
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Bhana, N. "The timing of rights issues on the Johannesburg Stock Exchange." South African Journal of Business Management 19, no. 3 (September 30, 1988): 90–95. http://dx.doi.org/10.4102/sajbm.v19i3.977.
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Although a great deal of trading in rights transactions takes place on the various stock exchanges of the world there is a dearth of empirical evidence which might determine an observable trading strategy related to such transactions. The traditional view is that subscription rights to additional issues of securities will reach their maximum price shortly after the start of trading and then decrease until the end of the subscription period. The results of this investigation into rights issues of companies listed on the JSE clearly rejects the 'sell the rights early' trading strategy. It is observed that there is a considerable number of rights which reach their peak price in the middle and in the final trading period. Empirical evidence presented in this paper reveals three factors that could be used to predict the market price of rights listed on the JSE. All three factors are highly correlated with the market price of rights. Therefore, an evaluation of an observable trend in these factors could be used to advantage by investors engaged in rights transactions.
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Page, Daniel, James Britten, and Christo Auret. "Idiosyncratic risk and anomaly persistence on the Johannesburg Stock Exchange (JSE)." Investment Analysts Journal 45, no. 1 (January 2, 2016): 31–46. http://dx.doi.org/10.1080/10293523.2015.1125060.
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Oberholzer, Merwe, and Marli Theunissen. "Benchmarking Of Johannesburg Stock Exchange CEO Compensation." International Business & Economics Research Journal (IBER) 11, no. 9 (August 17, 2012): 1061. http://dx.doi.org/10.19030/iber.v11i9.7189.
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The purpose of the study is to empirically compare CEO compensation benchmarks set by the frequently used Linear Regression Analysis (LRA), which is based on averages and Data Envelopment Analysis (DEA), which is based on best practices. To fulfill this purpose, an empirical investigation on South African listed companies was executed using a sample of 187 Johannesburg Stock Exchange (JSE) companies, grouped into three categories according to their sizes by using total assets, i.e. large, medium and small companies. For the LRA model, total CEO compensation is the dependent variable (y) with return on equity (as a measurement of performance) and total assets (as measurement of company size) as the independent variables (x). In the LRA model, the expected CEO compensation was calculated as a benchmark for each company and then compared to the actual value of the CEO compensation. In the DEA model, total CEO compensation is the input variable and return on equity and total assets the two output variables. The input-orientated technical efficiency estimate was calculated and the input targets (benchmarks for CEO compensation) set by the DEA model were compared to the actual CEO compensation. The study found that, using the LRA model, CEOs are on average actually underpaid in monetary terms by 36.8%, 33.2% and 17.8% for the large, medium and small companies, respectively. In contrast, the results for these three groups using DEA have shown that CEOs are on average actually overpaid in monetary terms by 47.6% 55.3% and 49.9%. This implies that LRA favors CEOs in comparison with the DEA model. Therefore, the study concludes that the frequently used LRA model is probably a reason that contributes to excessive CEO compensation.
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Bhana, N. "The Monday effect on the Johannesburg Stock Exchange." South African Journal of Business Management 16, no. 1 (March 31, 1985): 7–11. http://dx.doi.org/10.4102/sajbm.v16i1.1064.
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The efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are not identical for the various days of the week. This article examines two hypotheses that have attempted to explain the distribution of returns over different days of the week. The calendar-time hypothesis states that the expected return for Monday is three times the expected return for the other days of the week. The trading-time hypothesis states that the expected return is the same for each day of the week. During the period 1978-1983, the daily returns on shares traded on the JSE were inconsistent with both hypotheses. The average return for Monday was significantly negative while the average return for the other trading days was positive with Wednesday showing the highest return. Evidence is presented to show that Treasury Bills have the same weekend effect as share transactions. An investment strategy based on the observed pattern of share returns over different days of the week is suggested. The implications of the effect of day of the week for tests of market efficiency are examined.
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Bradfield, D. J., G. D. I. Barr, and J. F. Affleck-Graves. "Asset pricing in small markets: The South African case." South African Journal of Business Management 19, no. 1 (March 31, 1988): 11–21. http://dx.doi.org/10.4102/sajbm.v19i1.965.
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The authors examine the validity of the CAPM for Johannesburg Stock Exchange (JSE) stocks. Additional effects, namely, dividend yield, size and liquidity are also considered using traditional tests. The results indicate that the one-parameter CAPM is well-specified for the JSE. The betas of gold shares, however, are found to be poor predictors of rand returns - but improve when viewed in dollar terms. None of the above-mentioned effects are found to be significant, however, a slight preference for high-yielding gold shares is documented. Explanations for these findings are offered and contrasted with results documented on the NYSE.
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Van Rensburg, Paul. "Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns." South African Journal of Business Management 31, no. 1 (March 31, 2000): 31–43. http://dx.doi.org/10.4102/sajbm.v31i1.732.
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This study adopts the Chen, Roll Ross prespecified variable approach to priced arbitrage pricing theory factor (APT) identification on the Johannesburg Stock Exchange (JSE). It is observed that the dichotomy in the return generating processes underlying South African mining and industrial shares leads to cross-sectional correlations in the residual errors of linear factor models that do not employ factor analytically extracted explanatory variables. As a result, a 'two residual market factor' approach is introduced in this study. Employing the iterated non-linear seemingly unrelated regression technique of McElroy Burmeister (1988), it is found that the rand gold price, the rate on long bonds, the Dow-Jones Industrial Index and the level of gold and foreign exchange reserves together with the Industrial and All-Gold residual market factors represent priced sources of risk within the framework of the APT over the period 1985 to 1995. The pricing relationships estimated are found to be inconsistent with those implied by the capital asset pricing model. These results are robust across the 'unconstrained intercept' and 'zero beta' cross-sectional model specifications. The findings of the study, however, imply that the influence of macroeconomic variables on the JSE is most parsimoniously expressed in the two factor APT model of Van Rensburg Slaney (1997).
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Mashavave, Faith, and Kunofiwa Tsaurai. "Capital structure and profitability. A case of JSE Listed Companies." Risk Governance and Control: Financial Markets and Institutions 5, no. 1 (2015): 81–93. http://dx.doi.org/10.22495/rgcv5i1art8.
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The research aims to find out the relationship between capital structure and profitability focusing on firms listed on the Johannesburg stock exchange in South Africa. Past research on this topic excluded the Johannesburg Stock Exchange listed firms. The research results will be useful to the business people in South Africa because it will be more in line with the South African economic status and thus relevant. From the graphs and tables of the companies analyzed, it appears there is no relationship between the capital structure and profitability. The fluctuations in the debt/equity ratio and profitability ratio are so severe to such an extent that no meaningful conclusion regarding the relationship between capital structure and profitability can be made. The outcomes are haphazard there is no uniformity and consistence on the outcomes. Other hindrances to the relationship between capital structure and profitability were also discovered and these were attributed to the environmental factors of the company such as economic, political, and social and all other external forces that companies under study were exposed to.
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Ngwakwe, Collins C., and Fulufhelo G. Netswera. "The corporate response to the socially responsible investment (SRI) index of the Johannesburg stock exchange (JSE)." Corporate Ownership and Control 12, no. 1 (2014): 399–405. http://dx.doi.org/10.22495/cocv12i1c4p3.
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This paper examines the trend in corporate response to the social responsible investing index (SRI) of the Johannesburg Stock Exchange (JSE). The motif of the paper is to discover how and if SRI drives corporates towards public declaration of their social responsible investments. The approach is archival with a descriptive and quantitative analysis of data drawn from the Johannesburg Stock Exchange. Descriptively, we charted a trend of the rate at which the JSE firms join the JSE SRI Index, and our findings indicate an upward trend from 2004 to 2013. Quantitatively, we examined the likely difference in corporate climate disclosure before and after the introduction of the Code for Responsible Investing in South Africa (CRISA). Our findings – using a T-Test of difference in means, indicate a significant difference in means, which apparently show that the CRISA may have added further impetus to corporate climate disclosure. In 2013, the JSE SRI deepened its stringency in measuring corporate responsible claims by assessing only the publicly available responsible information of corporations for inclusion in its SRI index. We thus evaluate possible difference in climate disclosure before and within the year of the new stringent criteria of measurement. Our second T-Test of difference in means also shows a significant difference in means, which signal that corporations exerted extra efforts in making the extent of their climate responsibility publicly available. We conclude that the JSE SRI, coupled with the CRISA motivates firms to improve on their public disclosure. We also conclude that the carbon disclosure project (CDP) is adding pragmatic momentum on the activities of JSE firms to strive towards their improvement in climate performance. Thus voluntary codes and indexes, in the absence of binding regulations, could spur corporate social and environmental initiative in a developing country
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Smith, B. K., and J. D. Krige. "Evaluating the economic impact of national sporting performance: Evidence from the Johannesburg Stock Exchange." South African Journal of Business Management 41, no. 3 (September 30, 2010): 1–11. http://dx.doi.org/10.4102/sajbm.v41i3.520.
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This study examines the impact of South Africa’s national soccer, rugby and cricket teams’ performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to affect stock returns through its influence on investor mood. The unconditional mean return on the JSE All Share index for a 13½ year period from September 1995 to February 2009 was compared to the mean return after wins, draws and losses by the national sport teams. An event study approach was followed and four different statistical tests were conducted in order to test for a relationship. The results of the tests indicate the existence of a moderate win effect, with mean returns after wins being statistically significantly higher for the categories all sports combined, cricket and soccer.
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Bhana, Narendra. "Significant changes in dividend policy and insider trading activity on the Johannesburg Stock Exchange." South African Journal of Business Management 22, no. 4 (December 31, 1991): 75–82. http://dx.doi.org/10.4102/sajbm.v22i4.901.
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The objective with this article was to determine whether insider trading related to unannounced dividend policy changes provided abnormal returns for shares listed on the Johannesburg Stock Exchange (JSE). The results indicate that insiders as a group seem to exhibit 'remarkable timing ability'. Significant changes in insider trading activity were detected during the six-month period prior to the resumption (omission) announcement. Company insiders trading prior to dividend changes announcements earned consistently large positive abnormal returns (avoid large negative abnormal returns). It is recommended that company insiders be required to make public the market positions they take in their company's shares. This can be expected to reduce the abnormal returns derived from insider trading and will also contribute towards improving the efficiency of the JSE.
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Bamidele Fakoya, Michael, and Segopotje Evonia Malatji. "Integrating ESG factors in investment decisions by mutual fund managers: a case of selected Johannesburg Stock Exchange-listed companies." Investment Management and Financial Innovations 17, no. 4 (December 7, 2020): 258–70. http://dx.doi.org/10.21511/imfi.17(4).2020.23.
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This paper examines whether mutual fund managers incorporate environmental, social, and governance (ESG) factors when deciding which sector to invest on behalf of their trustees. In doing this, the top 20 South African mutual fund companies (asset managers) listed on the Johannesburg Stock Exchange (JSE) were selected. The paper identified the top 30 JSE listed companies (in the large industrial, equipment, and machinery sectors, excluding unlisted and service-oriented companies) where trustees’ funds were invested (with a total of 28 companies between 2007 and 2017) from the mutual fund companies’ Equity Fund Fact Sheets 2017 (representing recent investment focus). ESG data were collected from the integrated and sustainability reports at the sampled companies’ websites, and financial data were sourced from the IRESS database. This study adopted the panel data analysis. The results show an insignificant negative relationship between the ESG proxies (water usage, employee health and safety cost [number of work-related fatalities], percentage of women on corporate board) and return on equity (ROE). This means that the sampled companies disregard the United Nations Principle of Responsible Investment (UN PRI) guideline, suggesting that asset managers focus on increasing returns on shareholders’ investment without considering ESG issues. The paper concludes that the disregard for responsible investment guidelines does not encourage companies to improve their unsustainable business practices.
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Dzomonda, Obey. "Stakeholder Engagement and Financial Performance of Firms Listed on the Johannesburg Stock Exchange (JSE)." Journal of Reviews on Global Economics 9 (November 16, 2020): 446–58. http://dx.doi.org/10.6000/1929-7092.2020.09.42.
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Attaining sustainable development will remain an elusive agenda if there is no effective stakeholder engagement. All stakeholders need to come on board to share and collaborate on environmental sustainability initiatives. This study investigated the relationship between stakeholder engagement and financial performance. The study area of this study was all FTSE/JSE listed firms. The researcher opted for a quantitative research approach and used a case study research design. The longitudinal design was adopted where the researcher collected panel data from 2011-2018. The sample of this study was 32 firms listed on the FTSE/JSE Responsible Investment Index. This resulted in 256 observations for the period under consideration. This study utilised secondary data, which is annual financial statements of firms listed on the JSE. Stakeholder engagement was the independent variable while the financial performance as measured by the Tobin’s Q was the dependent variable. Quantitative content analysis was used to collect data related to stakeholder engagement. Data was analysed using Panel regression analysis model. The Fixed and Random effects models were used to analyse data. The Hausman test was used to evaluate the appropriate model. The findings showed a positive but insignificant relationship between stakeholder engagement and financial performance as measured by Tobin’s Q. This suggested that stakeholder engagement does not predict market valuation of the firm. It was deduced that probably the concerned firms are sending weak signals to key stakeholders regarding their genuine commitment towards environmental sustainability initiatives. Recommendations were made for firms to send strong signals to investors which clearly show that they are genuinely committed towards environmental sustainability initiatives.
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Bradfield, D. J., and C. S. Ardington. "On international fund construction in South Africa." South African Journal of Business Management 28, no. 3 (September 30, 1997): 88–96. http://dx.doi.org/10.4102/sajbm.v28i3.793.
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This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the risk of securities on the Johannesburg Stock Exchange (JSE) is empirically demonstrated. In the second part an automated portfolio construction methodology based on the resulting foreign risk estimates of the model is empirically tested on the JSE. The results confirm there is potential for improving the performance of existing 'international' funds on the JSE using more rigorous quantitative approaches such as the one proposed here.
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da Cunha, Jesse Alves, and Yudhvir Seetharam. "The long run performance of secondary equity offerings on the Johannesburg Stock Exchange." International Journal of Emerging Markets 13, no. 5 (November 29, 2018): 1211–32. http://dx.doi.org/10.1108/ijoem-02-2017-0042.
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Purpose Opinions have been divided on whether there is a rational explanation to the reason behind seasoned equity offerings (SEOs) or whether the explanation lies within the behavioural intricacies attributed to stock market participants. The paper aims to discuss these issues. Design/methodology/approach This study investigates the long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998–2015, by examining the return performance and operating performance of firms, along with the impact of investor sentiment on these variables. Findings The results of this study are inconsistent with the existing literature, which argues that the long-run performance of issuing firms signalled an initial underreaction to SEOs buoyed by over-optimistic investors. Research limitations/implications Instead, the long-run performance of issuing firms is adequately explained by the rational models centred on the risk-return framework, implying that investors are reacting swiftly to SEOs in an unbiased fashion. Originality/value Investor sentiment does not materially influence the long-run share performance or operating performance of issuing firms, casting doubt on the ability of the market timing theory to explain the long-run performance of SEOs. The authors thus find that SEO performance cannot be explained by behavioural-based reasoning, in contrast to some asset pricing studies on the JSE which indicate the role of sentiment in explaining returns.
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Ganda, Fortune, Collins C. Ngwakwe, and Cosmas M. Ambe. "Environmental consciousness as a factor which promotes firm green investment practices in Johannesburg stock exchange (JSE) listed firms." Corporate Ownership and Control 12, no. 4 (2015): 440–50. http://dx.doi.org/10.22495/cocv12i4c4p2.
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Heightening consciousness concerning natural environmental issues has also resulted in high pressure on firms to introduce green friendly programs. This study explored the relationship between environmental consciousness and green investment practices in 100 South African CDP firms on the JSE over a period of 5 years (that is, 2010 to 2014). The paper analysed the data using Chi-square tests and the results demonstrates that environmental consciousness influences green investment activities in JSE listed companies. Furthermore, a positive direct relationship involving environmental consciousness and green investment activities was ascertained. The paper also produced common and major indicators of environmental consciousness for the firms under study. A brief discussion on corporate views from selected JSE listed firms in relation with environmental consciousness was also implemented.
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Bhana, Narendra. "Reaction on the Johannesburg Stock Exchange to major shifts in dividend policy." South African Journal of Business Management 22, no. 3 (September 30, 1991): 33–40. http://dx.doi.org/10.4102/sajbm.v22i3.896.
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The objective of this article is to examine the share market response to substantial changes in dividend policies for companies listed on the Johannesburg Stock Exchange. The results provide strong support for the information content of dividend hypothesis. Investors revise their expectations in response to announcement of significant dividend changes. The market reacts more dramatically to negative than to positive dividend changes. The JSE appears to be inefficient in reacting to the announcement of dividend changes; economically significant abnormal returns are observed for a period of up to 20 trading days after the event. A systematic trader in dividend changing shares would have earned significant abnormal returns even though the market effects large corrections before, and at the announcement date. This pattern is especially clear around dividend omissions and large dividend decreases.
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Modirelabangwe, Gorata Onthatile, and Percy M. D. Phatshwane. "Disclosure of Audit Activities in Annual Reports: A Comparative Study of Selected Listed Companies in Botswana and South Africa." International Business Research 11, no. 5 (March 14, 2018): 1. http://dx.doi.org/10.5539/ibr.v11n5p1.
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Audit activities form part of the key functions that enhance the reliability and validity of financial and non-financial information. One of the reporting processes investors and other stakeholders rely on when making decisions is the annual reports of enterprises which are a compilation of various reporting elements. Although internal auditors do not make direct disclosures in annual reports, many financial and non-financial disclosures are for audited items. Ultimately internally-audit activities and those of the external auditor are reflected in disclosures made by the internal audit function, the audit committee, and the external auditors themselves. The main objective of this study was to identify the levels of audit disclosure made in reference to the activities of IAFs, external auditor and the audit board committee, and to make comparisons therein between Botswana Stock Exchange (BSE) and the Johannesburg Stock Exchange (JSE) listed companies. To uncover the extent of these disclosures the current study derived seventeen (17) mandatory or voluntary audit disclosure areas that were used to conduct text analysis and to determine disclosures made for a cross-country study of three companies, each from the areas of retail, banking and insurance selected from the Botswana Stock Exchange (BSE) and the Johannesburg Stock Exchange (JSE). The study found that audit committees and internal audit functions dominated the disclosure of the audit-related variables, and that external auditors tend to confine their disclosure to areas concerned with presentation and qualification of financial statements. The study also found that companies listed in the JSE made more disclosures than their BSE counterparts, and that the retail sector made fewer disclosures as compared to the other two sectors. Furthermore, disclosures related to assessment and management risk as well as aspects of internal audit functions were the two most frequently disclosed variables in both geographic locations. The study goes on to recommend that future studies make more comparative studies by sector, geographic location, and to explore the use of a broader range of auditing variables.
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De Villiers, P., A. J. Lowings, T. Pettit, and J. Affleck-Graves. "An investigation into the small firm effect on the Johannesburg Stock Exchange." South African Journal of Business Management 17, no. 4 (December 31, 1986): 191–95. http://dx.doi.org/10.4102/sajbm.v17i4.1055.
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Recent studies on the New York Stock Exchange have provided empirical evidence which suggests that small market capitalization firms outperform large market capitalization firms in terms of share price performance. This appears valid even after adjusting for the additional risk borne by the small firms. This has become known as the 'small firm effect' and questions the validity of many traditional pricing models such as the Capital Asset Pricing Model. In this paper, the small firm effect is examined on the Johannesburg Stock Exchange. The risk-adjusted performance of portfolios comprising large firms is contrasted with that of small firms. Three measures of size are used, namely market capitalization, asset base and traded volume. In all three cases, no evidence of a small firm effect is apparent. Indeed, if anything, the large firms appear to provide superior investment performance on the JSE.
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Chipeta, C. "Post IPO dynamics of capital structure on the Johannesburg Stock Exchange." South African Journal of Business Management 47, no. 2 (June 30, 2016): 23–31. http://dx.doi.org/10.4102/sajbm.v47i2.57.
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This paper examines the dynamics of capital structure for firms engaging in initial public offerings (IPOs) on the Johannesburg Stock Exchange (JSE). Censored Tobit regressions are used to model capital structure targeting behaviour. The findings suggest evidence of targeting behaviour consistent with the static trade off theory of capital structure. On average, IPO firms adjust towards the capital structure target at a faster pace than seasoned firms; IPO firms take, on average, 0.77 years to cover half the financing gap, whereas seasoned firms take an average of 2.65 years. In the first year following the IPO, hot market IPOs significantly reduce their total debt, while cold market IPOs increase the total debt significantly. In terms of the total debt ratio, hot market IPOs adjust at a marginally faster pace than cold market IPOs. However, the opposite is true when the long term debt ratio is considered. In addition, hot market IPOs adjust faster than cold market IPOs in the first year following the IPO. The average first year adjustment speed of hot market IPO firms is 45.61 percent higher than the speed of adjustment for the average cold market IPO firm.
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Dzomonda, Obey, and Olawale Fatoki. "Environmental Sustainability Commitment and Financial Performance of Firms Listed on the Johannesburg Stock Exchange (JSE)." International Journal of Environmental Research and Public Health 17, no. 20 (October 15, 2020): 7504. http://dx.doi.org/10.3390/ijerph17207504.
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The importance of heeding the environmental sustainability commitment call cannot be underestimated. Laggards in terms of environmental sustainability commitment are likely to face fines and penalties as talks to tighten environmental legislation are now at an advanced stage globally. The current work assessed the link between environmental sustainability commitment and financial performance of firms listed on the Johannesburg Stock Exchange (JSE). The study was quantitative in nature with a case study research design. The longitudinal design was adopted where the researcher collected panel data from 2011–2018. The population of the study included all firms listed on the JSE Responsible Investment Index in South Africa. The sample constituted of 32 firms listed on the Financial Times Stock Exchange FTSE/JSE Responsible Investment Index in South Africa. The researchers employed the panel regression analysis model to analyze the data. Specifically, the Feasible Generalized Least Squares regression model was used in this study. Financial performance was treated as the dependent variable as measured by earnings per share and share price. The independent variables of the study included components of environmental sustainability such as carbon emission reduction and environmental compliance. Control variables such as firm size and liquidity were used in the study. The findings indicated that carbon emission reduction was positively and significantly related to earnings per share and share price. The findings further exhibited that environmental compliance was positively related to earnings per share and share price. It was concluded that firms can enhance their financial performance from environmental investment as all the hypotheses were supported. This study contributes practically towards shaping environmental policies and it also serves as motivation to listed companies that they can enhance both their profitability and market value from environmental investments.
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Page, M. J. "Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange." South African Journal of Business Management 17, no. 1 (March 31, 1986): 38–42. http://dx.doi.org/10.4102/sajbm.v17i1.1032.
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In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than just the return on the market as predicted by the Capital Asset Pricing Model (CAPM). Although a considerable amount of empirical research has been carried out into the APT in the United States of America, little appears to have been done in South Africa In this article empirical research is carried out into the APT using data from the JSE. The research involves both attempting to establish the number of 'priced' factors influencing risky security returns on the JSE and comparing the explanatory ability of the APT and CAPM. Factor analysis is used to establish the number of 'priced' APT factors and regression analysis is used to assess the explanatory ability of the models. The findings suggest that at least two factors determine security returns, rather than just the return on the market as predicted by the CAPM, and that a two-factor APT model has significantly better explanatory powers than the CAPM in an ex-post sense. Finally, it is apparent that considerably more empirical research needs to be done if the factors are to be conclusively identified and checked for stability through time.
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Esterhuyse, Leana, and Christa Wingard. "An exploration of the online investor relations (IR) practices of companies listed on the Johannesburg Stock Exchange (JSE)." South African Journal of Economic and Management Sciences 19, no. 2 (May 13, 2016): 215–31. http://dx.doi.org/10.4102/sajems.v19i2.1261.
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Prior research has found that having better investor relations (IR) practices contributes towards improved share prices, liquidity of shares and analyst following. The main aim of this study was to determine the extent to which JSE-listed companies comply with international best practice guidelines for IR practices via the company’s website. A secondary objective was to arrive at an opinion regarding the stage of internet adoption for IR practices in which JSE-listed companies find themselves, based on Hedlin’s (1999) three-stage model. A checklist of 201 items was used to assess the websites of 205 JSE-listed companies from the beginning of July to mid-September 2012. The average online IR score for all 205 companies was found to be disappointing, although the top 100 companies in South Africa performed better than companies in other emerging and developing economies, but worse than companies in advanced economies, where size is probably the main differentiator. Bandwidth is also a constraining factor for online IR quality in South Africa. We conclude that instead of moving towards stage III (HTML, video and audio) of Hedlin’s model (1999), JSE listed companies still seem to find themselves in stage II (paper-equivalent PDF’s). This should concern Chief Financial Officers (CFOs), as effective and efficient communication with investors could contribute towards attaining optimal share prices and improved liquidity and analyst following.
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Bhana, N. "Take-over announcements and insider trading activity on the Johannesburg Stock Exchange." South African Journal of Business Management 18, no. 4 (December 31, 1987): 198–208. http://dx.doi.org/10.4102/sajbm.v18i4.1018.
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The objective of this study was to carry out an investigation into the abnormal return behaviour of a sample of 50 acquired companies on the Johannesburg Stock Exchange during the period 1976-1985. Insiders appear to take market positions on prospective take-overs approximately 40 trading days before the announcement, and there appears to be uncontrolled abuse of insider trading rules in the 15 days immediately prior to the take-over announcement date. Legally defined insiders were not responsible for the abuse of inside information relating to the proposed take-overs. It would seem that substantial insider trading is carried out through third parties in order to escape detection of the authorities. The JSE appears to be inefficient in reacting to the public announcement of a planned take-over, and Section 233 of the Companies Act which regulates insider trading in South Africa is clearly ineffective. Various deficiencies and loopholes in the existing legislation are identified and recommendations for amendments are suggested.
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Bhana, N. "Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis." South African Journal of Business Management 20, no. 3 (September 30, 1989): 119–28. http://dx.doi.org/10.4102/sajbm.v20i3.951.
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The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.
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van Heerden, Gillian, and Paul Alagidede. "Short run underpricing of initial public offerings (IPOs) in the Johannesburg Stock Exchange (JSE)." Review of Development Finance 2, no. 3-4 (July 2012): 130–38. http://dx.doi.org/10.1016/j.rdf.2012.10.001.
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Michello, Franklin A. "Structural change and the bid-ask spread: evidence from the Johannesburg Stock Exchange (JSE)." Emerging Markets Review 2, no. 3 (September 2001): 280–91. http://dx.doi.org/10.1016/s1566-0141(01)00021-8.
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van Rooyen, Johannes Hendrik, and Daniel Lee Jones. "The inflation-hedging ability of individual shares: Evidence from the Johannesburg Stock Exchange (JSE)." Investment Analysts Journal 48, no. 1 (October 30, 2018): 58–73. http://dx.doi.org/10.1080/10293523.2018.1525210.
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Oberholzer, Merwe. "A Non-Parametric Comparison Among Firms Income Statement-Based And Balance Sheet-Based Performance." International Business & Economics Research Journal (IBER) 12, no. 11 (October 29, 2013): 1467. http://dx.doi.org/10.19030/iber.v12i11.8183.
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The purpose of the study is to create an income statement-based and a balance sheet-based data envelopment analysis (DEA) model, and to demonstrate these models on Johannesburg Stock Exchange (JSE) listed firms and to compare the technical and scale efficiencies of firms among the two models. A convenience sample of 51 JSE-listed industrial companies over a three year period was selected. The practical value of this modeling exercise is that corporate managers can become conscious that, although the income statement and balance sheet performances tend to be related, there is evidence of a significant gap between firms performance according to these measurements.
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Daggash, Jibrin, and Terfa W. Abraham. "Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria." International Journal of Economics and Finance 9, no. 11 (October 7, 2017): 35. http://dx.doi.org/10.5539/ijef.v9n11p35.
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This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, confirming the stock flow hypothesis for Nigeria and refuting same for South Africa. Although the VAR granger causality identifies short run fluctuation of the naira as a significant factor affecting the performance of the Nigerian stock exchange in the short run, the Johannesburg stock exchange was found to be mostly affected by short run changes in the Rand and the UK FTSE 100. The paper concludes that policies aimed at stabilizing exchange rate and encouraing more non-oil stocks to be quoted in the Nigerian stock exchange will important. For the Johanesburg stock exchange, raising the listing requirement for firms quoted in the UK FTSE 100 and also seeking listing or already listed in the JSE will be a plausible idea. For both countries, however, curtailing swings in their exchange rate returns would help attract new investments and sustain existing ones hence, helping to spur growth.
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Kruger, Ryan, and Francois Toerien. "The Impact Of Index Migrations On Share Prices: Evidence From The Johannesburg Stock Exchange." Journal of Applied Business Research (JABR) 29, no. 6 (October 29, 2013): 1861. http://dx.doi.org/10.19030/jabr.v29i6.8222.
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<p>This article examines the quantum and persistence of abnormal returns (positive and negative) for shares that entered or left the JSE Top 40 Index during quarterly index rebalancing between 2002 and 2013. Using an event study methodology based on the market model, we find evidence of anticipatory trading for both deletions and additions, which is, however, significant only for the former. These abnormal returns are reversed over our window period, which supports international studies indicating downward sloping share demand curves. Our findings imply informational inefficiencies that investors could use to trade profitably in anticipation of index additions or deletions.</p>
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Kojo Oseifuah, Emmanuel, and Agyapong Gyekye. "Working capital management and shareholders' wealth creation: evidence from non-financial firms listed on the Johannesburg Stock Exchange." Investment Management and Financial Innovations 14, no. 1 (March 31, 2017): 80–88. http://dx.doi.org/10.21511/imfi.14(1).2017.08.
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Working capital plays a vital role in shareholders’ wealth creation, yet there is a dearth of empirical studies on the relationship between working capital management and firm value in the South African economic environment. This study attempts to fill this gap by using Richards and Laughlin’s (1980) Cash Conversion Cycle theory to investigate the impact of working capital management efficiency and its separate components on firm value of South African firms listed on the Johannesburg Stock Exchange (JSE). Panel data regression methodology was used to analyze accounting data obtained from I-Net Bridge/BFA McGregor for 75 firms for the 10 year period, 2003 to 2012, to determine the nexus between WCM and profitability (proxied by return on assets). The key findings of the study are as follows: 1) there exists a significant positive relationship between firm value and both inventory conversion period and receivables conversion period; 2) the relationship between the cash conversion cycle and firm value is positive but insignificant; 3) there is a significant positive relationship between accounts payable deferral period (PDP) and profitability; 4) firm size and firm value are significantly positively related, and 5) there is a significant negative relationship between leverage and firm value.
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Small, Wayne, and Heng-Hsing Hsieh. "Style Influences And JSE Sector Returns: Evidence From The South African Stock Market." Journal of Applied Business Research (JABR) 33, no. 5 (August 30, 2017): 863–72. http://dx.doi.org/10.19030/jabr.v33i5.10011.
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A distinctive phenomenon on the Johannesburg Stock Exchange (JSE) is the market segmentation between the resource sector and the financial and industrial sectors documented in empirical literature. The dominance of the resource sector in the cap-weighted FTSE/JSE All-Share index (ALSI) implies that the ALSI index might not be mean-variance efficient due to the potential lack of diversification. We estimate and compare the historical sector exposures of the ALSI index to its hypothetically optimal sector exposures over the examination period from 2003 through 2013. It is found that to achieve mean-variance efficiency on the JSE over the examination period, one should maintain substantial investments in the industrial sector and tactically allocate the remainder of the investments to the financial sector and/or the resource sector. It is also observed that the sector exposures of the ALSI index have shifted significantly from the resource sector to the industrial sector. To gain a better understanding of the investment style influences on the JSE sector returns, we further investigate the exposures of the prominent JSE sector returns to the style risks using the Carhart (1997) four-factor model. It is found that investments in financial stocks are exposed to significant value risk and, to some degree, influenced by the performance of large caps on the JSE. In addition, excess returns on the industrial sector are attributed to value, small cap and momentum risk premiums to some degree. The performance of the resource sector, on the other hand, is mildly biased towards the growth, large cap and contrarian investment styles on the JSE.
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Makatjane, Katleho Daniel, and Edward Kagiso Molefe. "PREDICTING REGIME SHIFTS IN JOHANNESBURG STOCK EXCHANGE ALLSHARE INDEX (JSE-ALSI): A MARKOV-SWITCHING APPROACH." EURASIAN JOURNAL OF ECONOMICS AND FINANCE 8, no. 2 (2020): 95–103. http://dx.doi.org/10.15604/ejef.2020.08.02.004.
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Page, Michael J., and Francis Palmer. "The relationship between excess returns, firm size and earnings on the Johannesburg Stock Exchange." South African Journal of Business Management 22, no. 3 (September 30, 1991): 63–73. http://dx.doi.org/10.4102/sajbm.v22i3.900.
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While considerable empirical work has been conducted in the United States concerning excess returns and the relationship of these returns to firm size and E/P ratio, thus far, there have been few similar empirical studies conducted using Johannesburg Stock Exchange (JSE) data. Evidence of firm size or E/P ratio effects has been ascribed by various authors to either model misspecification or market inefficiencies. In this article the evidence is examined for the South African market using 1370 company years of data over the period 1978 to 1988, and a significant earnings effect is found, but no size effect. In the analysis the problem of data bias is considered with particular emphasis on thin trading issues, and a methodology for future empirical work is described. Finally, it is suggested that the evidence can be better explained by market inefficiencies than model misspecification.
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Kasozi, Jason, and Sam Ngwenya. "The capital structure practices of listed firms in South Africa." Corporate Ownership and Control 8, no. 1 (2010): 624–36. http://dx.doi.org/10.22495/cocv8i1c6p4.
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This study investigates whether financial theory is aligned with financial practice by testing two conventionally recognised theories of capital structure choice, the trade-off theory and the pecking-order theory against the financing practices of listed firms on the Johannesburg Stock Exchange (JSE) during the period 1995-2005. Data were obtained from the McGregor database. The results indicated a unique, but significantly positive, correlation between debt financing and financial distress, and a significant negative correlation between debt financing and the collateral value of assets. These findings suggest that financial theory is not aligned with practice on firms listed on the JSE. This study attempts to contribute to efforts to align financial theory with practice, and to help future researchers advance or modify current theories.