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Journal articles on the topic 'Johannesburg Stock Exchange'

Author: Grafiati

Published: 4 June 2021

Last updated: 28 July 2024

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1

Bradfield, D. J. "A note on the seasonality of stock returns on the Johannesburg Stock Exchange." South African Journal of Business Management 21, no. 1/2 (1990): 7–9. http://dx.doi.org/10.4102/sajbm.v21i1.909.

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Evidence from studies on the major stock exchanges world-wide suggests that stocks listed on these markets earn abnormally high returns in the month of January. In this article the seasonality of stocks on the Johannesburg Stock Exchange is empirically investigated. Surprisingly no January effects are found, however, a significant December seasonal effect is documented. A plausible explanation for this finding is offered.

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2

Bradfield, D. J. "A note on the seasonality of stock returns on the Johannesburg Stock Exchange." South African Journal of Business Management 21, no. 1/2 (1990): 7–9. http://dx.doi.org/10.4102/sajbm.v21i1/2.909.

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Evidence from studies on the major stock exchanges world-wide suggests that stocks listed on these markets earn abnormally high returns in the month of January. In this article the seasonality of stocks on the Johannesburg Stock Exchange is empirically investigated. Surprisingly no January effects are found, however, a significant December seasonal effect is documented. A plausible explanation for this finding is offered.

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3

Kilian, N. "ESG Metrics Disclosures for Index-Listed Companies in Paris, New York and Johannesburg." European Company Law 20, Issue 4 (2023): 76–83. http://dx.doi.org/10.54648/eucl2023012.

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Against the background of Index listed companies, for example the Paris Stock Exchange (Euronext) CAC 40 ESG Index, New York (NY) Stock Exchange iShares Core MSCI World UCITS ETF Index and the Johannesburg Stock Exchange (JSE) Equity Fund or Index, this article will review similarities in ESG metrics disclosures relevant to each index and whether a stock exchange could rate an index for ESG compliance without making use of an external rating company, for example MSCI. This article also discusses the method used by MSCI to rate listed companies for ESG compliance and whether asset or fund managers could rate their investment portfolios independently from a stock exchange. In this regard, three asset managers – BNP Paribas, Blackrock and Old Mutual – are examined for similarities in their ESG rating processes. In addition, this article explains whether the above stock exchanges are using the same ESG metrics or not. Paris Stock Exchange, New York Stock Exchange, Johannesburg Stock Exchange, ESG, asset manager index, asset manager ESG compliance, ESG rating, United Nations Sustainable Stock Exchanges Initiative

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4

Fateye, Oluwatosin Babatola, Damilola Damilola, and Professor Ajayi. "Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis." Journal of African Real Estate Research 7, no. 2 (2022): 24–42. http://dx.doi.org/10.15641/jarer.v7i2.1144.

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The study examined the volatility of the daily market price of listed property stocks on the Johannesburg Stock Exchange (JSE) for a 10year period (2008-2017). The study used daily prices from January 2, 2008 to December 29, 2017 of twelve (12) quoted property companies out of the twenty-seven (27) listed on Johannesburg Stock Exchange (SA REIT Association, 2020). The study computed the average daily price of the selected (12) property stocks and was used as a proxy for the daily market price for the property stock market in the analysis. The study modelled SA-REIT market price volatility using generalised autoregressive conditional heteroskedasticity (GARCH 1, 1). The GARCH model reported that the previous day's information of both the daily market price (ARCH term) and the volatility (GARCH term) have a positive and significant (p<.05) effect on the current day’s daily market price volatility in the property stock market. The result of the model implies that investment in the property stock market is strongly driven by positive news on daily price than a negative shock; meaning that South Africans' investors are more sensitive and exhibit a sharp response to good news on daily market price than bad news when thinking of investing in listed property company shares on Johannesburg Stock Exchange.

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5

Ward, Mike. "Risk on The Johannesburg Stock Exchange." De Ratione 8, no. 2 (1994): 99–114. http://dx.doi.org/10.1080/10108270.1994.11435052.

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6

Hoffman, AJ. "Stock return anomalies: Evidence from the Johannesburg Stock Exchange." Investment Analysts Journal 41, no. 75 (2012): 21–41. http://dx.doi.org/10.1080/10293523.2012.11082542.

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7

Nyakurukwa, Kingstone. "Information Flow Between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: A Transfer Entropy Approach." Organizations and Markets in Emerging Economies 12, no. 2 (2021): 353–76. http://dx.doi.org/10.15388/omee.2021.12.60.

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The purpose of this paper is to determine whether there was information flow between the stock markets of Zimbabwe and South Africa during the time the Zimbabwean economy was dollarized. The author used econophysics-based Shannonian and Rényian transfer entropy estimates to establish the flow of information between the markets in tranquil periods as well as at the tails of return distributions. The only significant Shannonian transfer entropy estimate was from Johannesburg Stock Exchange (JSE) resources index to Zimbabwe Stock Exchange (ZSE) mining index. The findings show that the only significant tail dependence was between JSE All Share Index (JALSH) and ZSE Mining on the one hand, and between JSE Resources and ZSE Mining on the other hand. However, the magnitudes of the effective transfer entropy values are relatively low, showing that there are weak linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange. The lack of significant information flows between the exchanges of the two countries offer opportunities to fund managers for portfolio diversification. From a government point of view, it is imperative that the tempo of economic and political reform be accelerated so that integration between the markets can be fast-tracked. Integrated markets will benefit Zimbabwe as this will reduce the cost of equity and accelerate economic growth.

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8

Oberholzer, Merwe, and Marli Theunissen. "Benchmarking Of Johannesburg Stock Exchange CEO Compensation." International Business & Economics Research Journal (IBER) 11, no. 9 (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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9

Rensburg, P. van, and K. Slaney. "Market Segmentation on the Johannesburg Stock Exchange." Studies in Economics and Econometrics 21, no. 3 (1997): 1–23. http://dx.doi.org/10.1080/03796205.1997.12129110.

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10

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) (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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11

Muller, C. "Investor overreaction on the Johannesburg Stock Exchange." Investment Analysts Journal 28, no. 49 (1999): 5–17. http://dx.doi.org/10.1080/10293523.1999.11082392.

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12

Mashele, HP, SE Terblanche, and JH Venter. "Pairs trading on the Johannesburg Stock Exchange." Investment Analysts Journal 42, no. 78 (2013): 13–26. http://dx.doi.org/10.1080/10293523.2013.11082559.

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13

Cox, Shaun, and Gizelle D. Willows. "Return prediction in small capitalization companies on the Johannesburg Stock Exchange." Investment Management and Financial Innovations 14, no. 2 (2017): 316–27. http://dx.doi.org/10.21511/imfi.14(2-2).2017.03.

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This report analyzes return prediction in small capitalization companies on the Johannesburg Stock Exchange over the period from 1 January 2010 to 31 December 2015. Well-established fundamental company characteristics and additional small capitalization specific characteristics were regressed against the returns of 104 small capitalization companies. The results show contrary predictability than what is seen in prior studies, which focused on larger companies. The results highlight the difference in the nature of returns earned by small caps and provide insight into unique predictive characteristics that can be used by investors and analysts of small capitalization companies.

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14

Marozva, Godfrey. "Liquidity and Stock Returns: New Evidence From Johannesburg Stock Exchange." Journal of Developing Areas 53, no. 2 (2019): 79–90. http://dx.doi.org/10.1353/jda.2019.0022.

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15

Sharma, Dhanraj, Ruchita Verma, and Murad Al- Bukari. "Does Stock Market React to Terrorist Attack? An Evidence from 9/11 Attack Using Event Study." Studies in Economics and Business Relations 4, no. 1 (2023): 45–56. http://dx.doi.org/10.48185/sebr.v4i1.778.

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The global economy and financial markets around the world are said to be adversely affected by the terrorist attack of 11 September 2001. The present study empirically evaluates the impacts of terrorist attacks on the top 20 stock market indices of the world. The Event study approach is used to conclude that there is a significant impact of the terrorist attack on stock indices of the selected countries, as the following stock market indices showed an adverse abnormal return on the day of the event namely, New York Stock Exchange, NASDAQ, Shenzhen Stock Exchange, National Stock Exchange of India, Frankfurt Stock Exchange, Bombay Stock Exchange, Euronext Paris Exchange, Johannesburg stock exchange and Euronext Brussels. While the rest of the selected stock markets showed a positive abnormal return on the event date. In the following days of the event, the Stock exchange in China showed a negative abnormal CAR for 80 days, while stock exchanges in India showed a negative abnormal CAR in the 20 days following the event. Most of the stock exchanges were not much affected by the event, even if there was an effect it didn’t last long, as the abnormal return was positive after a while.

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16

Enow, Samuel Tabot. "Detecting the Herding Behaviour in the South African Stock Market and its Implications." International Journal of Economics and Financial Issues 13, no. 2 (2023): 88–92. http://dx.doi.org/10.32479/ijefi.13996.

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Herd mentality is associated with financial market bubbles and crises and is not a new concept. Despite the dotcom bubble in the late 90’s and the recent real estate bubble, investors still have the tendency to see irrational decision as rational. Thus the aim of this study was to investigate the presence of herding in the Johannesburg stock exchange during the Covid-19 pandemic. Studies conducted in other markets have detected the presence of herding which sends strong signal of issues that may arise in financial markets. Using a sample period from 02 January 2020 to 31 December 2021 and a cross sectional absolute deviation as an analysis tool, the findings reveals a significant presence of herding in the Johannesburg stock exchange. The main implications to this finding is that momentum investing strategies is more suitable for the Johannesburg Stock exchange and exploring past price movements may provide valuable insights on expected future price movements

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17

Davidson, Sinclair, and Steven Meyer. "The Monday effect and the Johannesburg Stock Exchange: Revisited." South African Journal of Business Management 24, no. 3 (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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18

van Rensburg, P. "Market Segmentation on the Johannesburg Stock Exchange II." Studies in Economics and Econometrics 26, no. 1 (2002): 83–100. http://dx.doi.org/10.1080/10800379.2002.12106327.

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19

Bhana, N. "The Monday effect on the Johannesburg Stock Exchange." South African Journal of Business Management 16, no. 1 (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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20

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 (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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21

Huang, Flora, and Horace Yeung. "Law–Finance–Growth Nexus in the Context of Africa." Law and Development Review 11, no. 2 (2018): 513–55. http://dx.doi.org/10.1515/ldr-2018-0028.

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Abstract This article seeks to put the law–finance–growth nexus into the context of Africa. As of 2017, the African Securities Exchanges Association has 27 securities exchanges as full members. The Johannesburg Stock Exchange is the most developed of all, especially with respect to its market capitalization. Its socio-legal proximity with the English system may provide a good explanation to its phenomenal growth relative to the rest in the region. However, such a socio-legal proximity is indeed shared by a number of other former British colonies such as Nigeria and Zimbabwe. Law alone may not account for the rise of the Johannesburg Stock Exchange. Furthermore, this article seeks to argue whether there is a genuine need for the African countries to have a stock market, which requires highly evolved legal, market and governmental institutions and norms that often do not pre-exist in these countries. On the one hand, the article will look at Africa in general. On the other hand, it will put certain discussions into the context of selected African countries.

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22

Menziwa, Lutando, and Lilian Ifunanya Nwosu. "An evaluation of the relationship between company performance and executive pay of telecommunications companies listed on the Johannesburg stock exchange in South Africa." Multidisciplinary Science Journal 5 (August 29, 2023): 2023ss0324. http://dx.doi.org/10.31893/multiscience.2023ss0324.

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South Africa has experienced difficult trade conditions over recent years. South Africa’s real Gross Domestic Product growth rate from 2016 to 2021 has grown at less than 1.5%. This current economic condition makes it difficult for company executives to increase revenue, thereby increasing share price. This study aimed to evaluate the relationship between company performance and executive pay of telecommunications companies listed on the Johannesburg Stock Exchange in South Africa. The study adopted a quantitative research approach to gather and analyse published information from selected Johannesburg Stock Exchange-listed telecommunications companies in South Africa.

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23

Hodnett, Kathleen. "Value-Growth Spread: Evidence From The Johannesburg Stock Exchange." Journal of Applied Business Research (JABR) 30, no. 6 (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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24

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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25

Próchniak, Joanna, Renata Płoska, Anna Zamojska, Błażej Lepczyński, and Giuseppe T. Cirella. "Maturity Analysis of Stock Exchanges in Africa: Prepandemic Sustainability Perspective." Sustainability 15, no. 8 (2023): 6820. http://dx.doi.org/10.3390/su15086820.

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This paper focuses on the economic dimension of sustainability by examining the stock exchange interface of financial markets, the influence of capital market stakeholders, and the instruments that contribute to a supportive fiscal framework. Only mature stock exchanges are present in sustainability indices; hence, comparative assessment of stock exchanges is limited and contributes to the complexity of conducting such a study. Utilizing multivariate analysis, this study investigates the potential for African stock exchanges to support sustainability. An empirical study was conducted on a selected sample of 15 African stock exchanges at the end of 2020 using collected 5-year interval data from Q1 of 2021. A total of 22 variables were selected based on their legitimacy to support sustainability. Using exploratory factor analysis, two key sustainability drivers of differentiation and classified exchanges were identified, i.e., hard and soft. K-means classification method verified the results and found that of the four identified homogeneous groups, one—the Johannesburg Stock Exchange, Nigerian Stock Exchange, and the Egyptian Exchange—emerged on top. Two smaller groups had the potential to be strengthened, and the majority group lagged behind. The research demonstrated the importance of identifying key sustainability drivers and examined the materiality of the drivers within an African context.

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26

Frisch, Thomas, Sascha Kolaric, and Dirk Schiereck. "Returns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency." International Business & Economics Research Journal (IBER) 13, no. 3 (2014): 581. http://dx.doi.org/10.19030/iber.v13i3.8595.

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This study tests for underreaction and overreaction in the South African stock market by examining abnormal returns on the stocks included in the FTSE Group Johannesburg Stock Exchange Top 40 index following large price rises and drops. The results of our empirical investigation suggest that large price increases and declines are likely to be followed by positive market returns. In addition, for the post-2008 time period the risk of these stocks increases significantly for up to two years following the original event. Therefore, the results lend further support to the Uncertain Information Hypothesis.

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27

Waelkens, K., and M. Ward. "The low price effect on the Johannesburg Stock Exchange." Investment Analysts Journal 26, no. 45 (1997): 35–48. http://dx.doi.org/10.1080/10293523.1997.11082375.

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28

Semnarayan, Pravin, Michael Ward, and Chris Muller. "The investment return puzzle on the Johannesburg Stock Exchange." Investment Analysts Journal 47, no. 3 (2018): 258–71. http://dx.doi.org/10.1080/10293523.2018.1497127.

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29

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) (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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30

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 (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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31

Rupande, Lorraine, Hilary Tinotenda Muguto, Paul-Francois Muzindutsi, and Zhaojun Yang. "Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange." Cogent Economics & Finance 7, no. 1 (2019): 1600233. http://dx.doi.org/10.1080/23322039.2019.1600233.

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32

Enow, Samuel Tabot. "OVERREACTION AND UNDERREACTION DURING THE COVID-19 PANDEMIC IN THE SOUTH AFRICAN STOCK MARKET AND ITS IMPLICATIONS." EURASIAN JOURNAL OF BUSINESS AND MANAGEMENT 10, no. 1 (2022): 19–26. http://dx.doi.org/10.15604/ejbm.2022.10.01.002.

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The aim of this study was to investigate overreaction and underreaction from the six main sectors in the Johannesburg stock exchange due to the significant impact of Covid-19 on economic activities and financial markets globally. Using a Threshold GARCH model, the findings revealed the presence of overreaction mostly in the healthcare, industrial and telecom sector. However, very few stocks in the banking and tech portrayed overreaction while none of the stocks in the consumer goods sector revealed the presence of overreaction or underreaction because the coefficient of the leverage term was statistically insignificant. From these findings, there is a high risk of investing in healthcare, industrial and telecom stocks, which is not compensated by additional returns. Investors can minimize risk in this sectors by adding healthcare, industrial and telecom stocks in a well- diversified portfolio and assigning a risk coefficient to their pricing. This study adds to the body of knowledge on market anomalies by looking at overreaction and underreaction during the coivid-19 pandemic, which is an important concept in behavioral finance. This study is significant to market participants that are willing to trade on the Johannesburg stock exchange as it provides valuable insights on behavioral pattern and anomalies.

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Damien, KUNJAL, NAIDOO Saiurin, MOONSAMY Caleb, GOVENDER Thavania, NAIDOO Riley, and ALLY Ebrahim. "Investor Herd Behaviour during the COVID-19 Pandemic: Evidence from the Johannesburg Stock Exchange." MANAGEMENT AND ECONOMICS REVIEW 8, no. 2 (2023): 158–69. http://dx.doi.org/10.24818/mer/2023.06.03.

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The COVID-19 pandemic has caused extreme volatility in financial markets globally. During periods of extreme volatility, investors tend to exhibit herd behaviour. However, herd behaviour results in market anomalies, which causes incorrect valuations and pricing. Hence, the objective of this study is to test whether COVID-19 has induced herd behaviour in South Africa’s stock market. To achieve this objective, the FTSE/JSE Top 40 Index is used as a proxy for stocks trading on the Johannesburg Stock Exchange. The cross-sectional absolute deviation (CSAD) methodology is employed, and the sample period ranges from July 3, 2017 to June 30, 2021 with March 5, 2020 dividing the pre- and post-COVID-19 periods. The results suggest an absence of herd behaviour in the FTSE/JSE Top 40 Index during the full, pre- and post- COVID-19 sample periods. Therefore, this study concludes that the COVID-19 pandemic has not induced herd behaviour in the South African stock market. This could indicate that stock investors on the JSE follow their own thought and decision-making processes in periods of extreme volatility. Moreover, this may suggest that the South African stock market is efficient and that investors execute rational and well-thought out trades.

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34

Ocran, Matthew. "South Africa and United States stock prices and the Rand/Dollar exchange rate." South African Journal of Economic and Management Sciences 13, no. 3 (2010): 362–75. http://dx.doi.org/10.4102/sajems.v13i3.106.

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This paper seeks to examine the dynamic causal relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions. The paper identifies a bi-directional causality from the Standard & Poor’s 500 stock price index to the rand/US$ exchange rate in the Granger sense. It was also found that the Standard & Poor’s stock price index accounts for a significant portion of the variations in the Johannesburg Stock Exchange’s All Share index. Thus, while causality in the Granger sense could not be established for the relationship between the price indices of the two stock exchanges it can argued that there is some relationship between them. The results of the study have implications for both business and Government.

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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 (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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Steyn, Johannes Petrus, and Lomari Theart. "The pricing of skewness: Evidence from the Johannesburg Stock Exchange." Investment Analysts Journal 50, no. 2 (2021): 133–44. http://dx.doi.org/10.1080/10293523.2021.1898744.

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Thompson, A. R., and M. J. D. Ward. "The Johannesburg Stock Exchange as an Efficient Market: A Review." Studies in Economics and Econometrics 19, no. 3 (1995): 33–63. http://dx.doi.org/10.1080/03796205.1995.12129080.

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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 (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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Bhana, N. "New listings share price behaviour on the Johannesburg Stock Exchange." South African Journal of Business Management 20, no. 4 (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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Darrat, Ali F. "Seasonal Anomalies: A Closer Look at the Johannesburg Stock Exchange." Contemporary Management Research 9, no. 2 (2013): 155–68. http://dx.doi.org/10.7903/cmr.10629.

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Chipeta, C., and C. Deressa. "Financial Reforms and Firm Performance on the Johannesburg Stock Exchange." Studies in Economics and Econometrics 40, no. 1 (2016): 71–94. http://dx.doi.org/10.1080/10800379.2016.12097292.

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Williams, J. J., J. Deodutt, and L. J. Stainbank. "An analysis of director interlocks on the Johannesburg Stock Exchange." South African Journal of Accounting Research 30, no. 2 (2016): 120–38. http://dx.doi.org/10.1080/10291954.2015.1099203.

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Bhana, Narendra. "Public holiday share price behaviour on the Johannesburg Stock Exchange." Investment Analysts Journal 23, no. 39 (1994): 45–49. http://dx.doi.org/10.1080/10293523.1994.11082332.

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Fraser, E., and M. Page. "Value and momentum strategies: Evidence from the Johannesburg Stock Exchange." Investment Analysts Journal 29, no. 51 (2000): 25–35. http://dx.doi.org/10.1080/10293523.2000.11082404.

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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 (2018): 229–42. http://dx.doi.org/10.1080/10293523.2018.1485218.

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Bhana, Narendra. "A review of the efficiency of the Johannesburg Stock Exchange." De Ratione 8, no. 2 (1994): 79–98. http://dx.doi.org/10.1080/10108270.1994.11435051.

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Van Rensburg, Paul. "Macroeconomic variables and the Johannesburg Stock Exchange: A multifactor approach." De Ratione 9, no. 2 (1995): 45–63. http://dx.doi.org/10.1080/10108270.1995.11435059.

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Waksman, G., M. Sandler, M. Ward, and C. Firer. "Market timing on the Johannesburg Stock Exchange using derivative instruments." Omega 25, no. 1 (1997): 81–91. http://dx.doi.org/10.1016/s0305-0483(96)00044-8.

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Sartorius, Kurt, and Gerhard Botha. "Black economic empowerment ownership initiatives: a Johannesburg Stock Exchange perspective." Development Southern Africa 25, no. 4 (2008): 437–53. http://dx.doi.org/10.1080/03768350802318530.

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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 (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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