Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE

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dc.contributor.advisorHigh, S Hen_ZA
dc.contributor.authorTraverso, Andre Barzellai Amedeoen_ZA
dc.date.accessioned2014-09-25T08:48:21Z
dc.date.available2014-09-25T08:48:21Z
dc.date.issued2000en_ZA
dc.descriptionBibliography: leaves 133-138.en_ZA
dc.description.abstractThe objective of the discussions and tests presented in this dissertation is to test the JSE as an efficient market. The statistical tests will be undertaken with the aim of observing trends in returns to investments on the JSE, whilst investment strategies that are based on assumptions contrary to those of the EMH will be created and their returns observed. The presence of observable patterns in returns and the ability of investment strategies to consistently earn excess positive returns have both been interpreted as providing evidence against the EMH. Thus, the results achieved in the present studies will be interpreted within a similar context. Evidence of price movements and returns behaviour that are contrary to those expected in an efficient markets would render one of the central assumptions of the CAPM questionable and one of the most widely used asset pricing models would be rendered ineffective. A further consequence of any conflicting results is that the theory of rational investors and their immediate reaction to new pertinent information will be refuted. The absence of rational decision makers would imply that current publicly available information does have value in terms of investment strategies, unlike in an efficient markets The above mentioned efficient markets tests will be applied to the JSE so as to observe whether pricing errors do occur and whether these errors are sufficient to conclude that the JSE is not an efficient market.en_ZA
dc.identifier.apacitationTraverso, A. B. A. (2000). <i>Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/7683en_ZA
dc.identifier.chicagocitationTraverso, Andre Barzellai Amedeo. <i>"Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2000. http://hdl.handle.net/11427/7683en_ZA
dc.identifier.citationTraverso, A. 2000. Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Traverso, Andre Barzellai Amedeo AB - The objective of the discussions and tests presented in this dissertation is to test the JSE as an efficient market. The statistical tests will be undertaken with the aim of observing trends in returns to investments on the JSE, whilst investment strategies that are based on assumptions contrary to those of the EMH will be created and their returns observed. The presence of observable patterns in returns and the ability of investment strategies to consistently earn excess positive returns have both been interpreted as providing evidence against the EMH. Thus, the results achieved in the present studies will be interpreted within a similar context. Evidence of price movements and returns behaviour that are contrary to those expected in an efficient markets would render one of the central assumptions of the CAPM questionable and one of the most widely used asset pricing models would be rendered ineffective. A further consequence of any conflicting results is that the theory of rational investors and their immediate reaction to new pertinent information will be refuted. The absence of rational decision makers would imply that current publicly available information does have value in terms of investment strategies, unlike in an efficient markets The above mentioned efficient markets tests will be applied to the JSE so as to observe whether pricing errors do occur and whether these errors are sufficient to conclude that the JSE is not an efficient market. DA - 2000 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2000 T1 - Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE TI - Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE UR - http://hdl.handle.net/11427/7683 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/7683
dc.identifier.vancouvercitationTraverso ABA. Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2000 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/7683en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleTesting for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSEen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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