Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa

dc.contributor.advisorAbraham, Haimen_ZA
dc.contributor.authorMangani, Ronald Dadien_ZA
dc.date.accessioned2014-07-31T12:24:41Z
dc.date.available2014-07-31T12:24:41Z
dc.date.issued2004en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractRecent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information.en_ZA
dc.identifier.apacitationMangani, R. D. (2004). <i>Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5743en_ZA
dc.identifier.chicagocitationMangani, Ronald Dadi. <i>"Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2004. http://hdl.handle.net/11427/5743en_ZA
dc.identifier.citationMangani, R. 2004. Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mangani, Ronald Dadi AB - Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information. DA - 2004 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2004 T1 - Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa TI - Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa UR - http://hdl.handle.net/11427/5743 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5743
dc.identifier.vancouvercitationMangani RD. Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2004 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5743en_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.titleNon-linear dynamics and stock return predictability on the JSE securities exchange of South Africaen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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