Short-term return reversion on the JSE

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dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorGarisch, Jarryden_ZA
dc.date.accessioned2015-01-27T10:06:32Z
dc.date.available2015-01-27T10:06:32Z
dc.date.issued2013en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.description.abstractThis study explores the existence of mean reversion in returns on the Johannesburg Stock Exchange (JSE). Finding that most research on the JSE applies to the long term, this paper investigates mean reversion across relatively shorter periods. Thus investment horizons between 1 and 30 days are considered. This paper finds that the standard short-term reversal strategy can be improved upon by a double application of the strategy. Furthermore, return reversal are found to be strongest when comparing prior 5 day returns with future 5 day returns. The best strategy is found to be the double application of the standard short-term reversal strategy using the 10th percentile of the 5 day prior returns and the 10th percentile of the 10 day prior returns. The long positions of this strategy still generated attractive returns over the market crash of 2008, making this a robust strategy. In general, long strategies outperform short strategies. However, over the crash period of 1 August 2008 to 1 April 2009 the short strategies offered more attractive returns and higher information ratios. Other additions to the strategy, such as moving average and kicker rules, fail to add value or reduce risk. Extending the holding period of the standard short-term reversal strategy generally results in poorer performance across all percentiles. The results in this paper pertain to the top 60 shares on the Johannesburg Stock Exchange ranked by market capitalisation on 10 August 2012. These cover a sample period ranging from 1 January 1998 to 10 August 2012. The analysis presented in this paper does not factor in the influence of trading costs. Such costs may be significant when portfolios are closed and opened frequently. An additional caveat is that many strategies lead to a small average number of positions, which is problematic for institutional traders.en_ZA
dc.identifier.apacitationGarisch, J. (2013). <i>Short-term return reversion on the JSE</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/12331en_ZA
dc.identifier.chicagocitationGarisch, Jarryd. <i>"Short-term return reversion on the JSE."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2013. http://hdl.handle.net/11427/12331en_ZA
dc.identifier.citationGarisch, J. 2013. Short-term return reversion on the JSE. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Garisch, Jarryd AB - This study explores the existence of mean reversion in returns on the Johannesburg Stock Exchange (JSE). Finding that most research on the JSE applies to the long term, this paper investigates mean reversion across relatively shorter periods. Thus investment horizons between 1 and 30 days are considered. This paper finds that the standard short-term reversal strategy can be improved upon by a double application of the strategy. Furthermore, return reversal are found to be strongest when comparing prior 5 day returns with future 5 day returns. The best strategy is found to be the double application of the standard short-term reversal strategy using the 10th percentile of the 5 day prior returns and the 10th percentile of the 10 day prior returns. The long positions of this strategy still generated attractive returns over the market crash of 2008, making this a robust strategy. In general, long strategies outperform short strategies. However, over the crash period of 1 August 2008 to 1 April 2009 the short strategies offered more attractive returns and higher information ratios. Other additions to the strategy, such as moving average and kicker rules, fail to add value or reduce risk. Extending the holding period of the standard short-term reversal strategy generally results in poorer performance across all percentiles. The results in this paper pertain to the top 60 shares on the Johannesburg Stock Exchange ranked by market capitalisation on 10 August 2012. These cover a sample period ranging from 1 January 1998 to 10 August 2012. The analysis presented in this paper does not factor in the influence of trading costs. Such costs may be significant when portfolios are closed and opened frequently. An additional caveat is that many strategies lead to a small average number of positions, which is problematic for institutional traders. DA - 2013 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2013 T1 - Short-term return reversion on the JSE TI - Short-term return reversion on the JSE UR - http://hdl.handle.net/11427/12331 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12331
dc.identifier.vancouvercitationGarisch J. Short-term return reversion on the JSE. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12331en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinance and Taxen_ZA
dc.titleShort-term return 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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