Evidence of return predictability on the Johannesburg Stock Exchange

Doctoral Thesis

2011

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http://hdl.handle.net/11427/11473
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thesis_com_2011_kruger_r.pdf (1.75 MB)
Authors
Kruger, Ryan
Supervisors
Toerien, Francois
Macdonald, Iain
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University of Cape Town

Department
School of Management Studies
Faculty
Faculty of Commerce
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Abstract
We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on (a) the incidence and nature of linear and nonlinear serial dependence underlying the return generation process and (b) the consistency of return predictability between a stable and market crisis period.
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Management Studies

Reference:

Kruger, R. 2011. Evidence of return predictability on the Johannesburg Stock Exchange. University of Cape Town.

Collections
PhD / Doctoral