Value-add in technical analysis on the JSE Bond Market

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dc.contributor.authorHaddad, Zavieren_ZA
dc.date.accessioned2018-01-22T12:43:17Z
dc.date.available2018-01-22T12:43:17Z
dc.date.issued2017en_ZA
dc.description.abstractTrading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets in South Africa, indicating there is less market efficiency within bond trading. Technical analysis relies on market inefficiencies to achieve an informational advantage and so there could be technical analysis based trading opportunities within bond trading. Bollinger Bands are one of the more prominent technical analysis methods. In this dissertation they are used in trading simulations to generate buy and sell signals in order to test if there is any value-add in their implementation. The dissertation attempts improve Bollinger Band based trading in two ways. The first involves attempts to more accurately estimate the underlying distribution of the time series, that is assumed to be normal in the standard methodology. It is shown that no additional benefit is derived from the alternative distribution estimation methods. Bollinger Bands make an assumption of stationarity on the time series on which they are implimented and so the second attempt at improved accuracy addresses this notion. Cointegration is used to generate linear combinations of bonds that are stationary, leading to more accurate application of the Bollinger Bands. The stationary combination of bonds produces positive results from the trading simulations, primarily within the combinations that are generated from a linear combination of less bonds and that posses larger variation. Not considering the liquidity assumtions, the positive results show that there is value-add within specific technical analysis based trading strategies.en_ZA
dc.identifier.apacitationHaddad, Z. (2017). <i>Value-add in technical analysis on the JSE Bond Market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/26864en_ZA
dc.identifier.chicagocitationHaddad, Zavier. <i>"Value-add in technical analysis on the JSE Bond Market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/26864en_ZA
dc.identifier.citationHaddad, Z. 2017. Value-add in technical analysis on the JSE Bond Market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Haddad, Zavier AB - Trading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets in South Africa, indicating there is less market efficiency within bond trading. Technical analysis relies on market inefficiencies to achieve an informational advantage and so there could be technical analysis based trading opportunities within bond trading. Bollinger Bands are one of the more prominent technical analysis methods. In this dissertation they are used in trading simulations to generate buy and sell signals in order to test if there is any value-add in their implementation. The dissertation attempts improve Bollinger Band based trading in two ways. The first involves attempts to more accurately estimate the underlying distribution of the time series, that is assumed to be normal in the standard methodology. It is shown that no additional benefit is derived from the alternative distribution estimation methods. Bollinger Bands make an assumption of stationarity on the time series on which they are implimented and so the second attempt at improved accuracy addresses this notion. Cointegration is used to generate linear combinations of bonds that are stationary, leading to more accurate application of the Bollinger Bands. The stationary combination of bonds produces positive results from the trading simulations, primarily within the combinations that are generated from a linear combination of less bonds and that posses larger variation. Not considering the liquidity assumtions, the positive results show that there is value-add within specific technical analysis based trading strategies. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Value-add in technical analysis on the JSE Bond Market TI - Value-add in technical analysis on the JSE Bond Market UR - http://hdl.handle.net/11427/26864 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/26864
dc.identifier.vancouvercitationHaddad Z. Value-add in technical analysis on the JSE Bond Market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/26864en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleValue-add in technical analysis on the JSE Bond Marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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