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Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE
Bibliography: leaves 133-138.
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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School of Economics
2014
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| _version_ | 1867613180701704192 |
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| access_status_str | Open Access |
| author | Traverso, Andre Barzellai Amedeo |
| author2 | High, S H |
| author_browse | High, S H Traverso, Andre Barzellai Amedeo |
| author_facet | High, S H Traverso, Andre Barzellai Amedeo |
| author_sort | Traverso, Andre Barzellai Amedeo |
| collection | Thesis |
| description | Bibliography: leaves 133-138. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/7683 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:00.945Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/7683 Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE Traverso, Andre Barzellai Amedeo High, S H Economics Bibliography: leaves 133-138. 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. 2014-09-25T08:48:21Z 2014-09-25T08:48:21Z 2000 Master Thesis Masters MCom http://hdl.handle.net/11427/7683 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Traverso, Andre Barzellai Amedeo Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| thesis_degree_str | Master's |
| title | Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| title_full | Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| title_fullStr | Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| title_full_unstemmed | Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| title_short | Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE |
| title_sort | testing for the johannesburg stock exchange as an efficient market contrarian investment strategies and mean reversion on the jse |
| topic | Economics |
| url | http://hdl.handle.net/11427/7683 |
| work_keys_str_mv | AT traversoandrebarzellaiamedeo testingforthejohannesburgstockexchangeasanefficientmarketcontrarianinvestmentstrategiesandmeanreversiononthejse |