- Title
- Analysis of calendar effects and market anomalies on the Johannesburg Stock Exchange
- Creator
- Atsin, Achiapo Jessica Lisette
- Subject
- Stock exchanges -- South Africa -- Johannesburg
- Subject
- Stocks -- South Africa
- Date Issued
- 2015
- Date
- 2015
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- vital:9028
- Identifier
- http://hdl.handle.net/10948/d1020372
- Description
- This study sought to empirically investigate the existence of calendar effects and market anomalies on the JSE using monthly and daily closing prices of the ALSI, Top 40, Mid Cap and Small Cap index; as well as, daily closing prices on the Value, Growth and Dividend Plus index during the sample period 2002 – 2013. The anomalies analysed are the January effect, the weekend effect, the size effect, the value effect, and the dividend yield effect. The empirical analysis uses a number of MSAR with a different number of regimes and lag orders. The results from the investigation of the January effect show the non-existence of the January effect and the value effect on the JSE during the periods 2002 – 2013 and 2004 – 2013, respectively. However, the weekend effect was found significant in the Mid Cap and the Small Cap index, and the size effect was also found significant during the same period 2002 - 2013. Finally the results from a Granger causality test concluded that there is a relationship between the returns on the Dividend Plus index and the ALSI, effectively proving the existence of the dividend yield effect on the JSE between 2006 and 2013. Additionally, the anomalies found imply the opportunity for investors to make returns above buy-and-hold.
- Format
- xiii, 116 leaves
- Format
- Publisher
- Nelson Mandela Metropolitan University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela Metropolitan University
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