- Title
- Weak form market efficiency of the Johannesburg Stock Exchange : pre during and post the 2008 global financial crisis
- Creator
- Futshane, Olwetu
- Subject
- Global Financial Crisis, 2008-2009 Efficient market theory Random walks (Mathematics)
- Date Issued
- 2016
- Date
- 2016
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- http://hdl.handle.net/10353/11895
- Identifier
- vital:39116
- Description
- The importance of the efficiency of the stock market cannot be underestimated, given that it brings together those who demand and supply development finance. It is against this background that this study focused on analysing the weak form efficiency of the Johannesburg Stock Exchange for the period 2005 to 2016. The study reviewed the theoretical and empirical literatures which have tried to examine the market efficiency of the Johannesburg stock exchange and whether the JSE follows that random walk. Based on the review of literature, several methodologies such as (unit root tests, autocorrelation test) were employed in the study obtaining robust results that the JSE price indices (All Share, Resources and Financials) follow the random walk process. To further confirm the findings in this research, the variance ratio test is conducted under heteroscedasticity and homoscedasticity it also strongly verified that the existence of a random walk process cannot be rejected in the JSE. The empirical results from all the various tests reveal that the null hypothesis of random walk cannot be rejected. These results thus suggest that the JSE is efficient in its weak form. This commends all the measures which have been carried out to ensure that the market is efficient.
- Format
- 77 leaves
- Format
- Publisher
- University of Fort Hare
- Publisher
- Faculty of Management and Commerce
- Language
- English
- Rights
- University of Fort Hare
- Hits: 983
- Visitors: 1009
- Downloads: 61
Collections
UFH Department of Economics
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | Weak form market efficiency of Johannesburg Stock Exchange Pre, During and Post 2008 global financial crisis by Olwethu Futshane 201110164 (1) (1).pdf | 1 MB | Adobe Acrobat PDF | View Details Download |