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Showing 1 to 16 of 16 for “"JSE All Share Index"”.
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Do macroeconomic variables explain future stock market movements in South Africa?
… predictive information for the future FTSE/JSE All Share Index. The data was examined from 1965 to 2010 which constitutes the longest study of its nature in South Africa. The macroeconomic variables were selected based on international and local precedent of intuitive influential …
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Predicting the Bull Run: scientific evidence for turning points of markets
… predictability in financial markets, specifically the South African financial market, proxied by the Johannesburg Stock Exchange (JSE) All Share Index (ALSI). It provides scientific evidence of past research of turning points in markets, focusing on bull markets as evidence suggests that …
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The dynamic effect of macroeconomic factors on housing prices: Evidence from South Africa
… debt to disposable income, unemployment rate, share prices (JSE ALL share index), foreign direct investment, and producer price index) over the 2000Q1-2019Q4 period. The study utilizes a vector error correction model (VECM) to estimate the short- and long-run causal relationships while …
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The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
… 20 years of data from both the S&P 500 and the JSE All Share index have been used. An extreme value approach has been taken to quantify the risks associated with extreme market events. To achieve this a two phased process is used to calculated the Value at Risk and Expected Shortfall. The first …
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Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)
… free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the …
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Better than average: An investigation of overconfidence in South Africa
… when presented with an anchor (the relevant JSE All Share Index return). 466 completed responses were obtained, of which 81 respondents indicated that they were invested directly in a South African equity unit trust to allow for statistical testing. The data obtained were analysed for …
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Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?
… rate hike of 100 basis points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively (negatively) to expansionary (contractionary) unexpected monetary policy actions due to revised market expectations about future dividends, …
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The relationship between corporate social responsibility and financial performance: evidence from the Johannesburg stock exchange
… Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Responsible Investment Index. The Johannesburg Stock Exchange (JSE) Socially Responsible Investment Index (SRI Index) was founded in 2004 and was replaced by the FTSE/JSE Responsible Investment Index in 2015. The index evaluates listed firms …
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An analysis of funding liquidity risk in the South African banking system
… South African (SA) banking sector also faces a challenge regarding the composition of the short-term deposits that fund these assets. The large and unstable wholesale funds dominate the funding side of local banks' balance sheets, particularly in the short-term bucket. The danger with wholesale …
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Separation of precious metal beta from a JSE multivariate model with macroeconomic variables
… model of the Johannesburg Stock Exchange (JSE) framed within the Arbitrage Pricing Theory (APT). The APT has been set up such that it can be able to separate the beta for the precious metal factor within the model. The process goes via the investigation of macrovariables (with precious …
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Performance determinants of foreign currency bonds issued by JSE-listed companies? An indexation approach
The number of Johannesburg Stock Exchange (JSE) listed companies that have issued foreign or hard currency denominated bonds has increased meaningfully since the global financial crisis in 2008. This broader hard currency opportunity set is primarily available to professional local investors but …
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A comparative study of recurrent neural networks and statistical techniques for forecasting the stock prices of JSE-listed securities
… and the historical stock prices with the market index (the JSE All Share Index) to determine whether including the market index improves forecasting accuracy. The study found that bidirectional neural networks provided more accurate forecasts than neural networks that did not incorporate …
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Performance of Socially Responsible Investment Funds in South Africa
… how the risk-adjusted performance of Socially Responsible Investment (“SRI”) funds are affected by key events in South Africa, namely, the introduction of King IV and the introduction of socially responsible indices in South Africa, events and their impact on socially responsible investing …
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Do money managers outperform their respective benchmark? Evidence from South African Unit Trust industry
… is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation in performance of the unit trusts after the crisis. Active …
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A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… and SVM (Support Vector Machines) (specifically machine learning algorithms). Machine learning in various forms is currently being explored as an alternative for forecasting the volatility of financial market returns. In this study this exploration is continued by considering a hybrid-based …
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Time diversification and holding periods on the Johannesburg Stock Exchange
… on the Johannesburg Stock Exchange (JSE), with the goal of providing investor guidance toward their optimal investment horizon on the JSE Focusing on the Random Walk and Mean Reversion Models, a variety of tests were employed to identify serial correlation within the JSE logarithmic …