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Showing 1 to 20 of 85 for “"Johannesburg Stock Exchange (JSE)"”.
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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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Residual momentum and investor sentiment on the Johannesburg Stock Exchange (JSE)
… momentum in order to document the effect on the JSE, to shed further light on the driving factors behind the phenomena, and to explore practical investment opportunities. Equally weighted conventional momentum and residual momentum portfolios were constructed from the largest 160 stocks on the …
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The impact of macroeconomic variables on the Johannesburg Stock Exchange (JSE) indices
… relationship between macroeconomic factors and stock market index levels for selected indices through a structural model which consists of a security valuation approach in the form of Dividend Discount Model(DDM) and an Engle and Granger cointegration model. The macroeconomic variables examined …
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The South African Volatility Index (SAVI) as a tool for market timing on the Johannesburg Stock Exchange (JSE)
… (SAVI) as a tool to time equity trades on the Johannesburg Stock Exchange (JSE), and uses technical analysis in the application of selected market timing trading strategies. This study therefore has very real practical relevance to investors on the JSE, who wish to take an active approach to …
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The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
… non-financial South African firms listed on the Johannesburg Stock Exchange. The study implemented the Merton (1974) model on the 59 largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial …
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Evidence of return predictability on the Johannesburg Stock Exchange
We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on (a) the incidence and nature of linear and nonlinear serial dependence underlying the return generation process and (b) the consistency of return predictability between a stable and market …
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Two approaches to modelling the volatility skew
… skew that is used to price options on the Johannesburg Stock Exchange (JSE) TOP40 index. The first approach involves using historical prices of the underlying index to obtain a model of the skew. Two models that use this approach, namely the Edgeworth and Normal Mixture AGARCH models were …
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Do CAPM anomaly variables provide real-time tradable opportunities on the JSE
… provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature (size, earnings yield and one-year lagged returns) fail to show any statistical evidence of predictability in realtime.
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An examination of the price reaction to the announcement of bond issues by Johannesburg Stock Exchange listed companies on the Bond Exchange of South Africa
… of straight debt announcements on the daily stock returns of Johannesburg Stock Exchange (JSE) listed companies, on The Bond Exchange of South Africa (BESA), during the period 2000 to 2008. The study is an event study that uses the market model to generate expected returns. The average …
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A comparative analysis of machine learning models for forecasting JSE Stock Returns
… learning models to predict the cross-section of Johannesburg Stock Exchange (JSE)- listed share returns. Four models are developed and compared using monthly data from 2005 to 2021: neural networks, random forest, long short- term memory (LSTM) networks, and conventional linear regression. The …
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution
… applied to individual shares obtained from the Johannesburg Stock Exchange (JSE). The Bayesian approach which uses Markov Chain Monte Carlo was used to estimate the unknown parameters in the model. The double Markov switching GARCH model was compared to a GARCH(1,1) model. Value at risk …
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Predicting the Bull Run: scientific evidence for turning points of markets
… 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 predictability of bull markets leads to superior returns for …
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Capital structure and determinants of capital structure, before, during and after the 2008 financial crisis: A South African study
… crisis on capital structure determinants of Johannesburg Stock Exchange (JSE) listed companies in South Africa. Data extracted from INET BFA Expert database was analyzed using regression models on the correlation between the leverage and company size, growth, profitability, tangibility, …
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A two-part study on the alternative exchange of South Africa (AltX) : a study on the underpricing of new equity issues listed on the alternative exchange of South Africa and the effects of specific use of disclosure on underpricing
… underpricing has occurred on the Alternative Exchange of South Africa, (AltX). The AltX was launched on 27 October 2003, as the junior exchange to the larger Johannesburg Stock Exchange (JSE). The study follows the methodology of a previous South African study, by Barlow and Sparks (1986), …
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Stock price reactions to dividend changes : evidence from the Johannesburg Stock Exchange
This research paper examines stock price reactions to the changes in cash dividend payments for mature companies listed on the Johannesburg Stock Exchange (JSE). Prior South African research studies have employed the Market Model and Mean-Adjusted Return Model of event study to estimate "normal …
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Corporate social investment and HIV/AIDS in South Africa
… by the top 100 listed companies on the Johannesburg Stock Exchange (JSE). The first part of the study reviews theories and literature relevant to defining the understanding and the impact of HIV/Aids on businesses, the idea of corporate social investment/responsibility and the business …
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An alternative model for multivariate stable distributions
… financial data based on evidence from the Johannesburg Stock Exchange (JSE). Secondly, the introduced technique adequately models bivariate return data far better than the Gaussian model. We argue that unlike the sub-Gaussian stable and the model involving a spectral measure this technique …
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Altman Z-Score Models and predicting financial distress: Empirical study of delisted mining stocks on the Johannesburg Stock Exchange
… of mining and metal companies listed on the Johannesburg Stock Exchange (JSE) from 1994 till 2021. The study applied the Altman's Z-score model as well as the Z double prime model to the financials of JSE listed mining companies to measure the predicted status of companies in a year, two …
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An Analysis of the Low-Volatility Anomaly on the Johannesburg Stock Exchange
… the unexpected outperformance of low-volatility stocks compared to high-volatility stocks over the long-term. This dissertation investigates the low-volatility anomaly and its presence on the Johannesburg Stock Exchange (JSE). Possible reasons behind why low-volatility stocks consistently …
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An investigation into the changes in price momentum after share ex-dividend dates
… using price data from shares comprising the Johannesburg Stock Exchange (JSE) Shareholder Weighted Top 40 Index on 30 June 2015. Share price momentum changes were considered over 10 business days, 21 business days and 90 business days before and after the ex-dividend date. The results of the …
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