Predicting the Bull Run: scientific evidence for turning points of markets

This study investigates 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 predictability of bull markets leads to superior returns for an asset manager. In addition, this study provides an analysis of macroeconomic variables that can be used for predictability in the South Africa financial market. We found that certain macroeconomic variables do contain an element of predictability with the yield spread and short term interest rates being the best indicators. In addition we found that predicting the Bull Run in its earliest phase provides superior returns to an asset manager.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2013

Author dc:creator

• Davies, Jerome Edward

Advisors dc:contributor.advisor

• Gstraunthaler, Thomas
• Kruger, Ryan

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10323

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10323