Back to results
School of Management Studies
Evidence of return predictability on the Johannesburg Stock Exchange
Abstract
dc:description.abstractWe 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 crisis period.
Degree
thesis:*- Grantor dc:publisher.institution
- School of Management Studies
- Year dc:date.issued
- 2011
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Kruger, Ryan
- Advisors dc:contributor.advisor
-
- Toerien, Francois
- Macdonald, Iain
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/11473
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/11473