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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 cri...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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School of Management Studies
2015
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| _version_ | 1867613244622897152 |
|---|---|
| access_status_str | Open Access |
| author | Kruger, Ryan |
| author2 | Toerien, Francois |
| author_browse | Kruger, Ryan Toerien, Francois |
| author_facet | Toerien, Francois Kruger, Ryan |
| author_sort | Kruger, Ryan |
| collection | Thesis |
| description | 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 crisis period. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11473 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:04.194Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Management Studies |
| publisherStr | School of Management Studies |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11473 Evidence of return predictability on the Johannesburg Stock Exchange Kruger, Ryan Toerien, Francois Macdonald, Iain Management Studies 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 crisis period. 2015-01-05T18:47:27Z 2015-01-05T18:47:27Z 2011 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/11473 eng application/pdf School of Management Studies Faculty of Commerce University of Cape Town |
| spellingShingle | Management Studies Kruger, Ryan Evidence of return predictability on the Johannesburg Stock Exchange |
| thesis_degree_str | Doctoral |
| title | Evidence of return predictability on the Johannesburg Stock Exchange |
| title_full | Evidence of return predictability on the Johannesburg Stock Exchange |
| title_fullStr | Evidence of return predictability on the Johannesburg Stock Exchange |
| title_full_unstemmed | Evidence of return predictability on the Johannesburg Stock Exchange |
| title_short | Evidence of return predictability on the Johannesburg Stock Exchange |
| title_sort | evidence of return predictability on the johannesburg stock exchange |
| topic | Management Studies |
| url | http://hdl.handle.net/11427/11473 |
| work_keys_str_mv | AT krugerryan evidenceofreturnpredictabilityonthejohannesburgstockexchange |