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Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613197759938560 |
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| access_status_str | Open Access |
| author | Mangani, Ronald Dadi |
| author2 | Abraham, Haim |
| author_browse | Abraham, Haim Mangani, Ronald Dadi |
| author_facet | Abraham, Haim Mangani, Ronald Dadi |
| author_sort | Mangani, Ronald Dadi |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5743 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:18.917Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/5743 Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa Mangani, Ronald Dadi Abraham, Haim Economics Includes bibliographical references. Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that security prices follow a normal strong random walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information. 2014-07-31T12:24:41Z 2014-07-31T12:24:41Z 2004 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/5743 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Mangani, Ronald Dadi Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| thesis_degree_str | Doctoral |
| title | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| title_full | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| title_fullStr | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| title_full_unstemmed | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| title_short | Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa |
| title_sort | non linear dynamics and stock return predictability on the jse securities exchange of south africa |
| topic | Economics |
| url | http://hdl.handle.net/11427/5743 |
| work_keys_str_mv | AT manganironalddadi nonlineardynamicsandstockreturnpredictabilityonthejsesecuritiesexchangeofsouthafrica |