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Momentum trading strategy on the Johannesburg Stock Exchange
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2014
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| _version_ | 1867613197779861505 |
|---|---|
| access_status_str | Open Access |
| author | Eloff, F N |
| author2 | Van Rensburg, Paul |
| author_browse | Eloff, F N Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Eloff, F N |
| author_sort | Eloff, F N |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8557 |
| 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 | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8557 Momentum trading strategy on the Johannesburg Stock Exchange Eloff, F N Van Rensburg, Paul Investment Management Includes bibliographical references. This research report documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price corrections in order to generate market-beating returns. An efficient market should render any consistent abnormal returns unattainable. Hence any technical analysis allowing an investor to obtain such returns would indicate a degree of market inefficiency. Three signal generation strategies are employed to test for momentum and price corrections in the market, namely using a stock's price and moving average, ranking stocks based on prior returns, and allocating stocks as overbought and oversold. The strategies are employed on data comprising the top 60 stocks on the JSE as at August 2012. The period tested runs from January 1998 to August 2012. Signal generation by means of price and moving average encompasses trade signals being generated by a stock's price moving above or below a variable moving average. Returns to this strategy tend to be maximized when employing a short-term (20-day) moving average, with an annualised above market return of 14,9 achievable. Using the returns of a stock in an immediately preceding formation period as a ranking criterion to classify stocks into a portfolio is found to be a superior method to generate trading signals. A portfolio of the best performing stocks in a preceding period ("the winner portfolio") is found to be able to outperform the market. Given a minimum formation period of 50 days, price continuation is achieved after holding the portfolio for at least 30 days, with annualized market excess returns greater than 10 achieved at longer formation and holding periods. A portfolio of the worst performing stocks in the same period ("the loser portfolio") is able to outperform the winner portfolio, and is capable of achieving returns of 20 in excess of the market, given a formation period as low as 10 days, while closing the investment position after no more than 10 days. 2014-10-17T10:12:45Z 2014-10-17T10:12:45Z 2014 Master Thesis Masters MCom http://hdl.handle.net/11427/8557 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Investment Management Eloff, F N Momentum trading strategy on the Johannesburg Stock Exchange |
| thesis_degree_str | Master's |
| title | Momentum trading strategy on the Johannesburg Stock Exchange |
| title_full | Momentum trading strategy on the Johannesburg Stock Exchange |
| title_fullStr | Momentum trading strategy on the Johannesburg Stock Exchange |
| title_full_unstemmed | Momentum trading strategy on the Johannesburg Stock Exchange |
| title_short | Momentum trading strategy on the Johannesburg Stock Exchange |
| title_sort | momentum trading strategy on the johannesburg stock exchange |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/8557 |
| work_keys_str_mv | AT elofffn momentumtradingstrategyonthejohannesburgstockexchange |