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Fourier transform based investment styles on the Johannesburg Stock Exchange
Dissertation (MBA)--University of Pretoria, 2013.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2014
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| _version_ | 1867613660696805376 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MBA)--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/39956 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:41.079Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/39956 Fourier transform based investment styles on the Johannesburg Stock Exchange Muller, Chris ichelp@gibs.co.za Webb, Arnold UCTD Economics Dissertation (MBA)--University of Pretoria, 2013. Share price periodicity and calendar effects have been well documented for stock exchanges. If these market anomalies are persistent and of sufficiently high amplitudes, the use of frequency analysis will allow investors to earn abnormal returns. This research study examined the use of the discrete Fourier transform combined with prior exponential growth and momentum periodicity as an investment style. A graphical time series approach was used to evaluate performance of the examined styles. The time series consisted of the JSE top 160 shares from December 1985 to October 2013. A momentum-Fourier transform investment style is identified that outperforms most if not all documented univariate ranked investment styles on the JSE for the analysed timeframe. Returns of 27.6% per annum are achieved. It is found that both examined momentum styles are enhanced by using the Fourier transform as a noise filter. Combining prior exponential growth rate and the Fourier transform failed to produce favourable results. mngibs2014 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2014-05-31T21:25:22Z 2014-05-31T21:25:22Z 2014-04-30 2013 Mini Dissertation Webb, A 2013, Fourier transform based investment styles on the Johannesburg Stock Exchange, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/39956> http://hdl.handle.net/2263/39956 en © 2014 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Economics Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title | Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title_full | Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title_fullStr | Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title_full_unstemmed | Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title_short | Fourier transform based investment styles on the Johannesburg Stock Exchange |
| title_sort | fourier transform based investment styles on the johannesburg stock exchange |
| topic | UCTD Economics |
| url | http://hdl.handle.net/2263/39956 |