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Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2018
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| _version_ | 1867613539511828480 |
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| access_status_str | Open Access |
| author2 | Herbst, Wynand |
| author_browse | Herbst, Wynand |
| author_facet | Herbst, Wynand |
| collection | Thesis |
| dc_rights_str_mv | © 2018 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 | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/64870 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:45.339Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| 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:2263/64870 Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange Herbst, Wynand ichelp@gibs.co.za Mabuza, Eddy UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. The choice of a liquidity measure drives the performance of a liquidity-based investment style (Moreira De Sousa, 2015). Various measures of liquidity exist, however, not all measures are applicable in every market. Through an empirical analysis of the various measures of liquidity, the best measure of liquidity in a market can be identified. The purpose of this study was to determine if liquidity based investment style, using the appropriate liquidity measure, produced profitable returns on the Johannesburg Stock Exchange (JSE) that consistently outperformed returns of the All Share index (J203T). This research project tested, six measures of liquidity; namely, Amihud (ILLIQ), Adjusted Amihud (AdjILLIQ), Relative Change in Volume (RCV), Bid-Ask Spread, Price Reversal and Turnover. A new measure of liquidly, Localized Turnover is proposed and has been tested as the seventh measure. Muller & Ward (2013) graphical time series methodology and improved data set in the style engine was used for the analysis over a period of 20 years from 1997 to 2017. Relative Change in Volume (RCV) and Localized Turnover are the only measures that produce profitable returns on the JSE. The study provided insight to which liquidity measures are applicable and profitable on the JSE and that not all liquidity measures are applicable to every market. nk2018 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-05-11T09:02:45Z 2018-05-11T09:02:45Z 30-03-18 2017 Mini Dissertation Mabuza, E 2017, Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/64870> http://hdl.handle.net/2263/64870 en © 2018 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 Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title | Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title_full | Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title_fullStr | Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title_full_unstemmed | Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title_short | Illiquidity premium in asset returns : an empirical analysis of various liquidity measures to determine the best measure of liquidity on the Johannesburg Stock Exchange |
| title_sort | illiquidity premium in asset returns an empirical analysis of various liquidity measures to determine the best measure of liquidity on the johannesburg stock exchange |
| topic | UCTD |
| url | http://hdl.handle.net/2263/64870 |