Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach
Mini Dissertation (MBA)--University of Pretoria, 2018.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2018
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613470061494272 |
|---|---|
| access_status_str | Open Access |
| author2 | Ward, Mike |
| author_browse | Ward, Mike |
| author_facet | Ward, Mike |
| 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, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/66237 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:39.169Z |
| 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:2263/66237 Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach Ward, Mike ichelp@gibs.co.za Rich, Sean UCTD Mini Dissertation (MBA)--University of Pretoria, 2018. Calendar effects, as a stylized facet inherent in financial markets, are important as financial markets globally exhibit seasonal effects with regards to abnormal market returns during certain periods. The existence of these seasonal anomalies is perceived to be in contravention of the notion that markets are inherently efficient, a metric by which an individual market is gauged against the global financial landscape in terms of its transparency and competitiveness. Research coverage on seasonal anomalies locally, is sparse dated, often employing methodologies which do not adequately cater to the time varying levels of volatility inherent in our markets. In this research, daily, monthly and sizeeffect anomalies are investigated whereby the prevalence of certain monthly calendar effects is shown to exist, by employing a Markov-switching regime switching methodology and allowing transitional probabilities to vary between regimes over time. Gordon Institute of Business Science (GIBS) MBA Unrestricted 2018-08-17T09:42:45Z 2018-08-17T09:42:45Z 9/30/18 2018 Mini Dissertation Rich, S 2018, Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/66237> http://hdl.handle.net/2263/66237 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 Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title | Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title_full | Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title_fullStr | Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title_full_unstemmed | Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title_short | Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach |
| title_sort | calendar effects on the johannesburg stock exchange a markov switching approach |
| topic | UCTD |
| url | http://hdl.handle.net/2263/66237 |