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A case study of arbitrage opportunities and efficiency of the JSE
Dissertation (MSc)--University of Pretoria, 2018.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2019
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| _version_ | 1867613518283407360 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2019 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 (MSc)--University of Pretoria, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/70475 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:25.198Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| 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:2263/70475 A case study of arbitrage opportunities and efficiency of the JSE Mare, Eben rapoeean@hotmail.com Rapoeea, Nthabiseng Joyce UCTD Dissertation (MSc)--University of Pretoria, 2018. This dissertation examines the market efficiency and arbitrage opportunities between 04 January 2000 and 31 December 2015 on selected JSE-listed stocks and equity indices. To assess market efficiency, four tests were performed namely: structural breaks, stationarity, independence and normality. Lastly, the Pairs trading strategy was implemented to examine arbitrage opportunities profitability, after considering trading costs. The results showed that most stocks and indices are in support of the Adaptive Market Hypothesis (AMH) theory. Arbitrage opportunities do appear and disappear over time, and the Pairs trading strategy performance varies with time but overall profitable. Mathematics and Applied Mathematics MSc Unrestricted 2019-07-08T09:46:32Z 2019-07-08T09:46:32Z 2019/04/09 2018 Dissertation Rapoeea, NJ 2018, A case study of arbitrage opportunities and efficiency of the JSE, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/70475> A2019 http://hdl.handle.net/2263/70475 en © 2019 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 A case study of arbitrage opportunities and efficiency of the JSE |
| title | A case study of arbitrage opportunities and efficiency of the JSE |
| title_full | A case study of arbitrage opportunities and efficiency of the JSE |
| title_fullStr | A case study of arbitrage opportunities and efficiency of the JSE |
| title_full_unstemmed | A case study of arbitrage opportunities and efficiency of the JSE |
| title_short | A case study of arbitrage opportunities and efficiency of the JSE |
| title_sort | case study of arbitrage opportunities and efficiency of the jse |
| topic | UCTD |
| url | http://hdl.handle.net/2263/70475 |