Market segmentation and factors affecting stock returns on the JSE.

Description

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<p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p>
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Links & Downloads

1. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_6143_1260529298

Tags

Market-Segmentation

Principal Components

Cluster Analysis

Multifactor

models

Co-variances

Abitrage Pricing Theory

Sector Indices

JSE.

Additional Fields

Identifer	oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uwc/oai:UWC_ETD:http%3A%2F%2Fetd.uwc.ac.za%2Findex.php%3Fmodule%3Detd%26action%3Dviewtitle%26id%3Dgen8Srv25Nme4_6143_1260529298
Date	January 2008
Creators	Chimanga, Artwell S.
Source Sets	South African National ETD Portal
Language	English
Detected Language	English
Type	Thesis and dissertation
Format	Pdf
Coverage	ZA
Rights	Copyright: University of the Western Cape