We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on (a) the incidence and nature of linear and nonlinear serial dependence underlying the return generation process and (b) the consistency of return predictability between a stable and market crisis period.
Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/11473 |
Date | January 2011 |
Creators | Kruger, Ryan |
Contributors | Toerien, Francois, Macdonald, Iain |
Publisher | University of Cape Town, Faculty of Commerce, School of Management Studies |
Source Sets | South African National ETD Portal |
Language | English |
Detected Language | English |
Type | Doctoral Thesis, Doctoral, PhD |
Format | application/pdf |
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