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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