South African security market imperfections

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dc.contributor.advisor De Wet, T. Jooste, Dirk
dc.contributor.other University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. 2006-10-12T07:10:10Z en_ZA 2010-07-09T11:07:34Z 2006-10-12T07:10:10Z en_ZA 2010-07-09T11:07:34Z 2006-03
dc.description Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.
dc.description.abstract In recent times many theories have surfaced posing challenging threats to the Efficient Market Hypothesis. We are entering an exciting era of financial economics fueled by the urge to have a better understanding of the intricate workings of financial markets. Many studies are emerging that investigate the relationship between stock market predictability and efficiency. This paper studies the existence of calendar-based patterns in equity returns, price momentum and earnings momentum in the South African securities market. These phenomena are commonly referred to in the literature as security market imperfections, financial market puzzles and market anomalies. We provide evidence that suggests that they do exist in the South African context, which is consistent with findings in various international markets. A vast number of papers on the subject exist in the international arena. However, very few empirical studies on the South African market can be found in the public domain. We aim to contribute to the literature by investigating the South African case. en
dc.format.extent 433470 bytes en_ZA
dc.format.mimetype application/pdf en_ZA
dc.language.iso en
dc.publisher Stellenbosch : University of Stellenbosch
dc.subject Dissertations -- Statistics and actuarial science en
dc.subject Theses -- Statistics and actuarial science en
dc.subject Securities -- South Africa en
dc.subject Stock exchanges -- South Africa en
dc.subject Efficient market theory en
dc.subject Stocks -- Prices -- South Africa en
dc.title South African security market imperfections en
dc.type Thesis
dc.rights.holder University of Stellenbosch
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