South African security market imperfections

dc.contributor.advisorDe Wet, T.
dc.contributor.authorJooste, Dirk
dc.contributor.otherUniversity of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
dc.descriptionThesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006.
dc.description.abstractIn 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.extent433470 bytesen_ZA
dc.publisherStellenbosch : University of Stellenbosch
dc.subjectDissertations -- Statistics and actuarial scienceen
dc.subjectTheses -- Statistics and actuarial scienceen
dc.subjectSecurities -- South Africaen
dc.subjectStock exchanges -- South Africaen
dc.subjectEfficient market theoryen
dc.subjectStocks -- Prices -- South Africaen
dc.titleSouth African security market imperfectionsen
dc.rights.holderUniversity of Stellenbosch

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