Investigating momentum on the Johannesburg Stock Exchange
Date
2011-09
Authors
Snyman, Hendrik A.
Von Leipzig, Konrad
Journal Title
Journal ISSN
Volume Title
Publisher
Industrial Engineering, Stellenbosch University
Abstract
The paper examines if stock price momentum is a common trait amongst top performing
shares on the Johannesburg Stock Exchange and whether individual investors can harness
the relationship of momentum and return to create a profit.
The viability of the phenomenon as an investment strategy was gauged by comparing
annualised average returns of momentum shares, identified through both technical
analysis as well as price performance momentum measures, against the market
capitalisation weighted JSE All Share Index as well as against an un-weighted
representation of the market.
The results revealed a seemingly unmistakable co-dependence between momentum and
return, with statistically significant trends being ever present. Applying the maximum
taxes and trading costs revealed that the highest ranked momentum shares did indeed
outperform both market benchmarks from the period of January 1990 to August 2009,
suggesting the validity of the philosophy as an investment strategy.
Description
The original publication is available at http://www.isem.org.za/index.php/isem/isem2011
Conference of the ISEM 2011 Proceedings, Stellenbosch, South Africa, 21 - 23 September 2011.
Conference theme - Innovative Systems Thinking: Unravelling Complexity for Successful Solutions
Conference of the ISEM 2011 Proceedings, Stellenbosch, South Africa, 21 - 23 September 2011.
Conference theme - Innovative Systems Thinking: Unravelling Complexity for Successful Solutions
Keywords
Johannesburg Stock Exchange, Stock Exchange, JSE All Share Index
Citation
Snyman, H. A. & Von Leipzig, K. 2011. Investigating momentum on the Johannesburg Stock Exchange. Presented at the ISEM 2011 Proceedings, September 21-23, Stellenbosch University, Stellenbosch, South Africa.