Investigating momentum on the Johannesburg Stock Exchange

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dc.contributor.authorSnyman, Hendrik A.
dc.contributor.authorVon Leipzig, Konrad
dc.date.accessioned2012-08-11T02:40:51Z
dc.date.available2012-08-11T02:40:51Z
dc.date.issued2011-09
dc.descriptionThe original publication is available at http://www.isem.org.za/index.php/isem/isem2011en_ZA
dc.descriptionConference of the ISEM 2011 Proceedings, Stellenbosch, South Africa, 21 - 23 September 2011.en_ZA
dc.descriptionConference theme - Innovative Systems Thinking: Unravelling Complexity for Successful Solutionsen_ZA
dc.description.abstractThe 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.en_ZA
dc.description.sponsorshipThe Industrial, Systems and Engineering Management (ISEM) conference is a joint initiative between the Southern African Institute for Industrial Engineering (SAIIE), INCOSE (South Africa) and the Graduate School for Technology Management at the University of Pretoriaen_ZA
dc.identifier.citationSnyman, 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.en_ZA
dc.identifier.isbn978-0-620-50712-7
dc.identifier.urihttp://hdl.handle.net/10019.1/47799
dc.language.isoen_ZAen_ZA
dc.publisherIndustrial Engineering, Stellenbosch Universityen_ZA
dc.rights.holderAuthor retain copyrighten_ZA
dc.subjectJohannesburg Stock Exchangeen_ZA
dc.subjectStock Exchangeen_ZA
dc.subjectJSE All Share Indexen_ZA
dc.titleInvestigating momentum on the Johannesburg Stock Exchangeen_ZA
dc.typeProceedings Internationalen
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