Abstract:
This dissertation examines the market efficiency and arbitrage opportunities between 04 January
2000 and 31 December 2015 on selected JSE-listed stocks and equity indices. To assess market
efficiency, four tests were performed namely: structural breaks, stationarity, independence and
normality. Lastly, the Pairs trading strategy was implemented to examine arbitrage opportunities
profitability, after considering trading costs. The results showed that most stocks and indices are
in support of the Adaptive Market Hypothesis (AMH) theory. Arbitrage opportunities do appear
and disappear over time, and the Pairs trading strategy performance varies with time but overall
profitable.
