Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach

dc.contributor.advisorWard, Mike
dc.contributor.emailichelp@gibs.co.za
dc.contributor.postgraduateRich, Sean
dc.date.accessioned2018-08-17T09:42:45Z
dc.date.available2018-08-17T09:42:45Z
dc.date.created9/30/18
dc.date.issued2018
dc.descriptionMini Dissertation (MBA)--University of Pretoria, 2018.
dc.description.abstractCalendar effects, as a stylized facet inherent in financial markets, are important as financial markets globally exhibit seasonal effects with regards to abnormal market returns during certain periods. The existence of these seasonal anomalies is perceived to be in contravention of the notion that markets are inherently efficient, a metric by which an individual market is gauged against the global financial landscape in terms of its transparency and competitiveness. Research coverage on seasonal anomalies locally, is sparse dated, often employing methodologies which do not adequately cater to the time varying levels of volatility inherent in our markets. In this research, daily, monthly and sizeeffect anomalies are investigated whereby the prevalence of certain monthly calendar effects is shown to exist, by employing a Markov-switching regime switching methodology and allowing transitional probabilities to vary between regimes over time.
dc.description.availabilityUnrestricted
dc.description.degreeMBA
dc.description.departmentGordon Institute of Business Science (GIBS)
dc.identifier.citationRich, S 2018, Calendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/66237>
dc.identifier.urihttp://hdl.handle.net/2263/66237
dc.language.isoen
dc.publisherUniversity of Pretoria
dc.rights© 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.
dc.subjectUCTD
dc.titleCalendar Effects on the Johannesburg Stock Exchange : a Markov Switching Approach
dc.typeMini Dissertation

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Rich_Calendar_2018.pdf
Size:
2.07 MB
Format:
Adobe Portable Document Format