A case study of arbitrage opportunities and efficiency of the JSE

dc.contributor.advisorMare, Eben
dc.contributor.emailrapoeean@hotmail.com
dc.contributor.postgraduateRapoeea, Nthabiseng Joyce
dc.date.accessioned2019-07-08T09:46:32Z
dc.date.available2019-07-08T09:46:32Z
dc.date.created2019/04/09
dc.date.issued2018
dc.descriptionDissertation (MSc)--University of Pretoria, 2018.
dc.description.abstractThis 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.
dc.description.availabilityUnrestricted
dc.description.degreeMSc
dc.description.departmentMathematics and Applied Mathematics
dc.identifier.citationRapoeea, NJ 2018, A case study of arbitrage opportunities and efficiency of the JSE, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/70475>
dc.identifier.otherA2019
dc.identifier.urihttp://hdl.handle.net/2263/70475
dc.language.isoen
dc.publisherUniversity of Pretoria
dc.rights© 2019 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.titleA case study of arbitrage opportunities and efficiency of the JSE
dc.typeDissertation

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