Market timing on the Johannesburg Stock Exchange using exchange rates fluctuations

dc.contributor.advisorWard, Mike
dc.contributor.emailupetd@up.ac.zaen
dc.contributor.postgraduateTerblanche, R.C.en
dc.date.accessioned2013-09-06T14:52:41Z
dc.date.available2010-06-08en
dc.date.available2013-09-06T14:52:41Z
dc.date.created2009-04-01en
dc.date.issued2010-06-08en
dc.date.submitted2010-03-17en
dc.descriptionDissertation (MBA)--University of Pretoria, 2010.en
dc.description.abstractMarket timing on the Johannesburg Stock Exchange has been the subject of numerous researches in South Africa, using different market conditions. This research aims to explore the effectiveness of a strategy of market-timing against a buy and hold strategy, at a reasonable level of market timing ability Seven equally weighted share portfolios were created from 56 different companies listed on the Johannesburg Stock Exchange. These companies’ share movements have a positive or negative correlation to the exchange rate movements. From the seven portfolios, three equally weighted group portfolios were created; one portfolio was containing shares with a positive exposure to exchange rate changes and a second portfolio was containing shares with a negative exposure. The research is exploratory in nature and observed that, the levels of predictive ability reported for Proposition 2 is generally higher than the findings presented in Proposition 1. This is ascribed to the higher index used to determine the various levels of return. The levels of predictive ability are consistent with results of other market timing studies, using different market conditions.en
dc.description.availabilityunrestricteden
dc.description.departmentGordon Institute of Business Science (GIBS)en
dc.identifier.citationTerblanche, RC 2009, Market timing on the Johannesburg Stock Exchange using exchange rates fluctuations, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/23293 >en
dc.identifier.otherG10/103/agen
dc.identifier.upetdurlhttp://upetd.up.ac.za/thesis/available/etd-03172010-124541/en
dc.identifier.urihttp://hdl.handle.net/2263/23293
dc.language.isoen
dc.publisherUniversity of Pretoriaen_ZA
dc.rights© 2008, 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 Pretoriaen
dc.subjectUCTDen_US
dc.subjectStock exchangesen
dc.titleMarket timing on the Johannesburg Stock Exchange using exchange rates fluctuationsen
dc.typeDissertationen

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