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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Capitalisation and weak-form efficiency in the JSE securities exchange
Authors:Jefferis, KeithISNI
Smith, GrahamISNI
Year:2004
Periodical:South African Journal of Economics
Volume:72
Issue:4
Pages:684-707
Language:English
Geographic term:South Africa
Subject:financial market
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2004.tb00130.x/pdf
Abstract:This paper applies two relatively new methodologies to analyse the efficiency of the JSE (Johannesburg Stock Exchange) Securities Exchange, by far the largest stock market in Africa. In particular, it uses multiple variance ratio (MVR) tests of the random walk hypothesis and a test of evolving efficiency (TEE). The latter test is of particular interest in emerging markets, such as the JSE, as it enables an assessment of changes in market efficiency over time, and hence an assessment of whether an emerging market is 'developing'. The paper focuses on the JSE and the size of stocks. Rather than using broadly-based indices representative of the market as a whole, it uses seven sub indices and samples of the prices of large and small-capitalization stocks to address the question of whether large capitalization stocks are more likely to be weak-form efficient than small capitalization stocks. The seven stock price indices used are the Datastream Market Index, the JSE Industrial, Gold, All Share 40, Industrial 25, Mid Cap and Small Cap indices. The data are from the period between January 1993 and March 2001. Bibliogr., notes, ref. [ASC Leiden abstract]
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