Resumen
This study tests for underreaction and overreaction in the South African stock market by examining abnormal returns on the stocks included in the FTSE Group Johannesburg Stock Exchange Top 40 index following large price rises and drops. The results of our empirical investigation suggest that large price increases and declines are likely to be followed by positive market returns. In addition, for the post-2008 time period the risk of these stocks increases significantly for up to two years following the original event. Therefore, the results lend further support to the Uncertain Information Hypothesis.