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Maashele Kholofelo Metwane and Daniel Maposa
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-sha...
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Katleho Makatjane and Ntebogang Moroke
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alt...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Paul Snyman,Nico Smith
AbstractFinancial planners often manage volatility believing that it is the same as managing risk. The FTSE/JSE Top 40 Index (Topi) and the FTSE/JSE All Share Index (Alsi) were used as samples to investigate volatility and risk in equity investments. A t...
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Tafadzwa T. Chitenderu, Andrew Maredza, Kin Sibanda
In this paper, we test the Johannesburg Stock Exchange market for the existence of the random walk hypothesis using monthly time series of the All Share Index (ALSI) covering the period 2000 2011. Traditional methods, such as unit root tests and autocor...
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Ferdi Botha,Carl de Beer
AbstractThis study explores whether South African national sporting performance can influence investors in such a way that it has the ability to impact on market returns. Using standard event study methodology, this study determines the constant mean ret...
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B. K. Smith,J. D. Krige
AbstractThis study examines the impact of South Africa?s national soccer, rugby and cricket teams? performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to a...
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G. Oldham,J. A. Kroeger
AbstractFund managers in the South African unit trust industry have an objective of generating strong alpha returns, meaning average annual returns above the respective benchmark. This paper analyses the performance of twenty South African unit trusts, s...
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K. J. Carter,J. F. Affleck-Graves,A. H. Money
AbstractThe application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolio...
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