Pub Date : 1995-12-01DOI: 10.1080/10293523.1995.11082345
E. Smit, C. D. Plessis
The relationships between business cycle peaks and troughs and turning points in two value indices based on the JSE All Share Index and Industrial Index are examined. It is shown that ex post and ex ante estimates of cyclical peaks and troughs based on share value indices lead the business cycle in an inconsistent way. However, timing strategies, based on forecasting the business cycle and switching between equities and treasury bills or equities and bonds around cyclical turning points have produced better than average returns.
{"title":"Market timing and share returns","authors":"E. Smit, C. D. Plessis","doi":"10.1080/10293523.1995.11082345","DOIUrl":"https://doi.org/10.1080/10293523.1995.11082345","url":null,"abstract":"The relationships between business cycle peaks and troughs and turning points in two value indices based on the JSE All Share Index and Industrial Index are examined. It is shown that ex post and ex ante estimates of cyclical peaks and troughs based on share value indices lead the business cycle in an inconsistent way. However, timing strategies, based on forecasting the business cycle and switching between equities and treasury bills or equities and bonds around cyclical turning points have produced better than average returns.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128244194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1995-06-01DOI: 10.1080/10293523.1995.11082352
N. Bhana
{"title":"The reaction of bank share prices on the Johannesburg Stock Exchange to increased capital requirements","authors":"N. Bhana","doi":"10.1080/10293523.1995.11082352","DOIUrl":"https://doi.org/10.1080/10293523.1995.11082352","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130714496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1995-06-01DOI: 10.1080/10293523.1995.11082354
S. High, A. M. Honikman
{"title":"The efficiency of the South African Capital Market","authors":"S. High, A. M. Honikman","doi":"10.1080/10293523.1995.11082354","DOIUrl":"https://doi.org/10.1080/10293523.1995.11082354","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134589765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1995-06-01DOI: 10.1080/10293523.1995.11082355
N. Bhana
{"title":"The share market reaction to earnings announcements—a test of the efficiency of the Johannesburg Stock Exchange","authors":"N. Bhana","doi":"10.1080/10293523.1995.11082355","DOIUrl":"https://doi.org/10.1080/10293523.1995.11082355","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134312422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1995-06-01DOI: 10.1080/10293523.1995.11082351
J. A. Rogers
{"title":"The IASSA and its financial environment","authors":"J. A. Rogers","doi":"10.1080/10293523.1995.11082351","DOIUrl":"https://doi.org/10.1080/10293523.1995.11082351","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"12 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1995-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128773543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-12-01DOI: 10.1080/10293523.1994.11082333
E. Smit, W. V. Rooyen
ABSTRACTThis article investigates the relationships between real economic activity and share returns. A turning point analysis shows that returns consistently lead the business cycle, although with leads that substantially vary between turning points. Upswings appear to be easier to forecast than downswings, using share value indices. Causality tests show very little evidence of causality between returns and production growth. Also on the level of seasonal patterns in production growth and share returns, there is little evidence that the stock exchange leads real activity.
{"title":"Aandeleopbrengste en Reële Ekonomiese Aktiwiteit—Die Suid-Afrikaanse Ondervinding","authors":"E. Smit, W. V. Rooyen","doi":"10.1080/10293523.1994.11082333","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082333","url":null,"abstract":"ABSTRACTThis article investigates the relationships between real economic activity and share returns. A turning point analysis shows that returns consistently lead the business cycle, although with leads that substantially vary between turning points. Upswings appear to be easier to forecast than downswings, using share value indices. Causality tests show very little evidence of causality between returns and production growth. Also on the level of seasonal patterns in production growth and share returns, there is little evidence that the stock exchange leads real activity.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127511616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-12-01DOI: 10.1080/10293523.1994.11082330
Adriaan C. Ryder, H. McLeod
{"title":"Measuring the impact of futures and options on investment portfolios: a South African perspective","authors":"Adriaan C. Ryder, H. McLeod","doi":"10.1080/10293523.1994.11082330","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082330","url":null,"abstract":"","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128168135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1994-12-01DOI: 10.1080/10293523.1994.11082332
N. Bhana
ABSTRACTThis investigation evaluates the impact of the public holiday effect on the share returns of companies listed on the JSE during the period 1975–1990. On the trading day prior to holidays shares advance with disproportionate frequency and show mean returns averaging five times the mean returns for the remaining days of the year. Over one-fifth of the total return accruing to the market portfolio over the 1975–1990 period was earned on the nine trading days which fall each year before holiday market closings. The empirical evidence suggests that the pre-holiday return may, in part, be due to the simultaneous movements from “bid” to the “ask” price. The holiday effect appears to be related to the human tendency to bid up share prices prior to market closings for weekends and holidays.
{"title":"Public holiday share price behaviour on the Johannesburg Stock Exchange","authors":"N. Bhana","doi":"10.1080/10293523.1994.11082332","DOIUrl":"https://doi.org/10.1080/10293523.1994.11082332","url":null,"abstract":"ABSTRACTThis investigation evaluates the impact of the public holiday effect on the share returns of companies listed on the JSE during the period 1975–1990. On the trading day prior to holidays shares advance with disproportionate frequency and show mean returns averaging five times the mean returns for the remaining days of the year. Over one-fifth of the total return accruing to the market portfolio over the 1975–1990 period was earned on the nine trading days which fall each year before holiday market closings. The empirical evidence suggests that the pre-holiday return may, in part, be due to the simultaneous movements from “bid” to the “ask” price. The holiday effect appears to be related to the human tendency to bid up share prices prior to market closings for weekends and holidays.","PeriodicalId":126195,"journal":{"name":"The Investment Analysts Journal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122232963","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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