Share price anomalies and the efficiency of the JSE

ABSTRACTShare price anomalies of a magnitude larger than the direct transaction costs of switching from one share to another were detected in 56 out of 60 pairs of closely related shares. Non-isolated anomalies were detected for 49 of these pairs. The extent of these anomalies indicates inefficiency of the JSE.Three factors were identified that contribute significantly to the extent and magnitude of the anomalies. A discriminant function of these factors correctly classified nine out of ten pairs of shares for which no non-isolated anomalies were detected and 45 out of 47 pairs that had non-isolated anomalies.