The market efficiency hypothesis and the behaviour of stock returns on th JSE securities exchange

Mabhunu, Mind (2004) The market efficiency hypothesis and the behaviour of stock returns on th JSE securities exchange. Masters thesis, Rhodes University.




While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.

Item Type:Thesis (Masters)
Additional Information:A thesis submitted in partial fulfilment of the requirements for the degree of Master of Commerce in financial markets
Uncontrolled Keywords:Johannesburg Stock Exchange, stocks prices, stock exchanges, South Africa
Subjects:Y Unknown > Subjects to be assigned
Divisions:Faculty > Faculty of Commerce > Economics and Economic History
Supervisors:Court, P.W. (Prof.) and Faure, Pierre (Prof.)
ID Code:70
Deposited By: Rhodes Library Archive Administrator
Deposited On:04 Aug 2006
Last Modified:06 Jan 2012 16:17
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