Extreme returns and corresponding events for JSE indices
Date
2012-12-04
Authors
Wright, Sarah Nicole
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Abstract
This research investigated the identification of short-term extreme returns on the
Johannesburg Stock Exchange (JSE) and their corresponding events. The
identification of the short-term extreme returns was accomplished through the
method of uniform reduction, allowing the dates of the extreme returns to be
detected through a probabilistic analysis. A qualitative content analysis was
performed, utilising two major South African newspapers, to establish what events
could have caused the extreme returns. The analysis was performed for four
major indices over a 10-11 year period. The research showed that the JSE was
affected by both local and international events. Major events such as the
September 11 Terrorist Attacks, the Global Financial Crisis and the South African
Power Crisis were identified as well as local events relating to interest rates, the
release of economic data, monetary policy, and specific domestic political events.
The context or environment in which an event occurs was found to be significant
in determining the market reaction. The methodology utilised proved to be both
effective and robust, but due to its exploratory and pioneering nature, still needs
some refinement.
Description
MBA thesis - WBS
Keywords
Extreme returns on Stock Markets, Investment, Johannesburg Securities Exchange