Momentum trading on the Johannesburg Stock Exchange after the Global Financial Crisis
ارسال کننده : جناب آقای فردین عرب
سطح فعالیت : نویسنده
ایمیل : fardinarab55[@]gmail.com
تاریخ ارسال : ۲۳ آذر ۱۳۹۵
دفعات بازدید : 994
زبان نوشتاری : english
تعداد صفحه : 10
فرمت فایل : pdf
حجم فایل : KB 214
The aim of this paper is to discuss the presence of stock price momentum post the 2008 credit crisis and explore its implications
for market participants in South Africa. This study investigates whether momentum was evident on the JSE from 2009 to 2014.
Using different indicators of momentum, this paper simulates the possible investment choices using these indicators.
The empirical evidence: momentum in South Africa
Factors contributing to price momentum
Technical momentum indicators
Momentum in the ALSI Top 40
Financial market participants have spent much time on developing an understanding of market efficiency. For
market participants, the concept of market efficiency has significant implications for trading strategies. A financial
market is considered to be efficient when all available information is reflected immediately in security prices. This
implies that assets should be efficiently priced in such a way that investors cannot earn abnormal returns. Thus, trading
on available information should fail to produce superior profits in an efficient market (Dimson & Mussavian, 1998).
Fama (1965) further investigated this concept of market efficiency and noted that in some cases past security prices
contained information about their future paths. Past price behavior can thus be assumed to recur in future behavior
and result in price patterns.
An observable price pattern in the market may indicate the existence of price persistence or price momentum.
Black and Kaplan (1973) and Jegadeesh and Titman (1993), amongst others, found positive results of momentum in
the United States, while McInish et al., (2008) found varying results from studies in Pacific Basin countries. While
some studies find positive evidence of stock price momentum, it appears that this is not always the case for South
Africa, for which studies display little to no significant evidence.