Title page for ETD etd-03122010-164817

Document Type Master's Dissertation
Author Marais, Carl
URN etd-03122010-164817
Document Title An evaluation of the South African equity marketís progress towards developed market behaviour
Degree MBA
Department Gordon Institute of Business Science
Advisor Name Title
Mr M Mackenzie Supervisor
  • stock exchanges
Date 2010-03-12
Availability unrestricted

Over the period from January 1997 to December 2007 the South African equity market has been the target of a number of reforms initiated by both the Johannesburg Securities Exchange (JSE) and the South African government. From a review of current emerging markets and financial liberalisation literature, we identify the market attributes that differ between emerging and developed equity markets or that are changed significantly by the financial liberalisation process. The attributes are: ∑ Correlation with major world equity markets ∑ Distribution of returns ∑ Market efficiency ∑ Share price volatility ∑ Stock price synchronicity ∑ Implicit transaction costs

Using the FTSE/JSE Top 40 Index as the basis, we conducted a longitudinal study contrasting the values of these attributes for the period 1997 to 1998 with those for the period 2006 to 2007. We then used these results to assess whether the South African equity market has become more like a developed equity market in its behaviour.

We find that the South African equity market has made statistically significant progress towards developed market behaviour for all attributes apart from stock price synchronicity. We ascribe the higher level of stock price synchronicity to an increase in the number of resource and industrial shares included in the FTSE/JSE Top 40 Index.

Overall we conclude that the South African equity market has become significantly more like a developed market in its behaviour.

Copyright © 2008, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.

Please cite as follows:

Marais, C 2008, An evaluation of the South African equity marketís progress towards developed market behaviour, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03122010-164817/ >

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