Document Type Master's Dissertation Author Terblanche, R C URN etd-03172010-124541 Document Title Market timing on the Johannesburg Stock Exchange using exchange rates fluctuations Degree MBA Department Gordon Institute of Business Science Supervisor
Advisor Name Title Prof M Ward Supervisor Keywords
- stock exchanges
Date 2009-04-01 Availability unrestricted Abstract
Market timing on the Johannesburg Stock Exchange has been the subject of numerous researches in South Africa, using different market conditions. This research aims to explore the effectiveness of a strategy of market-timing against a buy and hold strategy, at a reasonable level of market timing ability
Seven equally weighted share portfolios were created from 56 different companies listed on the Johannesburg Stock Exchange. These companiesí share movements have a positive or negative correlation to the exchange rate movements. From the seven portfolios, three equally weighted group portfolios were created; one portfolio was containing shares with a positive exposure to exchange rate changes and a second portfolio was containing shares with a negative exposure.
The research is exploratory in nature and observed that, the levels of predictive ability reported for Proposition 2 is generally higher than the findings presented in Proposition 1. This is ascribed to the higher index used to determine the various levels of return. The levels of predictive ability are consistent with results of other market timing studies, using different market conditions.
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Please cite as follows:
Terblanche, RC 2009, Market timing on the Johannesburg Stock Exchange using exchange rates fluctuations, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-03172010-124541/ >
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