Evidence of return predictability on the Johannesburg Stock Exchange
We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on (a) the incidence and nature of linear and nonlinear serial dependence underlying the return generation process and (b) the consistency of return predictability between a stable and market cri...
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| Format: | Doctoral Thesis |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/11473 |