Sectorial Herding: Evidence from the JSE
A research project submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment at Wits Business School, University of the Witwatersrand === This study investigates the existence of herd behaviour within the Johannesburg Stock Exchange (JSE) an...
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| Format: | Others |
| Language: | en |
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2019
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| Online Access: | https://hdl.handle.net/10539/26265 |
| Summary: | A research project submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment at Wits Business School, University of the Witwatersrand === This study investigates the existence of herd behaviour within the Johannesburg Stock Exchange (JSE) and three sectorial indices using monthly closing prices for all shares listed on the JSE for the period 31 January 2003 to 31 May 2016. No evidence of herding was found on either the JSE or in any of its sectors during the sample period. Furthermore, no evidence of herding was found during bull and bear markets within the sample period. === GR2019 |
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