The progression of the Johanesburg stock market efficiency can be traced from way back in time. A study conducted in 2012 which was the first in South Africa to test directly for the day-of-the-week effect on skewness and kurtosis. This study of empirical results showed no evidence of the day-of-the-week effect on skewness and kurtosis for eight of the nine JSE stock market sectors. However, Chipeta, C., & Mbululu, D detected a Monday effect for the basic materials sector only and found the JSE to be weak-form efficient from 1995 to 2011. In Ferreira, P., & Van M. C. M (2014) the black economic empowerment (BEE) score which consisted of 7 elements, including ownership, employment equity and skills development. Its aim was to establish if a relationship existed between the entity’s elements and its share returns in the short run. This was based on previous literature and it appears that the market reacted positively to an introduction of a black economic empowerment deal. The study used a multivariate regression analysis that controlled for factors impacting returns of shares. They included the black economic empowerment element data as obtained from the survey of the top empowerment companies carried out by financial mail from year 2005 to year 2011.Results showed that a great positive relationship existed between the way the black economic empowerment elements score was managed and the entity’s share returns. Their research contributed to the literature on black economic empowerment in the commerce in SA and complements the understanding and effect of black economic empowerment compliance by the introduction of the generic scorecard as it’s a requirement of the 2007 codes of good practice. The result found can be useful to a lot of stakeholders in the equity market. BEE aims to re address the economic imbalances of the past and redistribute resources evenly between different races, the imbalance occurred as result of apartheid which is mentioned earlier on in the literature review
In December 01, 2015 La, G. P. L., ; Krige, J. D which evaluated the profitability of practicality of momentum strategies on the JSE over a timeframe of January 1998 to around midyear of 2013 and compared the risk-adjusted return that ALSI40 could achieve. The study found that, even after they adjusted for risk and included transaction costs, momentum strategies still provided abnormal annualised returns more than up to 8.7% of that it was benchmarked against. The effect of the portfolio start date was also evaluated, although there was little evidence of calendar year effect, strategies of momentum continued providing robust returns. By implementing a fixed stop-loss arrangement they then attempted to improve the return of momentum strategies, without a meaningful improvement in returns. Lastly, the strategies of momentum are combined with other financial ratios and resulted in improved annualised risk-adjusted returns of up to 14.1% more than its benchmark.
Grater, E., ; Struweg, J. (July 01, 2015) built on the work on efficiency of developing markets while focusing attention specifically on the Johannesburg stock exchange. The empirical work on the efficiency of the JSE was mixed; evidence both for and against weak form efficiency was apparent. When markets are efficient then new information influences market prices as soon as possible; prices of stock follow a random walk and investors are not able to earn abnormal returns continuously. In the study, the Augmented Dickey-Fuller as well as the Phillips-Perron tests were employed to determine whether the Johannesburg stock exchange followed a random walk between 1999 and 2014. With (H0) being the null hypothesis for both tests it was found that the series of logarithmic returns had a unit root and therefore being weak form efficient. H0 was rejected in both the test, which proved that for the period that was analysed, the Johannesburg stock exchange wasn’t weak form efficient. Influence of factors like market size and liquidity on efficiency was also referred to in this journal
In the mid-1980s there was a suggestion that liquidity could be a factor influencing returns of stock. However, in the SA equity market, studies discovered that these liquidity effects were still limited. Theart, L., & Krige, N. (September 01, 2014), in contrary to most US based studies, found that liquidity wasn’t a big risk factor affecting broad returns of markets. They found that the effect was greater in small- and low-liquidity portfolios only. Theart, L., ; Krige, N. found that including liquidity as a factor improved the Fama-French three-factor model in capturing shared variation in stock returns. Lastly, incorporation of a liquidity style into two passive portfolio strategies yielded weak evidence of enhanced risk-adjusted performance.
Thomas, V., ; Gossel, Sean J. (2017) This paper aims to test the efficiency, more specifically semi-strong form efficiency, of the Johannesburg Stock Exchange (JSE) by conducting a portfolio study. Unlike event studies, which aim to assess whether abnormal returns can be attained by employing investment strategies that target specific events, the portfolio study aims to understand whether specific firm characteristics or strategies can be utilised to create portfolios of shares that generate abnormal returns relative to the market. Market efficiency in the semi-strong form assumes that all public information is synthesised and processed efficiently, and as a result, it will not be possible to obtain abnormal returns by pursuing investment strategies that make use of publicly available information. Four common firm specific characteristics namely: the price to book value (P/BV) ratio; the price to earnings (P/E) ratio; the market capitalisation; and the share price momentum were used as the defining strategies with which portfolios were created. In addition to this, random portfolios were also created in line with random walk theory. Jensen’s alpha was computed to determine whether abnormal returns were possible between 2000 and 2016, and the relative portfolio performance was determined using the Sharpe and Treynor ratios. The results demonstrate that an investment strategy consisting of shares with high price momentum outperformed the market during the time by generating significant abnormal returns. In addition to this, it was found that portfolios consisting of shares with the largest market capitalisation were able to generate significant abnormal returns over the entire period and outperform the market. These results provide evidence that firm specific characteristics as well as past share prices can be used to predict future returns and generate abnormal returns, thus providing evidence against semi-strong and weak form efficiency of the JSE

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