n African Finance Journal - A multivariate analysis of factors affecting stock returns on the JSE
|Article Title||A multivariate analysis of factors affecting stock returns on the JSE|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||Artwell Chimanga and Danelle Kotze|
|Publication Date||Jan 2009|
|Pages||80 - 96|
|Keyword(s)||Arbitrage Pricing, Covariances, G12, Multi-factor models and Principal components|
This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors identified in bull and bear markets. Evidence supporting the use of multi-factor models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s two-factor model for the JSE.
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