We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on the consistency of return predictability between a stable and market crisis period. Ordinary Least Squares (OLS) univariate regressions of monthly share returns against fundamental firm characteristics provide evidence that all anomalies identified in the prior literature on return predictability on the JSE are significant during the stable period of the sample, suggesting consistency in these anomalies for a sustained period. These factors include growth in dividends and earnings, found to be inconsistent in prior literature. Over the market crisis period we find that only the cash flow-to-price variable remains a significant predictor of share returns, suggesting that firms with higher cash-flows are seen by the market to be better poised to outperform during periods of crisis. Statistically significant factors in either period are found to exhibit consistent payoffs during their respective periods of significance.
The study analyses whether there is long term comovement among the African daily stock market indices using bivariate and multivariate Johansen cointegration. Using the Vector Error Correction Model (VECM), we then examine the short run dynamics for the market portfolios where cointegration exists. We control for the 2007 - 2008 financial crisis. The results show that the African markets are generally segmented. The financial crisis seems to have strengthened the comovement among some of the markets. We outline the policy and investment implication of the findings.
This paper examines the Johannesburg Stock Exchange indices using the fractal analysis technique for estimating the Hurst exponent. Evidence supporting a fractal nature in the market was found, implying a long-term predictability property for the overall market index. Our results also appear to indicate a logical system of variation of the Hurst exponent by firm size, market characteristic and sector grouping. We also found that there is more long-term predictability in emerging markets compared to developed markets. Resources, Non-Cyclical Services and Financials show the lowest average Hurst exponent values.
The primary objective of this study was to examine the role played by the quality of infrastructure and firm heterogeneity on the amount and probability of being foreign invested using maximum likelihood techniques like the Probit and Tobit models. Results show that firm size and skilled labour have a positive and significant effect in attracting FDI, whilst firm age, unionisation and power outages have a negative and significant effect. The impacts of firm and location specific variables differ depending on whether we are looking at market seeking or export oriented FDI. This means that governments must create an environment conducive for firm growth and invest more into education, skills development and electricity infrastructure development if they want to attract significant inflows of FDI into the manufacturing sector.