n African Finance Journal - The stability of South African stock returns
|Article Title||The stability of South African stock returns|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||Allan E. Clark and C.G. Troskie|
|Publication Date||Jan 2006|
|Pages||66 - 77|
This article investigates the stability of the covariance- and correlation-matrix of thirty three companies as well as the JSE All Share return index over the period January 1990 - December 2000. Extensive Chi-squared testing suggests that the covariance- and the correlation-matrix of South African stock returns are not stable over time.
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