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n African Finance Journal - The stability of South African stock returns

Volume 8, Issue 2
  • ISSN : 1605-9786
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Abstract

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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/content/finj/8/2/EJC33825
2006-01-01
2016-12-10

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