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    • Magister Commercii - MCom (Business and Finance)
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    • Magister Commercii - MCom (Business and Finance)
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    The adaptive markets hypothesis: Testing for variable efficiency and cyclical profitability in the South African market

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    botes_m_ems_2020.pdf (7.319Mb)
    Date
    2020
    Author
    Botes, Gearé
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    Abstract
    This research attempts to discover whether the Adaptive Market Hypothesis theory is applicable in the South African financial market and explores the innovation and cyclical profitability implications of the Adaptive Market Hypothesis theory. This is achieved in two parts: first by determining if returns follow a random walk or not and second by analysing the consistency of technical and fundamental factors to explain the cross-section of equity returns between 1 January 1998 to 31 December 2017. The tests of stock return dependency include a total of five tests on the average monthly returns for each stock in the ALSI covering normality and random walk theory for the duration of the two sub-periods and entire examination period.
    URI
    http://hdl.handle.net/11394/8027
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    • Magister Commercii - MCom (Business and Finance) [56]

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