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    Potential gains from sector timing on the JSE

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    Carlie_MCom_EMS_2017.pdf (2.150Mb)
    Date
    2017
    Author
    Carlie, Mugammad Mujaheed
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    Abstract
    This study investigates the effectiveness of sector timing on the JSE by evaluating the likely outcomes from switching between the resource and financial-industrial indices using Monte Carlo simulations over the period from 31 January 2002 to 31 December 2016. A market timer is assumed to have varying forecasting accuracies when switching between the sector indices on the JSE. This study is motivated by the market segmentation phenomenon on the JSE (i.e. resources can be viewed as a separate market driven by different economic forces compared to other sectors); and argues that there exists "potential gains" for sector rotation strategies rather than a buy and hold strategy in the All Share Index (ALSI).
    URI
    http://hdl.handle.net/11394/6077
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    • Magister Commercii - MCom (Business and Finance)

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