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dc.contributor.advisorSmit, E. vd M
dc.contributor.authorCilliers, Frans Pieter
dc.date.accessioned2021-02-09T09:07:30Z
dc.date.available2021-02-09T09:07:30Z
dc.date.issued1991
dc.identifier.urihttp://hdl.handle.net/11394/7781
dc.descriptionMasters of Scienceen_US
dc.description.abstractIn 1976 Rozeff and Kinney found that seasonality exists in the monthly rates of return on the New York Stock Exchange with peak periods in January. By making use of this information and the fact that the rates of return lag real activity by one month, Chang en Pinegar (1986) indicated that rates of return unidirectionally predict future growth rates in industrial production for large companies. They also found that the seasonal growth rates in industrial production partially reflect the January seasonals in the rates of return for small companies. This is inconsistent with the efficient market hypothesis. Altough numerous studies in South Africa have been conducted on the efficiency of the Johannesburg Stock Exchange, no one has departed from the viewpoint of seasonality. The aim of this study is to investigate the efficiency of the Johannesburg stock Exchange with respect to seasonality in industrial production. It will be shown that there is no relationship between rates of return and real activity in the majority of sectors. The clothing sector is inefficient in the sense that real activity unidirectionally predicts rates of return three months in advance. At a six months lag period there are strong relationships, in both ways, between rates of return and real activity for this sector, that also implies inefficiency. Lastly it will be indicated that the November peaks on the Johannesburg stock Exchange do not coincide with the January peaks found overseas and that they do not lag real activity by one month. In the international research the attention was mainly focussed on the size of companies and stock price sensitivity to changes in industrial production while in this paper it focusses on different sectors.en_US
dc.language.isoafen_US
dc.publisherUniversity of the Western Capeen_US
dc.subjectSeasonalityen_US
dc.subjectMarket hypothesisen_US
dc.subjectSouth Africaen_US
dc.subjectJohannesburg stock Exchangeen_US
dc.subjectInternational researchen_US
dc.subjectIndustrial productionen_US
dc.subjectSeasonal growthen_US
dc.titleSeisoensfluktuasies in Industriële produksie en die Aandelemark met spesiale verwysing na die Suid - Afrikaanse situasieen_US
dc.rights.holderUniversity of the Western Capeen_US


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