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A Multivariate Analysis of Factors Affecting Stock Returns on the JSE

Author

Listed:
  • Artwell Chimanga
  • Danelle Kotze

    (University of the Western Cape)

Abstract

This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors identified in bull and bear markets. Evidence supporting the use of multi-factor models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s two-factor model for the JSE.

Suggested Citation

  • Artwell Chimanga & Danelle Kotze, 2009. "A Multivariate Analysis of Factors Affecting Stock Returns on the JSE," The African Finance Journal, Africagrowth Institute, vol. 11(2), pages 80-96.
    • Handle: RePEc:afj:journl:v:11:y:2009:i:2:p:80-96
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    Cited by:

    1. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).

    More about this item

    Keywords

    Principal components; Multi-factor models; Covariances; Arbitrage Pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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