- Title
- The yield spread as a predictor for buy or sell signals for sectoral indices of the JSE
- Creator
- Roeber, Christine
- ThesisAdvisor
- Keeton, Gavin
- ThesisAdvisor
- Khumalo, Sibanisezwe Alwyn
- Subject
- Yield curve
- Subject
- Rate of return South Africa
- Subject
- Yield spread
- Subject
- Interest rate
- Subject
- Johannesburg Stock Exchange
- Date
- 2023-10-13
- Type
- Academic theses
- Type
- Master's theses
- Type
- text
- Identifier
- http://hdl.handle.net/10962/419687
- Identifier
- vital:71666
- Description
- The predictive nature of the yield curve has been of interest to researchers for years. In this thesis, the evidence for the yield curve as a predictor is examine, specifically as a predictor for bear markets in the JSE stock market for 8 sub-sectoral indices. The study explores a dynamic market timing strategy for timing the South African stock market compared to a normal buy-and-hold strategy. First, probit models are estimated for each of the sectoral indices which did not prove to have tracked well all the bear market phases. Then a dynamic market timing portfolio is simulated against a buy-and-hold only strategy, the dynamic market timing portfolio proved to have outperformed a buy-and-hold strategy for almost all the indices. Thus, a Henriksson-Merton parametric model test which tests for market timing ability was done on these sub-indices. The research finds that the yield curve in South Africa is not a useful tool for a buy-sell strategy for most of the sub-sectoral indices of the JSE.
- Description
- Thesis (MCom) -- Faculty of Commerce, Economics and Economic History, 2023
- Format
- computer, online resource, application/pdf, 1 online resource (132 pages), pdf
- Publisher
- Rhodes University, Faculty of Commerce, Economics and Economic History
- Language
- English
- Rights
- Roeber, Christine
- Rights
- Use of this resource is governed by the terms and conditions of the Creative Commons "Attribution-NonCommercial-ShareAlike" License (http://creativecommons.org/licenses/by-nc-sa/2.0/)
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RU Department of Economics and Economic History
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details | SOURCE1 | ROEBER-MCOM-TR23-57.pdf | 674 KB | Adobe Acrobat PDF | View Details |