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An investigation of the unconditional distribution of South African stock index returns

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  • O. Beelders

Abstract

This article investigates the distribution of four broad stock indexes and four futures indexes on the Johannesburg Stock Exchange (JSE). It finds that the broad indexes are skewed and highly leptokurtic. Whereas the All Share, Industrial and Financial Indexes are negatively skewed, the Gold Index is positively skewed. In addition, the skewness is not only present in the tails, but also in the central part of the distribution. None of these indexes is covariance stationary over the sample period; this may be due to structural changes in the market such as the introduction of an electronic trading system in 1996 and the volatility introduced by the Asian crisis. For the futures indexes, it finds that only the Gold Index is characterized by (positive) skewness. All the futures indexes have excess kurtosis and none of them is covariance stationary. The futures indexes have less serial correlation than the broad indexes because they are constructed from large, highly liquid stocks.

Suggested Citation

  • O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  • Handle: RePEc:taf:apfiec:v:13:y:2003:i:9:p:623-633 DOI: 10.1080/09603100210125019
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    References listed on IDEAS

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    1. Loretan, Mico & Phillips, Peter C. B., 1994. "Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets," Journal of Empirical Finance, Elsevier, pages 211-248.
    2. Graham Barr & Jos Gerson & Brian Kantor, 1995. "Shareholders As Agents And Principals: The Case For South Africa'S Corporate Governance System," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 1-32.
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    6. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    7. Brian Kantor, 1998. "Ownership And Control In South Africa Under Black Rule," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(4), pages 69-78.
    8. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Aggarwal, Raj & Lucey, Brian M., 2007. "Psychological barriers in gold prices?," Review of Financial Economics, Elsevier, pages 217-230.
    2. Alexander Eastman & Brian Lucey, 2008. "Skewness and asymmetry in futures returns and volumes," Applied Financial Economics, Taylor & Francis Journals, pages 777-800.

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