IDEAS home Printed from https://ideas.repec.org/a/taf/rseexx/v33y2009i2p1-19.html
   My bibliography  Save this article

Predictive Models to Determine Market Timing Opportunities for the JSE (II)

Author

Listed:
  • J N Keuler
  • J D Krige

Abstract

As shown in the first article, it is possible to develop a mathematical forecasting model which can be used to out-perform the JSE AII Share Index (ALSI) by switching between the ALSI and cash on a monthly basis.The objective of this study is to establish whether this is still the case after allowing for risk, using the Sharpe ratio, Treynor ratio and Jensen’s alpha. It was established that the best models were able to out-perform the ALSI by about 5% per year on a cost adjusted basis, with a significantly reduced risk level.Model results were also analysed using the Treynor Mazuy (TM) model and the Henriksson Merton (HM) model to determine the market timing capabilities of the models. The calculated parameters from both the TM and HM models confirmed that the predictive models do indeed have some market timing capabilities.

Suggested Citation

  • J N Keuler & J D Krige, 2009. "Predictive Models to Determine Market Timing Opportunities for the JSE (II)," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 33(2), pages 1-19, August.
    • Handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:1-19
    DOI: 10.1080/10800379.2009.12106465
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10800379.2009.12106465
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10800379.2009.12106465?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rseexx:v:33:y:2009:i:2:p:1-19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rsee .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.