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TitleMarket segmentation and factors affecting stock returns on the JSE.
AuthorChimanga, Artwell S.
Subject Principal Components
Subject Cluster Analysis
Subject Multifactor
Subject models
Subject Co-variances
Subject Abitrage Pricing Theory
Subject Sector Indices
Subject JSE.
TypeThesis and dissertation
Abstract This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)"s hypothesis on market segmentation on the JSE.