TESTING FOR MARKET ANOMALIES IN DIFFERENT SECTORS OF THE JOHANNESBURG STOCK EXCHANGE

Yıl 2017, Cilt: 9 Sayı: 1, 219 - 234, 01.02.2017

Mpho İ. Mahlophe Paul-francois Muzindutsi

Öz

This study compared the performance of different asset-pricing models and their
ability to account for market anomalies in different sectors of the Johannesburg
Stock Exchange (JSE). The total sample size of the study consisted of 156
companies categorised into six different sectors namely, resources, consumer
goods, consumer services, financial, industrial and others. Various asset-pricing
models such as the Capital Asset pricing Model (CAPM), the Fama and French
three-factor model and the Carhart four-factor model were used to analyse monthly
data from January 2002 to December 2014. Variables used include the monthly
stock return for each company and different market anomalies namely, size, value,
January and momentum effects. The study revealed that whenever the asset-pricing
models were not restricted, they tend to capture the market anomalies in four out of
the six sectors. In contrast, when the models are restricted, they only seem to capture
the anomalies in one of the six examined sectors. Thus, market anomalies are
sensitive to model specifications, as restricting the models tends to reduce the
likelihood of finding the presence of the market anomalies across the sectors. Our
findings also show that market anomalies tend to differ across sectors and some
sectors seem to be more efficient than others.

Anahtar Kelimeler

Asset pricing model, efficient market hypothesis, market anomalies, expected return, JSE