A Multivariate Analysis of Factors Affecting Stock Returns on the JSE

Artwell Chimanga and Danelle Kotze ()
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Danelle Kotze: University of the Western Cape

The African Finance Journal, 2009, vol. 11, issue 2, 80-96

Abstract: This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors identified in bull and bear markets. Evidence supporting the use of multi-factor models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s two-factor model for the JSE.

Keywords: Principal components; Multi-factor models; Covariances; Arbitrage Pricing (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:11:y:2009:i:2:p:80-96

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