The Stability of South African Stock Returns

Allan Clark and Casparus Troskie ()
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Casparus Troskie: University of Cape Town

The African Finance Journal, 2006, vol. 8, issue 2, 67-78

Abstract: This article investigates the stability of the covariance- and correlation-matrix of thirty three companies as well as the JSE All Share return index over the period January 1990-December 2000. Extensive Chi-squared testing suggests that the covariance- and the correlation-matrix of South African stock returns are not stable over time.

JEL-codes: C10 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:8:y:2006:i:2:p:67-78

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