Investigating the market tightness of selected stocks in the Johannesburg Stock Exchange

Samuel Tabot Enow
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Samuel Tabot Enow: Research Associate, The IIE VEGA School

International Journal of Research in Business and Social Science (2147-4478), 2024, vol. 13, issue 6, 158-163

Abstract: The market tightness of equity securities is an integral component of financial market because it supports smooth trading and absorb market shocks. However, the contention has always been to effectively determine the level of tightness in equity securities with the application of proper methodology in order to make informed decisions. Therefore, aim of this study was to examine the level of market tightness in selected stocks in the Johannesburg stock exchange. Using a variance ratio model, the findings of this study indicates that most securities trading on the exchange lack market tightness. This was evident in the difference between the one, two and three months variances that were not equal to 1 . Therefore, a specialist system should be introduced in order to facilitate the execution of trades without significantly moving the prices of equity securities. This study improves the frontier of knowledge regarding liquidity management, by empirically investigating the market tightness of equity securities. Key Words:Market Tightness; Variance Test; Equity Securities

Date: 2024
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