 Price earnings ratios on the Johannesburg Stock Exchange - Are they a guide to value?G D I Barr and B S Kantor South African Journal of Accounting Research, 1999, vol. 13, issue 1, 1-23 Abstract: This paper tests whether there is an equilibrium relationship between prices and earnings on the Johannesburg Stock Exchange (JSE). Such a relationship would hold if the JSE Index and index earnings were cointegrated, A full explanation of the technique of cointegration is provided. It is shown that prices and earnings on the JSE are not cointegrated, which is aconsistent with similar results obtained for the New York Stock Exchange. The paper then offers a more general explanation of prices on the JSE to include, in addition to earnings, the influence of world markets and political and exchange rate risk, on the value of the JSE as represented by its Industrial and Financial Index. It is found that the variables of these models of the JSE are in fact cointegated. This means that there have been forces driving long term equilibrium values on the JSE. Movements away from such equilibrium values have represented market beating opportunities Current prices are thus not the best estimate of future prices, suggesting that the JSE cannot be regarded as an efficient market. Date: 1999 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:rsarxx:v:13:y:1999:i:1:p:1-23 Ordering information: This journal article can be ordered from DOI: 10.1080/10291954.1999.11435082 Access Statistics for this article South African Journal of Accounting Research is currently edited by Soon Nel More articles in South African Journal of Accounting Research from Taylor & Francis Journals |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.