Mean Reversion on the JSE: 1961-1997

S H High

Studies in Economics and Econometrics, 1999, vol. 23, issue 3, 63-74

Abstract: The existence of mean reversion in share markets, if demonstrated, would cast grave doubts on the efficiency of such markets. In an earlier article in this journal, Bradfield and Arrington presented evidence of mean reversion on the Johannesburg Stock Exchange. The present paper examines those findings, as well as available data for the period 1996 - 1997, and concludes there is no evidence of mean reversion but finds some modest evidence of mean aversion or ’trending’.

Date: 1999
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DOI: 10.1080/03796205.1999.12129141

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