Response of the JSE to the financial crisis compared to the response of other stock exchanges and ways to mitigate this risk in the future Heymans, A., & Da, C. R. (2013). In the last crisis, it was made known that “no market is immune to spill-over effects from other international markets”. To confirm this, the article found that Frankfurt and New York stock spill overs affected the JSE. The findings also confirm the Johannesburg stock exchanges AlSI is directly affected through contagion by the returns of the economic area where the crisis originates. The results further confirmed that South Africa has successfully made progress in shielding its stock market against financial crises in recent times. The discoveries held useful implications for South African stock portfolio managers.
In Noakes, M. A., & Rajaratnam, K. (2016) it was suggested that stock exchanges could be tested for market efficiency. In the last crisis, it was made clear that no market is immune to spill-over effects from other international markets. By employing an aggregate shock (AS) model, returns and volatility spill-over effects of developed markets to the JSE are confirmed. The findings also confirm the Johannesburg stock exchanges AlSI is directly affected through contagion by the returns of the economic area where the crisis originates. The results further confirmed that South Africa has successfully made progress in shielding its stock market against financial crises in recent times. The discoveries held useful implications for South African stock portfolio managers small, mid and large cap indices on the JSE, holding all else constant. Their efficiency is studies over period 2008(year of the crisis) and another period where there is no crisis and they found that small cap stocks have a great degree of non-randomness in price movements and vice versa with low and mi. Many stocks were less efficient during the crisis but were not inefficient. du, T. E., & Cuba, Y. Z. (J 2017) found that after the crisis there were regulations put in place to safeguards to the financial system, which of course contributed to additional costs in the banking sector. This study investigated the change in cost as well as efficiency in the profit in prior, during and post the financial crisis from year 2004 to 2013 in SA for banks listed on the Johannesburg Stock Exchange It further seeks to explain the relationship between the cost to income ratio) and the return on average assets as well as in relation to business cycles. It was also found a strong relationship existed between return on average assets and business cycles rather than with cost to income ratio and business cycles.
Toerien, F., Kruger, R., & Rosenberg, D. (April 01, 2014). Even though the equity investment horizon needed for optimising the probability of yielding certain returns is of great interest to the investors, least research has been published globally about it. This journal, for the first time, used reverse statistics and derived probability distributions of the times required to achieve specific levels of returns on the Johannesburg stock exchange. To be specific, Toerien, F., Kruger, R., & Rosenberg, D. considered the total returns of the All Share Index from the year 1995 to 2012. They showed that for matched pair target returns ranging from approximately 2% to approximately 8%, the highest likelihood of the negative return on a timeline lies to the left of the highest likelihood of the equivalent positive return. This gain-loss asymmetry is like that previously found for top world markets like the Dow Jones Index, but opposing that found for indices in Eastern Europe. Given that previous researchers associated this difference to a developed verses emerging market dichotomy, it could indicate that the Johannesburg stock exchange closely resembles developed equity market than a developing one
The aim of Seth, N., & Sharma, A. K. (2015) was examining the informational efficiency and relationship of certain Asian and United States stock markets while considering the impact of recent financial crisis on them. Tests that were used included correlation coefficient, causality, runs test, test and cointergration. These markets are said to be inefficient in weak form and indeed thee was a positive relationship between Asia and the Us in the long term and inefficiency was not affected as their integration dampened the effect of the crisis of 2002
In Mouton, M., & Smith, N. (October 01, 2016) it was found that the ideal capital structure and value of a company was changing all the time, with the taking internal and external environment taken into consideration. It examined company-related determinants of capital structure and investigated whether the 2008 financial crisis had any significant effect on the capital structure and the identified determinants in a sample of top 40 JSE Ltd listed companies in SA. They applied a panel regression model to identify the greatest capital structure determinants and variance in them. Panel regression accounted for cross-sectional data and time series data at the same time. It was found that the 2008 financial crisis did not have a big difference on the capital structures of the sampled companies. The greatest determinants of capital structure that were company related before the 2008 financial crisis were risk, tangibility and profitability. Risk and tangibility had the strongest effect after the financial crisis, but profitability became trivial. The significant factors should be closely monitored to detect change in capital structure and the valuation of a company
Thomson, R. J., & Reddy, T. L. (January 01, 2013) added to prior work of authors to reconsider the real terms of capital-asset pricing model (CAPM) in SA. As, with the main question being “Can the CAPM be accepted in the South African market for the purposes of the stochastic modelling of investment returns in typical actuarial applications?” the CAPM suggested that the higher the expected return, the hig