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Investor overreaction on the Johannesburg Stock Exchange

Investor overreaction on the Johannesburg Stock Exchange C Muller* 1. INTRODUCTION These new insights into the workings of the human psyche are beginning to give new hope to the technical Turning historic share price time series into profits has analysts that perhaps indeed there are arbitrage long been the aim of technical financial alchemists. opportunities in analysing historic share price movements. The use of behavioural principles to form Discovering the silver bullet trading rule, or the optimal leading indicator, has been the elusive lure for those trading rules and portfolio selection is a radical move who believed that the stock markets were inefficient away from the traditional technical and fundamental market analysis. and that price information held the key to future price movements. Assume for the moment that the fundamental analysts Several investigations (for example Roberts, 1959 and are correct and that future company earnings are the Fama, 1965) have shown the major stock markets to main drivers and explanatory factors of share prices. Call this the mean. As new information arrives in the be weak-form efficient markets, and the Johannesburg Stock Exchange (JSE) is no exception. However, the market, investors immediately react by moving the research has been in the areas of short-term share prices. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Investor overreaction on the Johannesburg Stock Exchange

Muller, C
Investment Analysts Journal , Volume 28 (49): 13 – Jan 1, 1999
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References (14)

Publisher
Taylor & Francis
Copyright
© 1999 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.1999.11082392
Publisher site
See Article on Publisher Site

Abstract

C Muller* 1. INTRODUCTION These new insights into the workings of the human psyche are beginning to give new hope to the technical Turning historic share price time series into profits has analysts that perhaps indeed there are arbitrage long been the aim of technical financial alchemists. opportunities in analysing historic share price movements. The use of behavioural principles to form Discovering the silver bullet trading rule, or the optimal leading indicator, has been the elusive lure for those trading rules and portfolio selection is a radical move who believed that the stock markets were inefficient away from the traditional technical and fundamental market analysis. and that price information held the key to future price movements. Assume for the moment that the fundamental analysts Several investigations (for example Roberts, 1959 and are correct and that future company earnings are the Fama, 1965) have shown the major stock markets to main drivers and explanatory factors of share prices. Call this the mean. As new information arrives in the be weak-form efficient markets, and the Johannesburg Stock Exchange (JSE) is no exception. However, the market, investors immediately react by moving the research has been in the areas of short-term share prices.

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jan 1, 1999

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