Abstract
Seasonal patterns in the South African capital market In this article the seasonal patterns in daily price movements of the Post Office, Eskom 168 and the RSA bonds are examined and these are compared with three equity indices namely the Gold Index, Industrial Index and Overall Index of the Johannesburg Stock Exchange. Both the South African bond and share markets display significant seasonal patterns. In contrast with international findings, it is shown that seasonal similarities exist between the bond and share markets.
Highlights
With this article the daily price movements of a number of South African bonds and equity indices are examined in order to dctennine the existence of a variety of seasonal patterns and to compare these with results obtained internationally
The results show that when bonds display a significant seasonal pattern, the share indices display significant effects
It is only the tum-of-the-year versus the tum-of-the-month effect which differs between the two groupings
Summary
Die rou data wat in hierdie studie gebruik is, is verkry vanaf die databasis van Sanlam Beleggings. Daaglikse sluitingspryse is gebruik in die berekening van die periode 2 Oktober 1978 tot en met 17 Januarie 1992. Om die effek te ondersoek, is die laaste dag van die vorige maand as -1 en die eerste vier dae van elke maand as dag +1, +2, +3 en +4 aangedui. Die hoogste en laagste opbrengste word gerapporteer ten opsigte van elk van die patrone wat ondersoek is en daar word aangedui waar sodanige patrone betekenisvol is (by die 5% betekenispeil). Jordan & Jordan (1991) het bevind dat die Dow Jones Composite,J3onct_ Average ·n hoogste opbrengs.op 'n Donderdag het en ·'n laagste oi>'ifri~ss op 'n Dinsdag heL-Die Eskom 168- en RSA-effck toon bcide 'n bctekenisvolle dag-van-die-week-effek en die Poskantoor-effck volg dieselfde patroon, maar is nie betekenisvol nie. Die patroon van die beursindekse is dieselfde as die van die Jordan & Jordan (1991)
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