Market segmentation on the Johannesburg Stock Exchange II

摘要: Given the reclassification of Johannesburg Stock Exchange (JSE) sector indices that occurred in March 2000, this paper updates factor analytic procedure conducted by van Rensburg and Slaney (1997). It is found new Financial-Industrial (CI21) Resources (CI11) may be used as observable proxies for first two principal components extracted from covariance matrix JSE returns. Consequently, it suggested these replace Industrial All-Gold index future applications arbitrage pricing theory (APT) model. Prior research extended considering implications dichotomy return generating processes underlying financial-industrial resource stocks estimation security betas. mathematically demonstrated implies cross-sectional correlation market model?s residual errors not diagonal. As a result, conventionally model regressions are characterised problem omitted variable bias downwardly biased t statistics. A remedial proposed, which serve general correction ordinary least squares regression analysis when using panel data. Finally, pointed out All-Share Index, employed proxy South African beta estimation, mean-variance efficient given opportunity offshore investment. This capital asset model, specified academics does hold on JSE.