Show simple item record

dc.contributor.authorF. Darrat, Ali
dc.contributor.authorLi, Bin
dc.contributor.authorWu, Leqin
dc.date.accessioned2017-05-03T15:49:24Z
dc.date.available2017-05-03T15:49:24Z
dc.date.issued2012
dc.date.modified2013-03-26T23:02:56Z
dc.identifier.issn19938233
dc.identifier.urihttp://hdl.handle.net/10072/49942
dc.description.abstractWe investigate the risk-return relation in the South African stock market using data covering the period from 1973 to 2011. Prior research for several countries reveals high sensitivity of the results to data details and models used. Therefore, our analysis of the risk-return nexus in South Africa are based on three different data frequencies (weekly, monthly and quarterly) and are derived from three different generalized autoregressive conditional heteroskedasticity (GARCH) models in addition to a plain vanilla time-series approach. Similar to the findings of Glosten et al. in 1993 and Harvey in 2001, our results fail to support a significantly positive risk-return relationship in South Africa across various data frequencies and model specifications, and this conclusion survives further robustness checks using different sub-periods and index data. Our results further suggest that the recent global financial crisis may have altered market dynamics and distorted the risk-return relation in the South African stock market.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent94553 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherAcademic Journals
dc.publisher.placeNigeria
dc.publisher.urihttp://www.academicjournals.org/ajbm/abstracts/abstracts/abstracts2012/21Nov/Darrat%20et%20al.htm
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom11411
dc.relation.ispartofpageto11415
dc.relation.ispartofissue46
dc.relation.ispartofjournalAfrican Journal of Business Management
dc.relation.ispartofvolume6
dc.rights.retentionY
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchBusiness and Management
dc.subject.fieldofresearchcode150201
dc.subject.fieldofresearchcode1503
dc.titleRevisiting the risk-return relation in the South African stock market
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2012 Academic Journals Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2012
gro.hasfulltextFull Text
gro.griffith.authorLi, Bin


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record