Improved beta estimation on the Johannesburg Stock Exchange: A simulation study

Artikel

In this article we focus on beta estimation in the thinly-traded environment of the Johannesburg Stock Exchange (JSE). We build on existing literature by evaluating a beta estimation procedure known as the trade-to-trade which has not until now been considered in the context of the JSE. We contrast our results with two known estimation procedures, i.e. the Cohen et al. and the traditional ordinary least squares (OLS). The trade-to-trade methodology, the estimator proposed by Cohen et al. and OLS are objectively assessed for shares typical of the JSE on the basis of unbiasedness and efficiency in the controlled environment of a simulation study. The trade-to-trade technique is found to be superior on both counts and is recommended as the appropriate technique for beta estimation on the JSE.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 24 ; Year: 1993 ; Issue: 4 ; Pages: 118-123 ; Cape Town: African Online Scientific Information Systems (AOSIS)

Classification and Topics

• Classification: Management

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bowie, D. C. ; Bradfield, D. J.
• Event: Veröffentlichung
• (who): African Online Scientific Information Systems (AOSIS)
• (where): Cape Town
• (when): 1993

Further information

• DOI: doi:10.4102/sajbm.v24i4.872
• Handle: http://hdl.handle.net/10419/218106
• Last update: 10.03.2025, 11:41 AM CET