Market timing using derivatives on the Johannesburg Stock Exchange during bear periods

Artikel

The objective of the study was to investigate the gains from market timing strategies using derivatives during a period when the return on the market was below that of the risk-free asset (a so-called bear period). It was found that perfect timers appear to do better under bullish rather than bearish markets. However, in a bear period, substantially lower predictive accuracies were needed to beat a buy and hold strategy when timing strategies using call options and holding cash (bull timing) were used compared to the strategy of holding the market and buying puts (bear timing) ahead of anticipated poor periods. Finally both the strategies of holding cash and buying a call in every period (market speculation) as well as of holding the market and buying a put in every period (portfolio insurance) out-performed a buy and hold strategy.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: South African Journal of Business Management ; ISSN: 2078-5976 ; Volume: 31 ; Year: 2000 ; Issue: 4 ; Pages: 149-155 ; Cape Town: African Online Scientific Information Systems (AOSIS)

Classification and Topics

• Classification: Management

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dumont De Chassart, Marc ; Firer, Colin ; Grantham, Wendy ; Hill, Simon ; Pryce, Mark ; Rudden, Ian
• Event: Veröffentlichung
• (who): African Online Scientific Information Systems (AOSIS)
• (where): Cape Town
• (when): 2000

Further information

• DOI: doi:10.4102/sajbm.v31i4.746
• Handle: http://hdl.handle.net/10419/218233
• Last update: 10.03.2025, 11:42 AM CET