Market timing using derivatives on the Johannesburg Stock Exchange during bear periods
South African Journal of Business Management
| Field | Value | |
| Title | Market timing using derivatives on the Johannesburg Stock Exchange during bear periods | |
| Creator | Dumont De Chassart, Marc Firer, Colin Grantham, Wendy Hill, Simon Pryce, Mark Rudden, Ian | |
| Description | 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. | |
| Publisher | AOSIS | |
| Date | 2000-12-31 | |
| Identifier | 10.4102/sajbm.v31i4.746 | |
| Source | South African Journal of Business Management; Vol 31, No 4 (2000); 149-155 2078-5976 2078-5585 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajbm.org/index.php/sajbm/article/view/746/678
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