Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218134 
Year of Publication: 
1995
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 26 [Issue:] 1 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1995 [Pages:] 19-27
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
In this article the semi-strong form of share market efficiency over the period 1978 to 1992 is considered, particularly with regard to information about changes in the money supply. To ensure a rigorous test of market efficiency, monetary growth has been decomposed, into anticipated and unanticipated elements. The All Share Index of the Johannesburg Stock Exchange is regressed against the monetary variables. The test results indicate that lagged changes in anticipated monetary growth are significant in explaining changes in share prices, a finding contrary to the efficient market hypothesis. However, the low coefficients of determination indicate that only a small percentage of the variation in share prices is explained by ex post changes in money supply and consequently the potential for a trading rule to earn superior returns to the market is limited.
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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