Statistical Methods in Finance 2022

June 28 to July 2, 2022


A Comparative Study of the Stylized Facts Of The South African and Indian Stock Market

By Mbhense Lindokuhle Sandile
University of Zululand, KwaZulu-Natal

The study look at different stylized facts within the South African market (JSE Top 40 Index), the historically data from the was employed for analysis. The closer look on the behaviour of the South African market is something that brings lot of interest since this one of the most developing market, which then gives the perfect opportunity for researchers to develop reliable models for forecasting returns and hence price derivation. It was obtained that most of the stocks in JSE Top 40 Index showed larger upward movements than drawdowns similar to Indian stock market, which makes South African market a promising market to invest in. Some of the stocks revealed the presence of autocorrelation which can be a tool for predicting future prices which favours the investors. The behaviour of the South African market is almost the same as that of Indian stock market regarding stylized facts.