Employing the prespecified variable approach to APT factor identification on the segmented Johannesburg Stock Exchange

Abstract

Prior research has provided evidence that the return generating process on the Johannesburg Stock Exchange (JSE) is dichotomous in nature (Campbell, 1979; Gilbertson and Goldberg, 1981;Carter, 1983; Page, 1986, 1989; Venter, Bradfield and Bowie, 1992). More specifically, this prior work supports the contention that there exists a cleavage in the economic forces underlying returns on the mining and industrial sectors of the JSE.