Some further comments on The Johannesburg Stock Exchange as an efficient market

Abstract

In the last issue of this journal our earlier conclusions regarding the relevance of the efficient market hypothesis (“EMH”) to The Johannesburg Stock Exchange were criticised by Strebel. Amongst other things. Strebel has asserted that “the EMH is at best a half truth”. In this present note we evaluate this criticism and present some new results pertaining to low-volume shares. We show that Strebel's position is based on errors of logic, suspect data and faulty methodology. We then re-affirm our view that the JSE is an efficient capital market.