Volume 7, Numbers 3 & 4 / September/December , Pages 107-230
The Release of Nelson Mandela: Effect on the Johannesburg Securities Exchange
Multinational Finance Journal, 2003, vol. 7, no. 3 & 4, pp. 153-175
Costas M. Stephanou , University of South Africa, S.A    Corresponding Author
Gawie S. du Toit , University of South Africa, S.A
Marius J. Maritz , University of South Africa, S.A

What determined the value of South African assets after the unbanning of the African National Congress (ANC) and the release of Nelson Mandela? Economic or political events? This paper employs a dynamic version of the APT model for the period from 1991 to 1998 to determine whether the increase in volatility on the JSE changed the specification of the APT model as it applied to the Financial & Industrial Index of the Johannesburg Securities Exchange (JSE). The finding is that political events in late 1991, and economic events in mid 1994, changed APTM’s specification. This would indicate that during periods of profound political change, political events drive stock market prices.

Keywords : arbitrage pricing theory model; Johannesburg Securities Exchange; political events; economic events
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