Market Timing Revisited

ABSTRACTThis paper updates a 1987 study on market timing on the JSE. It shows that the crash of October 1987 had little impact on the probability of successfully using a timing strategy to “beat the market”. It was also found that there was little difference in the potential for timing between an investment in the All-Share Index and one in the gold sector only The distinction lay in the higher volatility of the gold share index. Finally it is shown that investors who retain a degree of liquidity in their portfolios face dramatically lowered ranges of possible returns and require a higher level of forecasting ability in order to beat the returns on the market index.