Abstract
In this paper the Efficient Market Hypothesis (EMH) will be investigate
from an empirical and theoretical basis. The closing (Closet ), intraday high (Hight ),
intraday low (Lowt ) and opening (Opent ), values of the FTSE/JSE SA Listed Property
Index (FTJ253) and the FTSE/JSE Capped Property Index (FTJ254)will explore
the impact on returns resulting from a one standard deviation shock. The examination
of the interrelationship between the closing (Closet ), intraday high (Hight ),
intraday low (Lowt ) and opening (Opent ) values of the FTSE/JSE SA Listed Property
Index (FTJ253) and the FTSE/JSE Capped Property Index (FTJ254) were conducted
by making use of the Johansen cointegration test, a vector error correction
model (VECM) and an impulse response function. The results of these tests provided
an indication of the short- and long run dynamics of all the variables included,
and the reaction of the variables to a one standard deviation shock. The results obtain
indicate that there is an opportunity for arbitrage when the price deviate from
the long run equilibrium until a new equilibrium is reached.