Abstract
The study undertaken was performed to determine whether the Johannesburg Stock
Exchange is efficient in reacting to information contained within annual disclosures
required by the International Financial Reporting Standards. This was done by testing
whether the share prices of the Top 40 listed entities in South Africa over the period
from 2009 to 2019 were impacted by these annual disclosures. An event study was
conducted; this study utilises the abnormal returns approach using the market model
to determine normal returns.
Based on the event study performed, it appears that the null hypothesis cannot
conclusively be rejected. The null hypothesis states that abnormal returns in the event
window surrounding the release of the International Financial Reporting Standards
annual disclosures will not be close to zero.
This study, however, provides some evidence that the Johannesburg Stock Exchange
is not fully efficient in reacting to information contained within International Financial
Reporting Standards disclosures. However, this does not conclusively disprove
market efficiency in this regard.