Abstract
The structure of South Africa’s public equity market has undergone significant transformation, characterised by a contraction in the number of publicly listed companies. Within this landscape the regulatory framework administratively treats both single and cross-listed firms that trade and settle in rands as domestic for prudential purposes. The classification while administratively consistent, may conceal distinct risks and exposures embedded in cross-listed counters, particularly during periods of political and economic uncertainty. This study investigates how portfolios comprised of single and cross-listed equities behave during a period of heightened uncertainty. Specifically, the study examines if the 2024 South African elections induced asymmetric repricing between the two cohorts. The study employs event study methodology using two equally weighted daily rebalanced portfolios derived from constituents of the FTSE/JSE Top 40 Index. Normal returns are estimated using an Ordinary Least Squares (OLS) market model with the FTSE/JSE All Share Index as the market proxy. Abnormal Returns (ARs) and Cumulative Abnormal Returns (CARs) are computed over an event window spanning 30 trading days before and after the election date (T0 = 29th May 2024). Statistical significance of ARs and CARs is assessed using parametric t-tests and a Welch two sample t-test to identify differences between the two cohorts. This is supplemented by non-parametric rank tests. The study finds that the 2024 elections (economic and political uncertainty event) induced statistically significant abnormal and cumulative abnormal returns for both portfolios over the event window. The magnitude and direction of the repricing differ between single and cross-listed cohorts demonstrating asymmetric market reactions.