Kotze, DanelleChimanga, Artwell S.2014-09-182024-05-172014-09-182024-05-172008https://hdl.handle.net/10566/15230>Magister Scientiae - MScThis study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.enMarket-SegmentationPrincipal componentsCluster analysisMultifactor modelsCo-variancesAbitrage pricing theorySector indicesJSEuwc