References
- Adam, K., & Merkel, S. (2019). Stock price cycles and business cycles. European Central Bank, Working Paper Series, #2316.
- Andersen, T. G., Bollerslev, T., Diebold, F., & Vega, C. (2007). Real-time price discovery in global stock, bond, and foreign exchange markets. Journal of Financial Economics, 73(2), 251–24. doi: 10.1016/j.jinteco.2007.02.004
- Aron, J., & Muellbauer, J. 2002. Evidence from a GDP forecasting model for South Africa IMF Staff Papers, 49, IMF annual research conference, 185–213. Washington, DC.
- Arshad, S. (2014). The vicissitudes of stock markets and business cycles. Macroeconomics and Finance in Emerging Market Economies, 9(1), 56–74. https://doi.org/10.1080/17520843.2014.989247
- Askey, R., & Haimo, D. T. (1996). Similarities between Fourier and power series. The American Mathematical Monthly, 103(4), 297–304. https://doi.org/10.1080/00029890.1996.12004740
- Avramov, D., & Wermers, R. (2006). Investing in mutual funds when returns are predictable. Journal of Financial Economics, 81(2), 339–377. https://doi.org/10.1016/j.jfineco.2005.05.010
- Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29–77. https://doi.org/10.1016/S0304-405X(96)00889-6
- Benson, K., Gray, P., Kalotay, E., & Qiu, J. (2008). Portfolio construction and the performance measure when returns are non-normal. Australian Journal of Management, 32(3), 445–461. https://doi.org/10.1177/031289620803200304
- Bodie, Z., Kane, A., & Marcus, A. (2012). Essentials of investments (9th ed.). McGraw-Hill.
- Boehm, E. A., & Summers, P. M. (1999). Analysing and forecasting business cycles with the aid of economic indicators. International Journal of Management Reviews, 1(3), 245–277. https://doi.org/10.1111/1468-2370.00015
- Bolten, S. E., & Weigand, R. A. (1998). The generation of stock market cycles. Financial Review, 33(1), 77–84. https://doi.org/10.1111/j.1540-6288.1998.tb01608.x
- Borio, C. (2012). The financial cycle and macroeconomics: What have we learnt? BIS working papers, #395. https://www.bis.org/publ/work395.pdf
- Bosch, A., & Ruch, F. (2012). An Alternative Business Cycle Dating Procedure for South Africa. Working Paper #5210, South African Reserve Bank.
- Bosch, A., & Ruch, F. (2013). An alternative business cycle dating procedure for South Africa. South African Journal of Economics, 81(3), 491–516. https://doi.org/10.1111/j.1813-6982.2012.01339.x
- Botha, I. (2008). Modelling the business cycle of South Africa, linear vs. non-linear methods [Doctoral dissertation]. University of Johannesburg.
- Brocato, J., & Steed, S. (1998). Optimal asset allocation over the business cycle. Financial Review, 33(3), 129–148. https://doi.org/10.1111/j.1540-6288.1998.tb01387.x
- Bry, G., & Boschan, C. (1971). Cyclical analysis of time series: Procedures and computer programs. NBER.
- Burns, A. F., & Mitchell, W. C. (1946). Measuring business cycles. Science and Society, 11(2), 192–195. https://doi.org/10.1177/000271624725200161
- Casarin, R., & Trecroci, C. (2006). Business cycle and stock market volatility, a particle filter approach, Working Papers ubs0603, University of Brescia, Department of Economics.
- Chava, S., Hsu, A., & Zeng, L. (2019). Does history repeat itself? Business cycle and industry returns. Journal of Monetary Economics. https://doi.org/10.1016/j.jmoneco.2019.10.005
- Chevillon, G. (2009). Multi-step forecasting in emerging economies: An investigation of the South African GDP. International Journal of Forecasting, 25(3), 602–628. https://doi.org/10.1016/j.ijforecast.2008.12.004
- Claessens, S., Kose, M. A., & Terrones, M. E. (2009). What happens during recessions, crunches and busts? Economic Policy, 24(60), 653–700. https://doi.org/10.1111/j.1468-0327.2009.00231.x
- Conover, C. M., Jensen, G. R., Johnson, R. R., & Mercer, J. M. (2008). Sector rotation and monetary conditions. The Journal of Investing, 17(1), 34–46. https://doi.org/10.3905/joi.2008.701955
- Crescenzi, R., & Rodríguez-Pose, A. (2009). Systems of innovation and regional growth in the EU: Endogenous vs. external innovative activities and socio-economic conditions. In U. Fratesi & L. Senn (Eds.), Growth and innovation of competitive regions. Advances in spatial science (pp. 167-191). Springer.
- Cvetanović, S., Mitrović, U., & Jurakić, M. (2019). Institutions as the driver of economic growth in classic, neoclassic and endogenous theory. Economic Themes, 57(1), 111–125. https://doi.org/10.2478/ethemes-2019-0007
- Du Plessis, S., Smit, B., & Steinbach, R. (2014). A medium-sized open economy DSGE model of South Africa. South African Reserve Bank Working Papers, #6319.
- Dzikevičius, A., & Vetrov, J. (2012). Stock market analysis through business cycle approach. Business, Theory and Practice/Verslas, Teorija Ir Praktika, 13(1), 36–42. https://doi.org/10.3846/btp.2012.04
- Emsbo-Mattingly, L., Hofschire, D., Litvak, A., & Lund-Wilde, J. (2014). The business cycle approach to equity sector investing. Fidelity Investments Leadership Series. https.//www.fidelity.com/webcontent/ap101883-markets_sectors-content/19.04.0/business_cycle/Business_Cycle_Sector_Approach.pdf
- Fan, Y., & Yan Lin, C. (2020). Active vs. passive, the case of sector equity funds. Financial Services Review, 28(2), 159–177. DOI: 10.2139/ssrn.3422496
- Francis, J. C. (1993). Management of investments (3rd ed.). McGraw-Hill.
- Hall, R., Feldstein, M., Frankel, J., Gordon, R., Mankiw, N. G., & Zarnowitz, V. (2003). The NBER’s business-cycle dating procedure. Business cycle dating committee. National Bureau of Economic Research.
- Hertzberg, M. P., & Beckman, B. A. (1989). Business cycle indicators, revised composite indexes. Business Conditions Digest, 29(1), 97–102. https://doi.org/10.1108/S0573-8555(2010)0000289008
- Hong, H., Torous, W., & Valkanov, R. (2007). Do industries lead stock markets? Journal of Financial Economics, 83(2), 367–396. https://doi.org/10.1016/j.jfineco.2005.09.010
- Hou, K. (2007). Industry information diffusion and the lead-lag effect in stock returns. The Review of Financial Studies, 20(4), 1113–1138. https://doi.org/10.1093/revfin/hhm003
- Ivković, A. F. (2016). Limitations of the GDP as a measure of progress and well-being. Econviews-review of contemporary business. Entrepreneurship and Economic Issues, 29(1), 257–272. https://hrcak.srce.hr/ojs/index.php/ekonomski-vjesnik/article/view/4217
- Iyetomi, H., Aoyama, H., Fujiwara, Y., Souma, W., Vodenska, I., & Yoshikawa, H. (2020). Relationship be-tween macroeconomic indicators and economic cycles in the US. Scientific Reports, 10 (3), 1–20. DOI: 10.1038/s41598-020-65002-3
- Jacobsen, B. (2010). Market cycles and business cycles. Social Science Research Network, 1553011. http://dx.doi.org/10.2139/ssrn.1553011
- Jacobsen, B., Stangl, J. S., & Nuttawat, V. (2009). Sector rotation across the business cycle. https://ssrn.com/abstract=1467457
- Jones, C. P. 2009. Investments. principles and concepts, 11th. John Wiley & Sons. ISBN: 978-1-118-65275-6
- Korniotis, G. M., & Kumar, A. (2013). State-level business cycles and local return predictability. Journal of Finance, 68(3), 1037–1096. https://doi.org/10.1111/jofi.12017
- Krantz, S. G. (1999). The Fourier Transform. In Handbook of complex variables (pp. 202–212). Birkhuser.
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf
- Marx, J., Mpofu, R., de Beer, J., Nortjé, A., & van de Venter, T. (2010). Investment management (3rd ed.). Van Schaik.
- Masset, P. (2008). Analysis of financial time-series using Fourier and wavelet methods. Faculty of Economics and Social Science, (October), 1–36. http://dx.doi.org/10.2139/ssrn.1289420
- Menzly, L., & Ozbas, O. (2004). Cross-industry momentum (presented at 2005 AFA Meetings in Philadelphia, PA). Working paper, University of Southern California.
- Morgan Stanley. (2014). Sector Rotation, Tailor your portfolio for markets on the move. http.//www.morganstanleyfa.com/public/projectfiles/c560c9e9-6f4c-45b5-ba97-ea02c375347d.pdf
- Naes, R., Skjeltorp, J., & Odegaard, B. (2011). Stock market liquidity and the business cycle. The Journal of Finance, 66(1), 139–176. https://doi.org/10.1111/j.1540-6261.2010.01628.x
- NBER. (2012). US business cycle expansions and contraction. http.//www.nber.org/cycles/US_Business_Cycle_Expansions_and_Contractions_20120423.pdf
- Nyamache, T., Nyambura, R., & Mishra, P. Y. (2013). Impact of business cycles on industry sectors, A structural economic change in Kenya. International Journal of Research Management, 3(5), 116–127. https://rspublication.com/ijrm/2013/sep13/9.pdf
- O’Neal, E. S. (2000). Industry momentum and sector mutual funds. Financial Analysts Journal, 56(4), 37–49. https://doi.org/10.2469/faj.v56.n4.2372
- Reilly, F. K., & Brown, K. C. (2012). Analysis of investment and managements of portfolios (10 ed.). Cengage Learning.
- SARB (South African Reserve Bank). (2010). Financial stability review, September, 1–38.
- Sharenet. (2017). Top 100 companies by market capital. http.//www.sharenet.co.za/
- Soyer, K., Ozgit, H., & Rjoub, H. (2019). Applying an evolutionary growth theory for sustainable economic development. Sustainability, 12(3), 1–20. doi:10.3390/su12010418
- Spiro, H. M. (1981). Economic sector investing. Business Economics, 16(2), 1–5. https://www.jstor.org/stable/23482470
- Stangl, J., Jacobsen, B., & Visaltanachoti, N. (2009). Sector rotation over business-cycles. Massey University.
- Stovall, S. (1995). The S&P Guide to sector investing. McGraw-Hill.
- Sturm, R. (2019). Sector behavior, market efficiency, and the optimal risky portfolio. The Journal of Investing, 28(5), 38–53. https://doi.org/10.3905/joi.2019.28.5.038
- Switzer, L. N., & Picard, A. (2015). Stock market liquidity and economic cycles: A non-linear approach. Economic Modelling, 57(C), 106–119. https://doi.org/10.1016/j.econmod.2016.04.006
- The Conference Board. (2016). The conference board leading economic index for the United States and related composite economic indexes for July 2016. https.//www.conference-board.org/pdf_free/press/US%20LEI%20-%20Tech%20Notes%20Aug%2018%202016.pdf
- Thomson, D., & van Vuuren, G. (2016). Forecasting the South African business cycle using Fourier analysis. International Business and Economics Research Journal, 15(4), 175–192. https://doi.org/10.19030/iber.v15i4.9755
- Thorpe, W. A. (2003). Mean variance optimization. Multi-asset portfolio. http.//www.aaii.com/computerizedinvesting/article/mean-variance-optimization-multi-asset-portfolio.pdf
- Tse, Y. (2015). Do industries lead stock markets? A re-examination. Journal of Empirical Finance, 34(1), 195–203. https://doi.org/10.1016/j.jempfin.2015.10.003
- Vashakmadze, T. (2012). The investment strategy based on sector rotation, literature review. Global Academic Society Journal, Social Science Insight, 5(14), 4–11. https://ssrn.com/abstract=2035564
- Venter, J. C. (2005, September). Reference turning points in the South African business cycle: Recent developments. South African Reserve Bank Quarterly Bulletin, 61–70. https://www.researchgate.net/publication/265122115_Reference_turning_points_in_the_South_African_business_cycle_Recent_developments