Explore publications.

This paper investigates whether personality traits, affects, and anticipated emotions measured before a stock market simulation explain participants’ trading style. The study relies on a sample of 133 undergraduate students from the University of Mons, Belgium, who participated in a four-hour CAC 40 trading simulation with a virtual portfolio of EUR 100,000. Regressions were estimated on several dimensions of trading style: number of transactions, minutes per order, average transaction size, average cash holdings, and portfolio volatility. The results show that psychological variables explain little of trading frequency or pacing but are informative about the structure of market exposure. Negative affect is associated with higher cash retention, whereas positive anticipated emotions are associated with lower cash holdings. Gender and openness also predict position size, while gender, age, and openness are significant predictors of portfolio volatility. Overall, the findings suggest that psychology explains less how much individuals trade than how they structure their market exposure.

This study delves into the performance of Indonesian state-owned enterprises (BUMN) stocks from February 2021 to October 2023, attracting investor attention due to their strategic position in the national economy. However, the stock performance during this period exhibited suboptimal movements, failing to surpass the returns of the Indonesia Stock Exchange Composite Index (IHSG). To address this, a prudent investment strategy is essential, encompassing portfolio construction and management. In portfolio construction, the study employs proven smart beta strategies, known for delivering superior returns compared to traditional portfolios. Portfolio management involves testing two strategies: a passive approach utilizing the buy-and-hold technique and an active approach employing portfolio recomposition. This quantitative descriptive study utilizes historical closing price data, forming portfolios based on selected beta groups. Weighting is adjusted, with higher beta stocks receiving a larger allocation in the portfolio. The research compares two beta groups (high and low) and two investment strategies (active and passive) using the Sharpe, Treynor, and Jensen indices. The results indicate that the high-beta group and active strategy outperform, aligning with the investment adage "high risk, high return." The high-beta group yields higher returns due to its increased risk profile, consistent with the notion of high-risk, high-reward investments. The active strategy provides opportunities to discard underperforming stocks and enhance the weighting of well-performing ones during recomposition. These findings are valuable for investors seeking to capitalize on BUMN stocks at lower prices. The study aids in minimizing negative returns (losses) by identifying the most suitable strategy for BUMN portfolios. Investors can leverage this research to make informed decisions and navigate the challenges associated with investing in state-owned enterprises.

Mutual fund is one of the investment instruments widely used as an investment option. There are two essential things to be considered by the Investment Manager as a mutual fund manager: the stock selection and the market timing ability. The Covid-19 pandemic has caused many investors to experience potential investment losses. Understanding stock selection and market timing will be needed for determining which Investment Managers perform well in managing equity mutual fund, especially while dealing with the Covid-19 pandemic. The objective of this study is to analyze the ability of Investment Managers to perform stock selection and market timing, the performance of equity mutual fund, and the effect of stock selection and market timing ability on the performance of equity mutual fund in Indonesia. This study applies the Fama net selectivity methods to assess stock selection ability and Treynor-Mazuy and Henriksson-Merton models to analyze market timing ability. Sharpe, Treynor, and Jensen's alpha methods are also used for measuring mutual fund performance. The data is processed per mutual fund to recognize each mutual fund's stock selection and market timing ability. Furthermore, the research spans two time periods: before and following the Covid-19 pandemic. A dataset of 104 equity mutual funds from 2016-2021 has been analyzed. The findings show that only 9 and 12 Investment Managers have stock selection ability prior to and following the Covid-19 pandemic, respectively. According to Treynor Mazuy model, there are only two Investment Managers with market timing ability prior to the Covid-19 pandemic, and only twelve Investment Managers have market timing ability during the Covid-19 pandemic, according to the Henriksson-Merton model. Every mutual fund with stock selection ability outperformed the benchmark. However, not all equity mutual fund with market timing ability outperformed the benchmark.

This study tests for the applicability of the Adaptive Market Hypothesis (AMH) and Bounded rationality theories on the Johannesburg Stock Exchange (JSE). This is in order to determine the influence of behavioural risk factors on the efficiency of the stock market. Behavioural theories show a gap in the theory of Efficient Market Hypothesis. Using quantile regression, our study established the applicability of the Adaptive Market Hypothesis on the JSE. Past market returns were shown to be significant in predicting future returns and thus did not follow a random walk. The lagged return increased at higher quantiles and differed with changes in market conditions (i.e. pre-financial crisis, financial crisis and post-financial crisis).  Thus, the predictability of returns varies with a change in market conditions. This paper is focused on only on the Johannesburg stock exchange in South Africa, more specifically the movement is the all share index. The findings should be able to be applied to emerging and developed economies. Business confidence is found to have a negative relationship with returns showing a lag in time for sentiment to be incorporated in prices. In contrast, consumer confidence is found to have a positive relationship with returns. In summary, investors are shown to be influenced by fundamental and behavioural factors.

The collective investment schemes in Kenya have witnessed increased volatility in their earnings, resulting in irregular growth in the industry. This necessitates the need to understand the factors contributing to poor financial returns from collective investment schemes. Hence this study sought to investigate the effect of equity investments and bond investments on Kenyan CIS’s performance. The specific objectives were: To assess the effect of equity investments, bond investments on financial performance of collective investment schemes in Kenya. The study was anchored on: modern portfolio theory and the efficient market hypothesis. The positivism philosophy was applied, with the firms adopting an explanatory research design. The target population was 17 Collective Investment Schemes registered by the Capital Markets Authority and were operational in the period 2010 to 2018.  Secondary data was sought from the Capital Markets Authority Annual reports and from the respective websites of the CIS’. Data was analyzed using descriptive statistics, correlational analysis and panel regression analysis. Hypotheses were tested at a significance level of 0.05. Findings indicate that equity investment, bond investments have an insignificant effect on CIS’ return on assets. Further, equity investments had a positive and significant effect on liquidity whereas bond investments had an insignificant effect on liquidity. The study recommends that CISs actively revise their equity investments and bond investments to stimulate financial returns.

The purpose of this article was to assess the impact of financial market liquidity on international capital flows in emerging markets. Specifically, the research investigates the effect of bond market liquidity and stock market liquidity on foreign portfolio investments using data for five emerging African countries, being Egypt, Kenya, Mauritius, Nigeria and South Africa, for the period 2000 to 2020. The data was sourced from the Bloomberg and World Bank (WDI) databases. Panel data analysis (fixed effects model) was undertaken using three different liquidity measures: the effective spread; Amihud’s (2002) illiquidity measure; and market impact as measured by trading volume. Our findings revealed mixed results. It was found that stock market liquidity attracted foreign portfolio investments. Although bond market liquidity, as measured by the volume of trade, promoted foreign portfolio investment, it was different for the effective spread, as the higher the effective spread, the higher the inward FPI flows, and vice versa. Results on the effects of the bond effective spread on FPI show that as long as the bonds are above the investable grade, investors are not discouraged by the cost of trading. Our findings thus confirm that FPI inflows are predisposed on liquid and efficient host country financial markets. Further, the entrance of foreign investors in the host country’s domestic financial markets, leads to the enhancing of liquidity in the local market, thus increasing risk sharing between local and foreign investors.

In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price discovery of stocks listed on the Botswana Stock Exchange.

Mid-cap funds invest in stocks with a market cap between $2 billion and $10 billion. Some of the mid-cap firms recently overcame their small-cap status, but are still in the high growth mode with a better market positioning and stronger balance sheet. Because of their size and status, mid-cap stocks offer a unique platform to portfolio managers of mid-cap funds to earn superior returns by using their selectivity skills. This study analyzes the performance and persistence of performance of 257 U.S. domiciled retail mid-cap funds from January 2000 to December 2017. The results of this study suggest that despite the interesting platform offered by these stocks, it is not easy for fund managers to pick the stocks that beat the market. The results of this study show that mid-cap funds do not outperform the market and their poor performance persists over time.

This study sought to evaluate the relationship between equity unit trust fund flows measured as purchases and sales and the Nairobi Securities Exchange (NSE) stock market return. The study employed Vector Autoregressive model and tested for Granger causality using monthly data for the period starting January 2010 to December 2017. The granger causality results showed that equity fund sales contain information that can explain stock market return and stock market return contain information that can explain equity fund purchases thus unidirectional causality. Impulse response results showed that equity fund purchases have a predominantly positive relationship with NSE stock market return and NSE stock market return have a positive relationship with equity fund purchases. This implies that an increase in stock market return will lead equity fund managers to purchase more securities and as the equity fund purchases increase, the demand for those stocks will increase causing the stock prices to increase and consequently increase stock market return. In contrast, equity fund sales are predominantly negatively related with stock market return and stock market return is also negatively related to equity funds sales. As the stock market return increase, the equity fund managers will decrease their sales. As the sales increase, the supply for those stocks will increase causing a decrease in prices and consequently a decrease in stock market return. Equity fund sales explain the variation in stock market return more than equity fund purchases while stock market return is a determinant of equity fund purchases and equity fund sales.

Using intraday trading data during the 2008 financial crisis, from the Standard and Poor’s Depository Receipt (SPDR) market, we test for evidence of the informational advantage of traders. In addition, we examine the effect of pricing error on trade price. If traders are rational, and have accurate information, they will only purchase an asset at a premium (discount) if they have reason to believe that the fundamental value of that asset will increase (decrease). Our results show that the trading price of the SPDR does not significantly predict the movement of underlying asset values. This finding is consistent with traders overreacting to disparities between price and underlying value during the financial crisis.

<p>In this paper we analyse and show how price discovery process influence the volatility of stocks. Using a theoretical approach, our initial analysis revealed that stocks experience ‘normal’ volatility as the price move from one equilibrium price to another as part of the price discovery process. Our further analysis revealed that, due to the inefficiency of financial markets, stocks also experience transitionary volatility which occurs when the price transition from one equilibrium price to another. The implication of these analytical findings means that the price discovery volatility effects can only be reduced by improving the efficiency of financial markets. Thus, we recommended that the financial microstructure be designed in a manner that promotes the efficiency of financial markets.      </p>

I explore company characteristics which explain the difference in analysts’ recommendations for companies that were underwritten (affiliated) versus non-underwritten (unaffiliated) by analysts’ brokerage firms. Prior literature documents that analysts issue more optimistic recommendations to underwriting clients of analysts’ brokerage employers. Extant research uses regression models to find general associations between recommendations and financial qualities of companies, with or without underwriting relationship. However, regression models cannot identify the qualities that cause the most difference in recommendations between affiliated versus unaffiliated companies. I adopt uplift random forest model, a popular technique in recent marketing and healthcare research, to identify the type of companies that earn analysts’ favor. I find that companies of stable earnings in the past, higher book-to-market ratio, smaller sizes, worsened earnings, and lower forward PE ratio are likely to receive higher recommendations if  they are affiliated with analysts than if they are unaffiliated with analysts. With uplift random forest model, I show that analysts pay more attention on price-related than earnings-related matrices when they value affiliated versus unaffiliated companies. This paper contributes to the literature by introducing an effective predictive model to capital market research and shedding additional light on the usefulness of analysts’ reports.

Yat?r?m f?rsatlar?n?n de?erlendirilmesi süreci beklenen getiri ve riskin ölçümüne ba?l?d?r. Finansal Varl?klar? Fiyatlama Modeli (FVFM), çok uzun y?llard?r modern finans teorisinin temel ta?lar?ndan bir tanesini olu?turmaktad?r. Model, varl?klar?n beklenen getirisi ve sistematik riski aras?ndaki basit do?rusal ili?kiyi ortaya koymaktad?r. Model halen, sermaye maliyetinin hesaplanmas?, portföy yönetiminin performans?n?n ölçülmesi ve yat?r?mlar?n de?erlendirilmesi amac?yla kullan?lmaktad?r. FVFM’in çekicili?i, beklenen getiri ve risk aras?ndaki ili?kinin ölçümlenmesi konusundaki güçlü tahmin yetene?inden gelmektedir. Bununla birlikte modelin bu yetene?i 30 y?l? a?k?n bir süredir akademisyenler ve uygulamac?lar taraf?ndan sorgulanmaktad?r. Tart??malar büyük ölçüde ampirik düzeyde gerçekle?tirilmektedir. FVFM’in ampirik düzeydeki problemleri, çok say?da basitle?tirilmi? varsay?m? içermesi nedeniyle teorik hatalard?r. Çok say?daki gerçekçi olmayan varsay?m modeli pratik olarak kullan??s?z hale getirmektedir. Model ile ilgili temel ele?tiriler ise risksiz faiz oran?, pazar portföyü ve beta katsay? üzerinde yo?unla?maktad?r. Bu çal??mada, modelin varsay?mlar? ve temel bulgular?n?n yan? s?ra uygulamas?na yönelik yap?lan ele?tiriler ele al?nacakt?r.

Etkin Piyasalar Hipotezi ve Davran??sal Finans, finansal literatürün kar??t argümanlar? savunan iki temel modelini olu?turmaktad?r. Bunlardan ilki yat?r?mc?lar? rasyonel olarak kabul ederken di?eri ise yat?r?mc?lar? normal olarak ifade etmektedir. Etkin Piyasa Hipotezi’ne göre piyasalar bilgisel olarak daima etkindir. Hisseler en nihayetinde denge fiyat?na ula?acakt?r. Ya?anan finansal krizler ise k?sa dönemli düzeltme hareketleridir. Davran??sal finans, alternatif bir model olarak geli?tirilmi?tir. Buna göre yat?r?mc?lar farkl? bilgilere farkl? zamanlarda ula?maktad?r ve onlar? farkl? de?erlendirmektedir. Yat?r?m kararlar? psikolojik ve duygusal faktörlerden etkilenmektedir. Yat?r?mc?lar?n makine olarak görülmesi kabul edilemez. Davran??sal finans çok daha yeni bir konumdad?r ve çok say?da yeni çal??maya ihtiyaç duymaktad?r. Bununla birlikte iki teori aras?ndaki çat??ma yeni finansal krizlerin önlenmesi aç?s?ndan çok önemlidir. Yak?n gelecekte teorilerin kar??t olmaktan ziyade tamamlay?c? olarak kullan?lmas? beklenmektedir.   

Over the past fifty years, economic growth in emerging markets has been supported by investments in capital and technology from the developed world. The benefit of this development for the emerging markets, as measured by growth in income, employment, and wealth, is immediately apparent. There have also been significant advantages for the developed world through opportunities for higher risk adjusted returns from investments in emerging markets. This study explores the benefits of the diversification of global government bond portfolio, and provides complete performance evaluations of DMs with or without South Africa emerging market (SAEM) bonds. The study examines the benefits of inclusion of SAEM bonds in DMs, the degrees of financial integration among the research markets, the relative bond returns of dynamic factor models with time-varying coefficients and the robust tests of bond portfolio performance between DMs with SAEM and bond index. The results of this study provide important implications for global investors by identifying diversification gains in SAEM.

<p>The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a broad sample of 66 countries in years 2000-2013. Second, I document that the country-level value and size effects are indifferent to currency conversions. Finally, I introduce an alternative macro-level Fama-French model, which, contrary to its prototype, employs country-based factors. I show that applying this modification makes the model more successful in evaluation of funds with global investment mandate than the standard CAPM and FF models.</p>

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

The Chinese stock market is an emerging market that has gained much importance over the past few decades. Because of this, it also serves as a great subject for studying market inefficiencies and anomalies. In this paper we provide a review of evidence regarding the development, efficiency and integration of the Chinese stock market. In particular, we review recent literature in the areas of market segmentation, cross-listings and calendar effects. This provides evidence of market inefficiency in China. We also pose questions that can be answered in future studies.

The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a broad sample of 66 countries in years 2000-2013. Second, I document that the country-level value and size effects are indifferent to currency conversions. Finally, I introduce an alternative macro-level Fama-French model, which, contrary to its prototype, employs country-based factors. I show that applying this modification makes the model more successful in evaluation of funds with global investment mandate than the standard CAPM and FF models.

The study investigated the operational efficiency of the Nigerian stock market between 1986-2010. This was necessary given the degree of thinness of the market.  The objectives of the study were: to investigate the extent to which the operations of the market have contributed to the growth of the Nigerian economy and also to determine the functionality of the market. To achieve these objectives  data were gathered on some capital market indicators from the stock exchange factbook  of various years on market capitalization (MCAP), all share index (ASI) volume of transaction (VOLT) value of transaction (VALT) and number of listed companies (NLC) on the stock exchange.  The data were tabulated, analyzed and tested using the ordinary least square statistical technique. Findings resulting from the test of data showed that NLC, VOLT, VALT, ASI and MCAP were positive and that increase in any of the above parameters  would in turn cause an increase in the growth of the Nigerian economy at five and ten  percent levels of significance.  It further showed that  the market was operationally weak form efficient. It was therefore recommended that government should continue to provide better macro-economic environment for the private sector to lead the economy on the part of sustainable growth and development.