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In the dynamic world of financial markets, the prices of assets can exhibit dramatic fluctuations, sometimes soaring to dizzying heights or plummeting to alarming lows. However, amidst the chaos, a fascinating phenomenon emerges: a tendency for prices to revert back to their long-term average or mean level. This concept known as mean reversion has intrigued traders, investors, and researchers for decades. Understanding mean reversion provides valuable insights into market dynamics, investor behavior, and the potential for profitable trading strategies. The aim of this study was to empirically investigate mean reversion in financial markets. This study employed a Hurst model for a sample of five financial markets from June 1, 2018 to June 1, 2023. The findings revealed that four out of the five sampled financial markets exhibit mean reversion, which challenges the efficient market hypothesis concept. Therefore, portfolio managers and active market participants can utilize long-term memory to optimize asset allocation decisions by considering the persistent effects of past returns and adjusting portfolio weights to take advantage of potential return predictability and manage risk.

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.

The dynamics of investing in stock markets have changed considerably over the past twenty years. The value and growth investing concept has drawn much attention and continues to dominate portfolio management. Factor investing is an approach that aims at quantifying particular characteristics through matrixes of quality, value, momentum, and growth to improve the returns of a portfolio. Although the three-factor style of investing has gained widespread acceptance, the five-factor continues to be a source of disagreement among academics and industry practitioners. This study aimed to review the merits of five-factor investing critically. A critical literature review was used to review prior literature. The narratives from the literature reveal that the five-factor investing style will result in multiple sources of expected return. Hence, using five factors in portfolio formation has merits and will significantly improve the returns and most likely outperform the market portfolio. Factor premiums have proven to be drivers of asset return. Therefore, market participants and investment managers can intentionally assume additional exposures to deliver superior risk-adjusted returns compared to the market with the five-factor investing style. According to the author's knowledge, this is the first study to objectively analyze the literature on five-factor investing and propose that active managers can earn positive alphas on a risk-adjusted basis through factor exposures.

The debate on whether stock prices follow a random walk continues, becoming the foundation of modern portfolio theory. Supporters of the random walk theory still believe that modeling stock prices is a wasteful exercise. However, evidence from momentum pricing strategy and price reversals suggests otherwise. This study aimed to empirically explore the random walk theory in five international stock markets before and during the Covid-19 pandemic from June 30, 2017, to June 30, 2019, and January 1, 2020, to December 31, 2021. A multivariate runs test and a generalised distribution function was applied to investigate the theory. The results revealed no significant difference between the observed S-statistics runs and the expected ones, concluding that it is not common to observe random walks in financial markets consistently. Hence price changes in financial markets are significantly affected not only based on new information and investors’ expectations but also by irrationalities that exist among market participants. These irrationalities can be modeled using a generalised distribution function to produce price patterns.

The study intended to examine the effects of the information gap in the Dare es salaam stock exchange stock market. To meet this goal, three objectives were involved; the gap between the information offered by DSE and those needed by investors, the effects of the information gap on the trading in securities in DSE, and measures to apply to tackle the information gap in DSE. The study adopted a mixed research design. This method provides different types of information, such as detailed views of participants qualitatively and scores on instruments quantitatively, and when combined, they should yield the same results. The research was carried out in Dar es Salaam, the city of big investors in Tanzania, the head office of the Capital markets and Security Authority (CMSA), and the Dar es salaam stock exchange authority (DSE). Eighteen brokers and dealers were interviewed, and a questionnaire was distributed to 169 market dealers, brokers, custodians, nominated advisors, DSE employees, registered trustees, financial analysts, and customers to collect quantitative data. The data collection tools used were a questionnaire for quantitative data and an interview guide for qualitative data. Descriptive statistics, content analysis, and coding approaches were used to analyse and interpret data.

The Indonesia Stock Exchange has experienced high growth in its 32 years. The Composite Stock Price Index rose 1.012% in that period, or an average of 31.63% per year. This study analyzes the risk premium on the Indonesia Stock Exchange (IDX) in the last 32 years. In this study, we found the following facts. First, the risk premium at IDX is 2.24% per year if using annual data and 5.54% when using annualized monthly data. It seems that the risk premium in IDX is sensitive to the return calculation horizon used. Second, in the 1997-1998 economic and 2008 financial crises, the risk premium experienced a sharp decline but was followed by a sharp increase in the following months. Third, the macroeconomic variables of inflation and currency exchange rates significantly affect the risk premium, but the interest rate does not. The effect of macroeconomic variables on the risk premium is also sensitive to the horizon of the return calculation used. The results above are when using annual data. The three macroeconomic variables do not affect the risk premium when using monthly data.

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.

Market anomaly is an occurring phenomenon in the market. Supposedly, an anomaly does not exist in markets that are considered efficient. An anomaly is an aberration in the efficient market theory where existing information does not reflect stock prices; therefore, investors can earn abnormal returns. This study examines how The Day Of The Week Effect and The Month Of The Year Effect affect stock returns on the Indonesian Stock Price Index and the Global Stock Price Index. Samples in this study are daily stock return data and return data on stocks of IHSG, DJIA, SSEC, and N225. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to analyze data. The results show that in IHSG and SSEC, there was no The Day Of The Week Effect. The DJIA and N225 were found in The Day of the Week Effect. The Month of the Year Effect was found in IHSG, DJIA, SSEC, and N225.

This study aims to (i) test the behavior bias of gamblers fallacy occurs at the time of uptrend and downtrend conditions; (ii) test the behavior bias of halo effect occurs at the time of uptrend and downtrend conditions; and (iii) test the behavior bias of familiarity effect occurs at the time of uptrend and downtrend conditions. The number of samples in the study was as many as 41 people. The test equipment used is One-Sample t-Test and Paired t-Test by using statistical package for social scientists (SPSS) as a static test tool. The results of this study show that: (i) Gamblers' fallacy that occurs when the uptrend condition is greater than when the condition is downtrend; (ii) Halo effect that occurs when the uptrend condition is greater than when the downtrend condition; (iii) Familiarity effect that occurs when the uptrend condition is greater than when the downtrend condition.    

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.

The purpose of this study is to investigate the impact of stock splits on the return, riskiness, and liquidity of stocks. Utilizing a sample of 94 stock splits taken place between 2010 and 2019 at Borsa Istanbul, the study analyzes the daily abnormal returns, change in volatility, and changes in volume around the stock split announcement and execution dates. The results display significant positive abnormal returns around the announcement date but not significant abnormal returns around the execution. The volatility and liquidity of stocks increase significantly around both announcement and execution dates. The findings are in line with the positive signaling, and liquidity hypotheses of stock split and with most of the observations reported in the empirical literature. The new evidence provided points out the lack of semi-strong form of market efficiency at Borsa Istanbul as far as the stock splits are considered.

Stock prices in Kenya have been experiencing drastic volatility over the years. In the year 2015 alone, the value of the listed companies shrunk by about 2.5 billion USD, representing about 25% of the national government annual budget. The performance of the stock market is an important proxy of a country’s economic environment. Rational investors constantly value and revise their portfolio composition so as to maximize their wealth. Whereas effectively diversified portfolio minimizes the unsystematic risk, systematic risks cannot be managed by simple diversification. Investors, therefore, need to understand the effect of these systematic risks on the stock performance. The study sought to determine the relationship between systematic risk factors using Inflation and interest rates and the performance of the stock market in Kenya. The study adopted a positivist philosophy and employed a correlation research design. The study targeted all the stock listed in the Nairobi Securities exchange. The study was underpinned by the Efficient Market Hypothesis, Arbitrage Pricing theory, and used integration analysis to establish the relationships between the variables of the study. The study found a significant long-run positive relationship between interest rate, inflation, and performance of the stock market in Kenya. Investment firms, the financial analyst should use past data on 91 Treasury bills rate and Inflation, to predict the future performance of stock exchange for the benefit of investors.  

This study investigates the effects of earnings announcements on stock prices in Boursa Kuwait, formerly known as the Kuwait Stock Exchange (KSE).  The data spans the period 2018–2020, and both positive and negative earnings announcements are employed as shock events and their effects assessed. The study results show that there is a statistically abnormal rate of return before and after the earnings announcements and that most abnormal returns are just after the earnings announcement.  This most likely indicates that Boursa Kuwait is a semi-strong efficient stock market.  One important implication is an indication that insider-related trading might be absent in Boursa Kuwait. 

This paper intends to investigate the existence of daily return anomalies and the weekend effect within Boursa Kuwait, Kuwait’s stock exchange.  Kuwait as an economy has continued to be opened up to foreign investment and as foreign funds being to flood into the market; return anomalies akin to those within international markets begin to materialize, bringing new opportunities for abnormal returns and arbitrage. The premise of this paper is the existence of the January effect and the Weekend effect, and uses econometric methods in support of their existence, bringing into question the challenges to market efficiency and the changing landscape for investors and their strategies.

This study aims to determine the effect of six-factor (market return, firm size, value, profitability, investment, human capital) on excess return in companies with shares listed in LQ45 for the 2015-2019 period. The population of this study consists of 45 LQ45 companies listed on the Indonesia Stock Exchange (IDX). The purposive sampling method is the sample selection method that is used in this study. As a result, it shows that there are 26 companies that fit the criteria and taken as samples. Furthermore, the data analysis method that is used in this study is the panel data regression model. Based on the results of this study, it is showed that partially, market return (X1), firm size (X2), profitability (X4), and investment (X5) have a significant positive effect on the excess return of companies listed in LQ45 for the 2015-2019 period. Whereas, value (X3) and human capital (X6) do not have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period partially. Another result also shows that simultaneously or as a whole, six-factors (market return, firm size, value, profitability, investment, human capital) have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period.

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.