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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.