This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...

This study investigates the impact of the macroeconomic environment on South African industrial sector returns. Using standardized coefficients, we find that global influences are the most important drivers of returns and that industrial sectors are highly integrated with the global economy. We...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

This research examines the dynamic relationship between foreign portfolio equity flows and equity returns on the Johannesburg Stock Exchange (JSE). The primary objective of this research is to uncover how equity market returns influence foreign cross border portfolio equity flows and in turn how...

In this paper, we attempt to verify the relationship of the firms fundamentals and its stock returns. Price-Earnings ratio (P/E ratio), dividend yield and market capitalization are used as proxies of a firms fundamental values. All series are in a monthly frequency for the period 1995-2011 and...

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the Johannesburg Stock Exchange using a proxy-based composite investor sentiment index and generalised autoregressive conditional heteroscedasticity models. Overall, findings showed a...

We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or Republican. In equilibrium, when risk aversion is high, agents elect Democrats---the party promising more redistribution. The model predicts...

We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We conjecture that political news crowds out stock news cause investors to distract, trade more indexes and underreact to firm specific news. We analyze momentum returns following general...

Purpose: The premise underlying the practice of fundamental analysis is that accounting numbers are relevant to the prediction of security returns. The theoretical foundation for this proposition is well established. However, empirical evidence is less clear on whether a contextual partition of...

A company's entry into (or exit from) a major share index provides a special opportunity to examine price discovery. In an efficient market, we expect the demand curve to remain horizontal and to be unaffected by external events that do not communicate new information to the public, even if...