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Do dividends matter? Some evidence from an emerging market
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: N M Waweru --- School of Administrative Studies,This study investigated the information content theory of dividends in the Kenyan Stock market. Data was obtained from the Nairobi Stock Exchange (NSE) hand book for the period 2001–2007. Using regression analysis, the study attempted to determine the factors that... -
A review of capital market theory from a South African Perspective
Item type: Journal Article • Journal: De Ratione • Authors: D.J. Bradfield --- University of Cape Town,The vast quantity of finance literature dealing with Capital Market Theory on the New York Stock Exchange (NYSE) is evidence of the demand for research in this area. Until very recently, almost no research In this area has been conducted... -
Is the incremental transparency necessary?
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Chiou-Fa Lin --- Department of Finance, Ya-Wen Lai --- Department of Finance, Mei-Ling Tang --- Department of Finance,This paper examines how liquidity, price discovery and the causality between them are affected by incremental transparency on the Taiwan Stock Exchange (TSEC). We find that it has small effects on market quality, with the impact being focused on small-... -
Univariate tests of momentum on the JSE
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- Finance Division, School of Economic & Business Sciences, South Africa Christo Auret --- Finance Division, School of Economic & Business Sciences, South AfricaThis study intends to test whether medium-term price momentum is present on the cross-section of shares listed on the JSE. Using the methodology of Jegadeesh and Titman (1993; 2001), shares are sorted applying four estimation periods (E = 3, 6,... -
The effectiveness of price limits in the South African white maize futures market
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ayesha Sayed --- Finance Division, South Africa Christo Auret --- Finance Division, South AfricaFutures markets perform two essential functions by creating a platform for price discovery and permitting low cost hedging of risk. Some futures markets impose limits on the amount asset prices can change within a trading day to prevent the market... -
Liquidity and the convergence to market efficiency
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Nicara Young --- School of Economic and Business Sciences, South Africa Christo Auret --- School of Economic and Business Sciences, South AfricaThe aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE) and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis... -
Liquidity and size effects on the Johannesburg Stock Exchange (JSE)
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Graeme McKane --- School of Economic and Business Sciences, South Africa James Britten --- School of Economic and Business Sciences, South AfricaThis study explores the existence of a liquidity premium on the Johannesburg Stock Exchange (JSE) and its potential interaction with the well-documented size effect. It builds on the stream of South African literature that examines liquidity as a standalone factor... -
Can non-momentum factor premiums explain the momentum anomaly on the JSE? An in-depth portfolio attribution analysis
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Daniel Page --- Finance Division, School of Economic & Business Sciences, South Africa Christo Auret --- Finance Division, School of Economic & Business Sciences, South AfricaSouth African literature related to the momentum anomaly is generally limited to the exploration of momentum on a univariate and at most a bivariate basis, such as in combination with value (Fraser & Page, 2000) or liquidity (Page, Britten, &... -
Preliminary mineralogical and geotechnical characteristics of Zogbodomey clays in the coastal sedimentary basin of Benin (West Africa)
Item type: Journal Article • Journal: African Journal of Science, Technology, Innovation and Development • Authors: Sémondji Salvien Pyrrhus Agbon --- Département des Sciences de la Terre, Bénin Nelly Carine Kelome --- Département des Sciences de la Terre, Bénin Luc Adissin Glodji --- Département des Sciences de la Terre, BéninThe Benin coastal sedimentary basin is filled with deposits of clays of diverse nature. This study focused on the characteristics of clayey materials of Zogbodomey in sight of their valorization in the construction and ceramics sectors. The clay deposit is... -
Small-minus-big predicts betting-against-beta: Implications for international equity allocation and market timing
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- , PolandWe demonstrate a strong relationship between short-term small-firm premium and future low-beta anomaly performance. Rises (declines) in small-firm prices temporarily improve (deteriorate) funding conditions, benefiting (impairing) the short-run returns on the low-beta strategy. To investigate this phenomenon, we examine returns... -
Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Jaime González Maiz Jiménez --- , Mexico Adán Reyes Santiago --- , Mexico Francisco López-Herrera --- , MexicoThis study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (2012) spread level, residual sum of... -
The impact of algorithmic trading on market quality: Evidence from the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Aurélie Courdent --- , David McClelland --- ,High-frequency trading (HFT) is a trading method that relies on sophisticated algorithms to analyse markets and execute large numbers of orders within milliseconds. In the last two decades, this new technology has gained traction globally and now accounts for the... -
The low-volatility effect in African frontier equity markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Johannes Petrus Steyn --- Stellenbosch University, South Africa Evan Gilbert --- Stellenbosch University, South Africa Suzette Viviers --- Stellenbosch University, South AfricaThis study investigated the extent to which the low-risk anomaly is present in a pooled sample of nine African frontier equity markets from March 2004 to July 2023. Portfolio-level analysis was used to investigate the total stock returns of equally... -
Impacts of analyst coverage initiation on market quality
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Yongsik Kim --- Hankuk University of Foreign Studies, Korea Doojin Ryu --- Sungkyunkwan University, KoreaWe examine whether the initiation of financial analysts’ coverage leads to improved stock-price informativeness and increased market liquidity using the difference-in-differences methodology. The average value of daily total trading volume is significantly higher after than before initiation. The increase in... -
Opinion divergence, investor sentiment, and stock liquidity: Evidence from social media
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Gaoshan Wang --- Shandong University of Finance and Economics, China Mingyue Chen --- Shandong University of Finance and Economics, China Xiaomin Wang --- Shandong University of Finance and Economics, China Yilin Dong --- Shandong University of Finance and Economics, China Zhiyi Wang --- Shandong University of Finance and Economics, ChinaThis paper developed a mediating effect model of retail opinion divergence, investor sentiment, and stock liquidity to investigate how investor comments and bullish-bearish-polling activities on social media affect investors’ attitudes and behaviours, thus, the stock market. The paper first used... -
An estimation of liquidity effects of market microstructure changes in the Indian agricultural commodity market
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sreekha Pullaykkodi --- Manipal School of Commerce and Economics, Manipal Academy of Higher Education, IndiaThe effects of market microstructure change on the liquidity of the Indian agricultural commodity market are examined using 18 years of data by dividing it into different sub-samples. The study examines variations in market liquidity by conducting a year-wise analysis,...