Investment approach, predictability and mediating effect of the market profitability index on investor sentiment on the West African Regional Stock Exchange
Pourakin Djarius Dieudonné Bama
Afro-Asian J. of Finance and Accounting, Vol. 13, No. 2 (2023) pp. 147 - 173
Emerging markets have diversification potential for international investors - provided they know the characteristics of these markets in order to make good allocation decisions. In this perspective, this paper studies the predictability of the West African Regional Stock Exchange's indicators with investors' investment approach and the mediating effects of the profitability index between their sentiment and market liquidity. The results indicate that the market profitability index plays a moderating role rather than mediating role between investor sentiment and market liquidity. In the context of predictability, the results are contradictory. Apparently, in a perceptible illusion and logic of savings on the market, investors are unable to correctly anticipate the development of the market, which is rather relatively stable.
Tag: liquidity
Stock market efficiency: the Pakistan Stock Exchange merger
Stock market efficiency: the Pakistan Stock Exchange merger
Asad Ali; Saqib Sharif
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 4 (2022) pp. 455 - 478
This study examines the valuation, liquidity, volatility, and efficiency before and after the integration of Islamabad Stock Exchange (ISE) and Lahore Stock Exchange (LSE) with Karachi Stock Exchange (KSE) to form the Pakistan Stock Exchange (PSX). The firm level daily data is analysed to determine the effects of regulatory change. Based on regression analyses, results indicate mixed evidence for different market measures following the integration of domestic bourses. However, the post-integration period in Pakistan is fraught with political turmoil and weak economic indicators. Thus, any improvement that is hypothesised following the merger is offset by poor economic and political factors.
Herding behaviours and trading volume: evidence from Amman Stock Exchange
Herding behaviours and trading volume: evidence from Amman Stock Exchange
Buthiena Kharabsheh; Mohammad Al-Gharaibeh; Suleiman Almasri
Afro-Asian J. of Finance and Accounting, Vol. 12, No. 3 (2022) pp. 345 - 365
The purpose of this paper is to examine the presence of herding behaviour in Amman Stock Exchange (ASE). Specifically, it aims to provide empirical evidence on the relationship between herding behaviour, trading volume and market liquidity levels. Using a free float share index consisting of 100 companies, the present study employs the approach developed by Chang et al. (2000). It presents an analysis of herding in relation to trading volume and liquidity relationships performed by OLS, VAR estimation and Granger causality tests. Results of daily data analysis for the period 2006 to 2017 indicate strong evidence of herding behaviour in ASE, particularly during the crisis period. The results also proved that there is a strong correlation between herding and trading volume in both directions, and intensification of herding in periods of medium or high market liquidity, but no evidence of herding at low liquidity levels.
Analysing the effect of trading characteristics on liquidity measures – a combined approach to liquidity: evidences from Tehran Stock Exchange
Analysing the effect of trading characteristics on liquidity measures – a combined approach to liquidity: evidences from Tehran Stock Exchange
Saeed Fathi; Somaye Jalali; Alireza Ajam; Omid Mirmohammad Sadeghi
Afro-Asian J. of Finance and Accounting, Vol. 10, No. 2 (2020) pp. 262 - 277
Liquidity estimation has always been of conspicuous importance to all investors as well as risk and return. The purpose of this study is to examine the impact of trading characteristics (price, trading volume, variability, return volatility, absolute stock return, and Beedles thin trading measure) on liquidity measures (Amihud illiquidity ratio, return reversal measure, stock turnover, zero return, turnover-volatility ratio and proportional bid-ask spread) in Tehran Stock Exchange. We extend previous studies by combining different liquidity measures using TOPSIS technique and by employing a multidimensional variable, namely TOPSIS output. Results reveal both of the liquidity measures are strongly related to trading characteristics including stock turnover and zero return. Also, stock price, trading volume, and Beedles thin trading measures are the most significant factors in estimating liquidity. Different effects of different liquidity measures indicate that liquidity is a multidimensional and complex concept, and each measure reflects only one aspect of liquidity. The results of examining the influence of trading characteristics on the combined (multidimensional) liquidity measure indicate that trading characteristics are the main determinants of liquidity.