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Special Issues
Market Anomalies in Emerging and Frontier Markets
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Market Anomalies in Emerging and Frontier Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (28 February 2022) | Viewed by 12000

Special Issue Editor

Dr. Gilbert Nartea

E-Mail Website
Guest Editor
Department of Economics and Finance, UC Business School, University of Canterbury, Private Bag 4800, Christchurch 8140, New Zealand
Interests: empirical asset pricing and stock market anomalies; behavioural finance; risk management; microfinance

Special Issue Information

Dear Colleagues,

This Special Issue is dedicated to help foster a better understanding of empirical regularities in stock markets that cannot be explained by traditional asset pricing models that presume investor rationality and efficient markets.

The focus of this Special Issue is on emerging and frontier markets. The diversity offered by these markets in terms of institutional and regulatory characteristics, variety of stock market settings, and different investor behaviours, cultures, and religions not only make these markets a fertile ground for testing the general applicability of anomalies documented in developed markets but also offer an opportunity to uncover new ones. Submissions that seek to relate these market characteristics to existing or new anomalies will be given priority. Studies with a behavioral finance approach that account for investor cognitive and behavioral biases in explaining these anomalies are particularly welcome.

Dr. Gilbert Nartea
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Anomalies
  • Behavioral finance
  • Inefficient markets
  • Cognitive biases
  • Culture
  • Investor sentiment
  • Overconfidence
  • Emotions
  • Religion

Published Papers (4 papers)

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Research

18 pages, 1683 KiB  
Article
An Investigation of the Beta Anomaly in Emerging Markets: A South African Case
by Mabekebeke Segojane and Godfrey Ndlovu
J. Risk Financial Manag. 2022, 15(5), 214; https://doi.org/10.3390/jrfm15050214 - 8 May 2022
Viewed by 2529
Abstract
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the [...] Read more.
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross-sectional econometric techniques to analyze the risk–return relationship implied by the CAPM, using data that span over 5 years and 220 companies. To check for robustness, the analysis period was extended to 10 years, and we also applied the Fama–French three-factor model. The findings suggest the existence of the beta anomaly and a negatively sloped SML, indicating that beta is not the only determinant of risk in the South African stock market. We also found positive beta–idiosyncratic volatility (IVOL) correlations. However, after controlling for IVOL and the adverse effects of COVID-19 for an extended study period, the beta anomaly disappeared. Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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30 pages, 1314 KiB  
Article
The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa
by Maud Korley and Evangelos Giouvris
J. Risk Financial Manag. 2021, 14(3), 122; https://doi.org/10.3390/jrfm14030122 - 15 Mar 2021
Cited by 8 | Viewed by 2575
Abstract
Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector [...] Read more.
Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both international investor and policymakers. The Markov-switching Vector Auto Regressive (VAR) model is used to examine the relationship between FX and frontier stock markets. There are two distinct regimes in both the frontier stock market and the FX market: a low-volatility and a high-volatility regime. In contrast with emerging markets characterised by “high volatility/low return”, frontier stock markets provide high (positive) returns in the high-volatility regime. The high-volatility regime is less persistent than the low-volatility regime, contrary to conventional wisdom. The Markov Switching VAR model indicates that the relationship between the FX market and the stock market is regime-dependent. Changes in the stock market have a significant impact on the FX market during both normal (calm) and crisis (turbulent) periods. However, the reverse effect is weak or nonexistent. The stock-oriented model is the prevalent model for Sub-Saharan African (SSA) countries. Irrespective of the regime, there is no relationship between the stock market and the FX market in Cote d’Ivoire. Our results are robust in model selection and degree of comovement. Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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18 pages, 925 KiB  
Article
Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis
by Ashok Chanabasangouda Patil and Shailesh Rastogi
J. Risk Financial Manag. 2020, 13(10), 248; https://doi.org/10.3390/jrfm13100248 - 20 Oct 2020
Cited by 12 | Viewed by 3004
Abstract
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the [...] Read more.
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are identified using the Bai and Perron procedure, and in each segment, Multifractal Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture the long memory in each series. The price series is persistent in small fluctuations and anti-persistent in large fluctuations across all the structural segments. This confirms that long memory in the series is not affected by the structural breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words, volume acts as a carrier of the information only in the non-volatile (normal) market. The varying Hurst exponent across the structural segments indicates the varying levels of persistence and signifies the volatile market. The findings of the study are useful for understanding the practical implications of the Adaptive Market Hypothesis (AMH). Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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21 pages, 1993 KiB  
Article
Investor Overconfidence and Trading Activity in the Asia Pacific REIT Markets
by Helen X. H. Bao and Steven Haotong Li
J. Risk Financial Manag. 2020, 13(10), 232; https://doi.org/10.3390/jrfm13100232 - 29 Sep 2020
Cited by 7 | Viewed by 2804
Abstract
Overconfidence is one of the most robust behavioral anomalies in financial markets. By attributing investment gains to their ability, investors become overconfident and trade aggressively in subsequent periods. Evidence from stock markets shows that overconfidence leads to excessive trading and, subsequently, inferior investment [...] Read more.
Overconfidence is one of the most robust behavioral anomalies in financial markets. By attributing investment gains to their ability, investors become overconfident and trade aggressively in subsequent periods. Evidence from stock markets shows that overconfidence leads to excessive trading and, subsequently, inferior investment performance. However, studies on overconfidence effect are lacking in the real estate sector, which is particularly true for Asia Pacific real estate investment trust (REIT) markets. Thus, this study examines the overconfidence effect in six Asia Pacific REIT markets, namely, Australia, Hong Kong, Japan, Singapore, South Korea, and Taiwan. The study finds that the overconfidence effect is more conspicuous during market boom periods or in inefficient market conditions. In addition, simulation analysis demonstrates that overconfidence could lead to rather large volumes of excessive trading activities in certain markets. Findings are robust across the alternative measures of control variables. Moreover, the policy implications of the research are also discussed. Full article
(This article belongs to the Special Issue Market Anomalies in Emerging and Frontier Markets)
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