M. Arifur Rahman

Behaviour of Stock Return Autocorrelation in the GCC Stock Markets

There is overwhelming evidence of the presence of autocorrelation in stock returns in many previous studies. Since stock return correlation is related to predictability of stock prices, it is important to know the extent of autocorrelation and its underlying causes. This article investigates the autocorrelation structure of seven Gulf Cooperation Council (GCC) stock markets. All the markets except for Dubai and Kuwait show significant first-order autocorrelation of returns. Bahrain, Oman and Qatar exhibit strong positive whereas Abu Dhabi exhibits negative autocorrelation of returns. In general, return autocorrelation conditional on a negative return day is higher than that conditional on a positive return day. Autocorrelation between weekdays is usually larger than that between the first and last trading day of the week. Use of dynamic volatility models gives evidence that for almost all the markets negative feedback traders are the dominant players to contribute to the autocorrelation of returns. Thus, traders are very keen to realize their profits too often, resulting in significantly positive return autocorrelation.

Payment Behaviour of Electricity Consumers: Evidence from the Greater Accra Region of Ghana

Electricity companies are typically businesses with significant credit sales. However, timely payment of bills on the part of customers, which is supposedly the most reliable source of cash flows for these utilities, has been generally very poor especially in the context of much of the developing world. The aim of the study is to identify a set of organizational and behavioural factors that influences the bill payment behaviour of customers of the Electricity Company of Ghana. Based on a survey of households in the Greater Accra Region of Ghana, our empirical analysis suggests that electricity utilities must work towards reducing the transaction time of customers at the bill collection centres and improving upon the quality of service and customer satisfaction in order to curtail customer bill payment period. These findings are robust to the influence of potentially extreme data points in our sample. We provide detailed discussion and policy implications of our findings.

The Payment Behavior of Water Utility Customers in the Greater Accra Region of Ghana: An Empirical Analysis

Although water is an essential commodity with virtually no substitute, poor bill payment on the part of water utility customers is constraining the effort of water utility companies, especially those in developing countries to sustain and expand its provision. In this backdrop, this article investigates the interrelationship and impact of a set of attitudinal and institutional factors on the bill payment behavior of water utility customers of Ghana. A conceptual model of payment behavior is developed and tested using data from a cross-sectional survey of households in the Greater Accra Region of Ghana (GARG) and the billing records of Ghana Water Company Limited (GWCL). Among the constructs considered in the analysis, service quality, corporate image, and monitoring and control are found to be the major determinants of customer satisfaction toward the water utility, which in turn, together with the direct influence of monitoring and control measures and transaction time at bill payment points, explains a significant part of the total variation in water customers’ bill payment behavior. We provide in-depth discussion and policy implications of our findings.

Stock return autocorrelation, day of the week and volatility: An empirical investigation on the Saudi Arabian stock market

Purpose - The main purpose of this paper is to investigate autocorrelation structure of stock and portfolio returns in a unique market setting of Saudi Arabia, where nearly all active traders are the retail individuals and the market operates under severe limits to arbitrage. Specifically, the authors examine how return autocorrelation of Saudi Arabian stock market is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design/methodology/approach - The sample consists of the daily stock price and index data of 159 firms listed in Tadawul (Saudi Arabian Stock Exchange) for the period from January 2004 through December 2015. The methodology of Safvenblad (2000) is primarily used to investigate the autocorrelation structure of individual stock and index returns. The authors also use the Sentana and Wadhwani (1992) methodology to test for the presence of feedback traders in the Saudi stock market. Findings - Results show that there is significantly positive autocorrelation in individual stock, size portfolio and market returns and that the last two are almost always larger than the first. Return autocorrelation is negatively related to firm size. Interestingly, return autocorrelation is positively related to trading frequency. For portfolios, autocorrelation of returns following a high absolute return day is significantly higher than that following a low absolute return day. Similarly, return autocorrelation during volatile periods is generally larger than that during tranquil periods. Return correlation between weekdays is usually larger than that between the first and last days of the week. Overall, the results suggest that the possible reason for positive autocorrelation in stock returns could be the presence of negative feedback traders who are engaged in frequent profit-taking activities. Originality/value - This is the first paper that thoroughly investigates the autocorrelation structure of the returns of the Saudi stock market using both index and individual stock returns. As this US

Swings in Sentiment and Stock Returns: Evidence from a Frontier Market

583bn (as of August 21, 2014) market opened to foreign institutional investors in June 2015, the results of this paper should be of significant value for the potential uninformed foreign investors in this relatively lesser known and previously closed yet highly prospective market.

Herding where retail investors dominate trading: The case of Saudi Arabia

We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show that shifts in investor sentiment are significantly positively correlated with excess market returns. Evidence of this direct impact of changes in sentiment on expected returns is robust across sample periods and alternative measures of sentiment we use in the analysis. In addition, we find that the magnitude of bullish or bearish sentiment changes also exerts an indirect effect on expected returns through its asymmetric influence on the conditional volatility process. Overall, our results suggest that shifts in investor sentiment in the market represent a systematic risk factor that is priced in equilibrium.