School of Business (SOB)

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Author: search.filters.author.Komba, Gabriel VitusSubject: search.filters.subject.Dar es Salaam Stock Exchange

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    Do investors herd in frontier marker? Evidence from the Dar es Salaam Stock Exchange
    (Mzumbe University, 2020) Komba, Gabriel Vitus
    The purpose of this study is to investigate the presence of herding effects at the Dar-es-Salaam Stock Exchange. It employs a dataset of daily closing prices and market capitalizations of companies composing the industrial and allied sectors, and those covering banks, finance, and investment sectors. The study used cross-sectional dispersion of stock return tests to examine the presence of herding for the two sectors. The findings provide evidence of herding in the banks, finance, and investment sectors throughout the full-sample period, with the herding being driven mainly by large-capitalization stocks. Furthermore, the results indicate clear presence of herding asymmetries conditional on the performance of the market and on the market’s volatility. On the case of the industrial and allied sector, herding is found to be stronger on days with low volatility only. The economic implication of this evidence is that the observed correlated trading patterns for the banks, finance, and investment sector may undermine financial stability.
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    Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange
    (Elsevier, 2016) Komba, Gabriel Vitus; Guney, Yilmaz
    This paper investigates into the weak-form efficiency of the Dar es Salaam Stock Exchange (DSE), a frontier market, in Tanzania. The study covers the period from January 2007 to December 2014. To establish the consistency and robustness of the obtained conclusions, we employ different tests (i.e., Augmented Dickey-Fuller test, Variance-ratio test, and Ranks and Sign test) to examine the hypothesis that the returns based on the price and return indices follow a random walk process. The results provide convincing evidence that returns series based on price indices indeed follow a random walk. However, when the same tests are performed for the returns based on the return indices, the findings reveal that these series are not weak-form efficient, suggesting that investors might be able to predict future returns based on the current and past data.