Yudhvir Seetharam

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• Ph.D (Finance)
• Professor at University of the Witwatersrand

Price explosiveness, typically observed in speculative markets such as cryptocurrencies and meme stocks, can also impact stable, mature stocks like those in the Dow Jones Industrial Average (DJIA). This study explores price explosiveness within the DJIA and examines how textual sentiment from news and social media influences this phenomenon. To ide...

This study examines the effect of Twitter economic policy uncertainty (TEU) directed at the USA and China on clean energy stock prices using wavelet analysis. Using a sample period between 2011 and 2022, we investigate the coherence of the variables in a time–frequency space. Our results show that TEU has a significant impact on the prices of clean...

This study examines the connectedness of firm-level online investor sentiment using Dow Jones Industrial Average constituent stocks. Leveraging two proxies of online textual sentiment, namely news media and social media sentiment, we investigate sentiment connectedness at two levels: frequency interval and asymmetric level. Frequency connectedness...

Purpose Sell-side equity analysts are key information intermediaries, although prior literature has found that they exhibit behavioural biases. The aim of this study is to describe the process followed by analysts in formulating recommendations and to identify the behavioural biases that are likely to influence the process. Design/methodology/appr...

The study uses time‐varying Granger causality models that incorporate two proxies for Twitter policy uncertainty and South African returns stock returns to investigate the causal relationship between Twitter uncertainty and South African stock returns for the period between 2017 and 2023. The findings demonstrate that Twitter Market Uncertainty and...

Motivated by the growing convergence between news media and social media as dominant sources of information dissemination, this study examines the connection between textual sentiment and stock returns. Previous studies have examined the effect of sentiment extracted from these two sources on stock returns independently, without modelling how one s...

Purpose The authors’ goal is to provide an overview and historical context for the various alternatives to the efficient market hypothesis (EMH) that have emerged over time. The authors found eight current alternatives that have emerged to address the EMH's flaws. Each of the proposed alternatives improves some of the assumptions made by the EMH, s...

This study investigates the relationship between Wikipedia searches and the next day’s realised skewness for the top four cryptocurrencies between 2020 and 2022, using a time-varying framework. Daily realised skewness was calculated using one-minute data, and Wikipedia queries were used as a proxy for investor attention. The study reports a positiv...

We investigate the quantile and asymmetric return connectedness among the BRICS stock exchanges between 1 January 2002 and 31 December 2022. Over the years the BRICS stock markets have become emerging market choices for global investors interested in international diversification. As a result, the characteristics of these markets and how they inter...

The purpose of the study is to examine higher moment connectedness among 12 cryptocurrencies using data sampled at the 1-minute high-frequency interval. We use methods that demonstrate the heterogeneity of agents from their distinct investing horizons. This includes wavelet multiple cross-correlations, CEEMDAN-based Diebold-Yilmaz (DY) connectednes...

The purpose of this study is to examine the connectedness of industry sectors on the Johannesburg Stock Exchange in a time–frequency domain. We use econophysics-based methods like the wavelet multiple correlation and wavelet scalogram difference to identify the evolution of the connectedness of the sectors over time and at different frequencies. Th...

Purpose Utilising a database that distinctly classifies firm-level ESG (environmental, social and governance) news sentiment as positive or negative, the authors examine the information flow between the two types of ESG news sentiment and stock returns for 20 companies listed on the Johannesburg Stock Exchange between 2015 and 2021. Design/methodo...

Purpose This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal policy uncertainty (FPU) and monetary policy uncertainty (MPU) in four nations, the USA, Japan, Greece and South Korea, between 1998 and 2021. Design/methodology/approach To comprehend the cross-category/cross-country evolution of unc...

Social media sentiment applied in the stock market is extracted from social media platforms and researchers have grappled with the way it influences different stock market features like returns, trading volume and volatility. The growth in Twitter, StockTwits, WeChat and Sina-Weibo social media platforms has provided investors with convenient avenu...

Purpose Literature shows that corporate governance matters more in countries with weak legal environments. The purpose of this study is to synthesise and map research that has been done so far on corporate governance in Zimbabwe, a country that has been characterised by weak legal systems and lack of respect for property rights. Design/methodology...

This study revisits stock market integration in Africa using an information‐theoretic framework that quantifies the flow of information between exchanges. We use daily return data for seven MSCI‐classified African stock exchanges between 2011 and 2021. As Bitcoin has become an important asset class on the African continent, we also explore whether...

Purpose One of the most important phenomena that have been confronted in the field of household finance is the stock market participation puzzle. The puzzle describes the anomaly that the majority of households do not have ownership of stock market products, though empirically stocks give higher expected returns than risk-free assets. The stock mar...

Purpose The authors examine how financial analysts respond to online investor sentiment when updating recommendations for specific stocks in South Africa. The aim is to establish whether online sentiment contains significant information that can influence analyst recommendations. The authors follow up the above by examining when online investor sen...

The authors examine the contemporaneous and causal association between tweet features (bullishness, message volume and investor agreement) and market features (stock returns, trading volume and volatility) using 140 South African companies and a dataset of firm-level Twitter messages extracted from Bloomberg for the period 1 January 2015 to 31 Marc...

Purpose While the momentum anomaly is prevalent in South Africa, few have examined the reasons influencing it. This study examines whether momentum profits vary through time and are affected by the state of the market and market volatility between 1998 and 2019. Design/methodology/approach The authors consider combinations of portfolio constructio...

The classical finance theory postulates that markets are informationally efficient and that the actions of arbitrageurs always bring stock prices to their correct values. Behavioural finance, on the other hand, emphasises the role of investor sentiment in the formulation of asset prices. In this study, we provide insights into the relationship betw...

Orientation: Behavioural finance research suggests that human biases can cause irrationalities which have a significant impact on decision making. Discovery Bank is an organisation that attempts to apply behavioural finance to improve the financial health of its clients. Research purpose: This study attempts to determine the extent to which the Di...

Purpose Recent studies have shown that low-volatility shares outperform high-volatility shares. Given the conventional finance theory that risk drives return, this study aims to investigate and attempt to explain the presence of the low-risk anomaly (LRA) in South Africa. Design/methodology/approach Using share prices from 1990 to 2016, various bu...

This study examines the role of economic policy uncertainty (EPU) in influencing firm performance and leverage as a form of financing decisions, in the presence of herding in the emerging markets of Brazil, Russia, India, China and South Africa (BRICS). This study contributes to our understanding of how businesses in emerging markets make financial...

Purpose Opinions have been divided on whether there is a rational explanation to the reason behind Seasoned Equity Offerings (SEOs) or whether the explanation lies within the behavioural intricacies attributed to stock market participants. Design/methodology/approach This study investigates the long-run performance of firms conducting SEOs on th...

The APT framework allows for a multitude of risk factors to be priced into asset returns, implying that it can be used to model returns using either macroeconomic or microeconomic factors. As such, the APT allows for non-traditional factors, such as investor sentiment, to be included. A macroeconomic APT framework was developed for nine countries u...

Understanding the stock market’s reaction to secondary equity offerings (SEOs) is vital for managers who are commonly tasked with deciding on how to finance their firm’s operations. This study investigated the short-run performance of firms conducting equity issuance on the Johannesburg Stock Exchange (JSE) over the period 1998–2015 by exploring bo...

Central banks currently perform inflation expectation surveys in order to better align their inflation expectations with that of the general public. However, surveys are time-consuming, complicated, expensive and not always accurate, thus compromising the credibility of these expectations. The complexity of inflation targeting and the difficulty of...

Central banks currently perform inflation expectation surveys in order to better align their inflation expectations with that of the general public. However, surveys are time-consuming, complicated, expensive and not always accurate, thus compromising the credibility of these expectations. The complexity of inflation targeting and the difficulty of...

Increased financial regulation with tougher capital standards and additional capital buffers has made understanding volatility in financial markets more imperative. This study investigates various forecasting techniques in their ability to forecast the South African Volatility Index (SAVI). In particular, a time-delay neural network’s forecasting a...

Through application of state-space modelling, the asset pricing model is re-explored. The result is an asset pricing model which tracks the evolution of investor probability beliefs and learning through a Kalman filter. This behaviourally inspired model shows marked improvement over a traditional asset pricing model, with pricing errors being reduc...

Purpose – The purpose of this paper is to expand on the sparse literature on non-linear modelling in South Africa and test for non-linearity of the market cycle on the Johannesburg Stock Exchange, with specific focus on a particular non-linear model – a Smooth Transition Auto-Regressive (STAR) model. Design/methodology/approach – Non-linear estima...

If Corporate Social Responsibility (CSR) activities are beyond a firm’s legal obligations and potentially require a sacrifice in short-term profits, why do firms promote CSR? This question motivates this investigation of the impact of CSR on a firm’s Corporate Financial Performance (CFP). This relationship is examined for the period from 2004 to 20...

This study examines the relationship between investor sentiment and stock returns in the South African Market. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. To test this prediction, the authors construct an aggregate measure of investor sen...

While most studies examine the impact of business confidence on market performance, we in-stead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer Confidence Index in South Africa and its effect on the...

To imagine that asset pricing is not dependant on behavioural heuristics and game theory, we are required to reduce the definition of the participants to that of utility maximising, risk-averse, uniform automata. This study examines this statement through an application of behavioural theory that speaks to the ability of investors to perceive risk,...

This research aims to encapsulate the idea by Lee (2003) and Bird and Casavecchia (2007b) by designing an investment strategy that exploits value, fundamental and momentum anomalies. This fusion strategy has underpinnings in the realm of behavioral finance, namely the value-growth phenomenon and the momentum effect. Using data of all shares listed...

Although the BRICS countries (Brazil, Russia, India, China, and South Africa) have drawn academic interest from a macroeconomic standpoint, they should also be examined from an investment perspective. A minimum-variance BRICS portfolio reveals the solid role of South Africa within the BRICS group; to minimize the variance of the BRICS portfolio, mo...

Decision theory is concerned with identifying values and uncertainties in a given decision that result in the optimal outcome (Wald, 1939). It is one of the core aspects of any financial or investment decision. We consider the case where the investor has the choice between a passive index (such as a market index) and an actively managed mutual fund...

Herding behaviour can be captured by the relationship between share price movements with the market, typified by beta. We examine herding behaviour for the period 1995 to 2011 and find that it is absent overall, yet present during bear market periods only. When examined alongside the market cycle, herding appears to dramatically fluctuate before...