Streamlining Investors’ Perceptions and the Behaviour of Capital Market Returns Around the World

(Pages 439-456)

Ejem Chukwu Agwu*
Department of Banking and Finance, Abia State University, Uturu, Nigeria


This study adopted various econometric tools (Descriptive Statistics, Unit tests, Autocorrelation test, Pairwise Granger Causality test, Ordinary Least Square test, Normality/Random Walk test, Variance Ratio test and ARCH-GARCH models) to streamline the diverse investors’ perceptions and behaviours of the capital market returns around the world. The study employed daily historical data from May 18, 2015 to June 6th, 2022, from prominent capital markets each from all the continents of the world: Nigeria, South Africa, USA, Germany, United Arab Emirate and China. Results of the analysis revealed that none of the market follows the random walk theory, hence investors cannot use the past data about the markets to predict their outcome. ARCH-GARCH models results showed that all the countries exhibited property of stock returns distribution known as volatility clustering or volatility pooling. The persistence parameter found that shocks to the conditional variance are persistent for all the capital markets under study. Asymmetric parameter results that all the countries except Nigeria corroborate the leverage effect theory; bad news create more volatility than good news of the same magnitude. Since all the markets under study do not follow random walk, demystifying the efficient market hypothesis, meaning that the behaviours of investors, heavily influenced by share prices deviated from the economic fundamentals or assumptions. This means that psychology of investors influence investment decision-making process and financial markets. Therefore, the researcher advises among others to place more emphasis on the theory of behavioural finance as a guide for decision concerning stock market investments.


Stock market returns, Random walk, Behavioural finance, ARCH effects.

JEL Codes:

C32, C58, G14, G41.

How to Cite:

Ejem Chukwu Agwu. Streamlining Investors’ Perceptions and the Behaviour of Capital Market Returns Around the World. [ref]: vol.20.2022. available at:

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