Beta, as a measure of risk based on market prices of shares, has been widely\ndebated and researched in the strong, semi-strong and weak markets. It has\nbeen proved that there is neither negative nor abnormal beta. Past studies\nrarely considered frontier and infant markets such as Dar es Salaam Stock\nExchange (DSE) while studying beta and its behavior. By means of the corresponding\nclosing share prices of 17 companies during a continuous 246-day\ntrading period in 2018 extracted from DSE database, this study examines the\ntrading frequency anomalies in infant markets by testing returns and sensitivity\nof shares and portfolios. Through computing the betas of DSE traded\nshares, this study has found many abnormalities. The shares showed infrequent\ntrading like bonds. The prices were constant over a short period of\ntime, and sometimes the shares were not traded at all. Due to this small volatility,\nthe shares showed abnormal behavior which resulted in negative beta\nsometimes. We concluded that this could be due to two major reasons.\nFirstly, there is insufficient knowledge on the share market among the East\nAfrican investors and the public, and secondly, the markets are rather young\nand the trading platforms and infrastructures are not so well-established. We,\ntherefore, suggest the policy makers to optimize share trading in the region\nby considering the findings of this study.
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