This book is an in-depth research and description of the nature of the capital markets, their operations and the continual variability of IPOs initial returns. The frequent volatility of returns during the first day, monthly and yearly trading of stocks as they are constantly influenced by the firm-specific factors as well as macroeconomic factors are the basics of the book.Two emerging markets (Nigerian Stock Exchange and the Sri Lankan Stock Exchange) were used to demonstrate the impacts of these factors. The author goes ahead to determine corporate fraud using the abnormal movements of prices and assuming variable proxies. A new fraud determination approach has been developed especially when cases of fraud are not easily obtainable and or visible. Nevertheless, knowledge and scientific evidences prove that the capital market is a market where monies are created, mobilized but veils its participants when not carefully studied and valued.