Purpose – The purpose of this paper is to examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods.Design/methodology/approach – The analysis uses a novel way to study contagion using wavelet methods. The comparison is made between co‐movements at different time scales. Co‐movement methods of the discrete wavelet transform and the continuous wavelet transform are applied.Findings – Clear signs of contagion among the major markets are found. Short time scale co‐movements increase during the major crisis while long time scale co‐movements remain approximately at the same level. In addition, gradually increasing interdependence between markets is found.Research limitations/implications – Because of the chosen method, the approach is limited to large data sets.Practical implications – The research has practical implications to portfolio managers etc. who wish to have better view of the dynamics of the international equity markets....

Contagion among major world markets: a wavelet approach

Purpose – The purpose of this paper is to provide an insight into the differences in the risk management practices of Islamic financial institutions (IFI) and conventional financial institutions (CFI) in Pakistan.Design/methodology/approach – The study makes use of primary data collection method using a questionnaire survey.Findings – Literature review discovered that the types of risks faced by both types of financial institutions can be classified under six categories. The research concludes that credit risk, equity investment risk, market risk, liquidity risk, rate of return risk and operational risk management practices in IFI are not different from the practices in CFI. Whereas the overall risk management practices of IFI and CFI are alike in Pakistan.Research limitations/implications – Further research with a larger sample size is recommended.Practical implications – The paper opens our eyes to the fact that much is unknown about the risk management practices in Pakistani financial system, creating ...

Differences in the risk management practices of Islamic versus conventional financial institutions in Pakistan

This paper examines the co-movements dynamics between OCDE countries with the US and Europe. The core focus is to suggest advantageous techniques allowing the investigation with respect to time and frequency, namely evolutionary co-spectral analysis and wavelet analysis. Our study puts in evidence the existence of both long run and short-run co-movements. Both interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can derive worthwhile information from this research. Recognizing countries sensitivity to permanent and transitory shocks enables investors to select rational investment strategies. Similarly, policymakers can make safe crisis management policies.

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Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis

Predicting the financial failure of companies using financial ratios is a topic that has been explored in various ways for many years, and the current economic climate suggests that these models may still be more useful than ever. Various financial ratios and bankruptcy prediction methods have been used in order to try to find the most accurate prediction model possible. With historically successful retailers, like Sears, Kmart and JCPenney, struggling in recent years, predicting the future of retailers has become even more important. Therefore, this paper focuses specifically on the application of a failure prediction model to companies from the retail industry. Logistic regressions are used in this study in order to attempt to predict which companies are likely to fail. The sample for this study includes publicly traded United States companies from the retail industry, and data is collected from the COMPUSTAT database for the period from 2005-2012. Based on prior studies, the author hypothesizes that companies are most likely to fail if they are unprofitable, highly leveraged, and having cash flow problems. As expected, the results demonstrate that smaller retail companies with fewer employees are more likely to fail. The results also provide strong evidence that firms with lower cash to current liability ratios, lower cash flow margins, and higher debt to equity ratios are more likely to file for bankruptcy.

Predicting The Financial Failure Of Retail Companies In The United States

Banks are facing varied issues worldwide. The existing set of performance measures of banks lack a cohesive and concerted approach for adequate fulfilment of the purpose. This study proposes a holi...

https://journals.sagepub.com/doi/pdf/10.1177/09722629211034417

Banks in India: A Balancing Act Between Profitability, Regulation and NPA:

Purpose – Commercial and Islamic banks are important players in the UAE financial market. However, little is known about their financial distress because these financial institutions usually resolve financial distress within their own organisations, which means that outsiders cannot explicitly observe distress. The purpose of the research is therefore to identify the main drivers of financial institutions' financial distress.Design/methodology/approach – The paper estimates a probability distress prediction model using the BankScope Database and the annual reports of UAE financial institutions submitted to UAE Security Exchange Authority. The paper also analyses the impact of macroeconomic information for forecasting financial institutions' financial distress.Findings – The fundamentals of financial institutions in terms of cost income ratio, equity to total assets, total asset growth and ratio of loan loss reserve to gross loans (all these variables with a lag of one year) positively impacted the probabi...

Rahim Bah

Papers

Assessing probabilities of financial distress of banks in UAE