Showing papers in "Emerging Markets Review in 2017"

TL;DR: This article examined the effect of economic policy uncertainty on cash holding decisions of firms in BRIC countries and found that firms prefer to hold more cash when uncertainty increases after controlling for firm level variables with industry and year fixed effects.

TL;DR: In this article, a Turkey Corporate Governance Index (TCGI) composed of sub-indices for board structure, board procedure, disclosure, ownership, and shareholder rights is proposed.

TL;DR: In this article, the authors examined the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market.

TL;DR: In this article, the predictive power of implied volatility in commodity and major developed stock markets for the implied volatility of individual BRICS stock markets is examined, and the authors employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016).

TL;DR: In this paper, the authors conducted a panel analysis of Islamic and conventional banks to ascertain whether Islamic banks are able to sustain financing supply and whether its growth is higher than conventional bank lending growth in times of stress.

TL;DR: In this paper, the authors examined the impact of stock market indicators on CO2 emissions across a global panel of both developed and emerging market economies, and found that stock markets have a significant negative and positive impact on carbon emissions in developed and developing countries, respectively.

TL;DR: In this article, the authors provide an empirical evaluation of the five-factor model recently presented by Fama and French (2015a) that augments the traditional three factor model with two new factors related to profitability and investment, taking into account the bias in mean returns induced by noise in prices.

TL;DR: In this paper, the authors compared the performance of four popular factor pricing models (Sharpe, 1964, the three-factor model of Fama and French (1993), Carhart (1997), and the five-factor models (2015a) over a broad range of cross-sectional return patterns in emerging European markets.

TL;DR: In this paper, the impact of monetary policy on banks' risk-taking by using bank-level panel data from more than 1000 banks in 29 emerging economies during 2000-2012 was addressed.

TL;DR: In this article, the authors examined how technology, culture and corporate governance drive inward FDI in emerging economies and found that technology is the major attractive factor influencing inward investment in 22 emerging economies.

TL;DR: The authors applied a dynamic GMM model on data from 2310 commercial banks in 30 oil-exporting countries over the period 2000-2014, and found that changes in oil prices do have a significant impact on bank non-performing loans (NPLs).

TL;DR: In this article, the authors analyzed a unique data set of publicly traded firms based in six Latin American countries to study the joint effect of ownership concentration and composition on dividend policy and found that when ownership concentration is high and the largest investor is identified as an individual, firms tend to pay fewer dividends consistent with individual investors extracting benefits from minority shareholders.

TL;DR: In this article, the authors analyze whether changing from local to international accounting standards improves the quality of accounting for Latin American companies and identify whether fundamental accounting variables are more relevant and increase earnings timeliness after companies adopt the International Financial Reporting Standards.

TL;DR: In this article, the authors examined the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each major developed stock markets (U.S., UK and Japan), using the wavelet squared coherence approach as well as a wavelet-based Value at Risk (VaR) method.

TL;DR: In this paper, the authors report new evidence on the bank and institutional determinants of Islamic bank capital ratios in 28 countries between 1999 and 2013 and find that smaller, more profitable, and highly liquid Islamic banks are more highly capitalized.

TL;DR: In this paper, the authors analyzed the importance of considering spillover effects between emerging Asian Islamic indexes based on the Bivariate VARMA-BEKK-AGARCH model of McAleer et al.

TL;DR: In this paper, the authors estimate multivariate quantile models to measure the responses of the six main Latin American stock markets to a shock in the United States (US) stock index and compare the regional responses with those of seven developed markets.

TL;DR: In this article, a semi-parametric methodology consistent with dynamic conditional correlations and high-order moments was proposed to jointly estimate transmissions in volatility, skewness and kurtosis in highly volatile scenarios among developed and emerging markets.

TL;DR: In this paper, the authors study the firm value determinants for domestic acquisitions within BRICS countries considering both acquirer and target shareholders, and find that targets earn significant positive announcement returns of 1.45% on average.

TL;DR: In this paper, the authors investigated both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios, and they found that both Islamic investors and conventional fund managers of a specific asset class can benefit from conventional and traditional asset classes, respectively, in several regimes.

TL;DR: In this paper, the authors examined stock market reactions to public announcements (corporate bond rating changes), including changes in stock prices and investor behavior in terms of trading volumes and patterns, and found that significant abnormal volumes and order imbalances are found around rating changes, and the extent to which each investor group (domestic individuals, domestic institutions, or foreign investors) reacts to a rating change varies.

TL;DR: In this paper, the authors investigated the relationship between stock prices and exchange rates in eleven emerging markets over the period of 1988 to 2014 using cointegration methodology and multivariate granger causality tests.

TL;DR: In this paper, structural, financial, developmental, institutional, and macroeconomic determinants of bond market development for a sample of 22 emerging and developing countries over the period 1990-2013 were investigated.

TL;DR: In this article, the authors investigate the impact of sovereign wealth fund acquisitions on the performance of target firms' competitors and find a positive and significant impact of SWFs acquisitions on target firms" competitors.

TL;DR: In this paper, the determinants of discouragement in less developed countries in Eastern Europe and Central Asia were examined using the fourth-round database of the Business Environment and Enterprise Performance Survey (2008/09 BEEPS).

TL;DR: In this paper, the authors investigated the risk contribution of the Chinese stock market to four representative developed markets by using the extended Kolmogorov-Smirnov statistic by a bootstrap strategy.

TL;DR: In this paper, the authors analyse the time-varying changes of the three parameters, volatility, efficiency and integration on stock markets across emerging markets using a four-step process with focus on Multifractal Detrended Fluctuation Analysis.

TL;DR: In this article, the authors examined the impact of political risk in the MENA region on the cost at which firms can raise capital and found that political risk results in a higher cost of capital.

TL;DR: In this paper, the influence of monetary and fiscal policy variables on the market and firm level liquidity of eight emerging stock markets of Asia was investigated using four different (il)liquidity measures and nine macroeconomic variables.

TL;DR: This article investigated the empirical relationship between aggregate mutual fund flows and stock market volatility in Asian emerging markets by providing a comparative analysis of equity and balanced funds with market-wide volatility using a panel vector autoregressive model.