Showing papers in "International Journal of Banking, Accounting and Finance in 2014"
TL;DR: The analysis shows that the hybrid ARIMA-SVM model is the best forecasting model to achieve high forecast accuracy and better returns.
Abstract: The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to predict the stock index returns. The performance of ARIMA-SVM, ARIMA-ANN and ARIMA-RF are compared with performance of ARIMA, SVM, ANN and RF models. The various competing models are evaluated in terms of statistical metrics and trading performance criteria via a trading strategy. The analysis shows that the hybrid ARIMA-SVM model is the best forecasting model to achieve high forecast accuracy and better returns.
64 citations
TL;DR: In this paper, the authors investigated the impact of a bank's community responsibilities on financial performance and found significant evidence that banks were better off by adhering to their mandated community responsibilities.
Abstract: This paper investigates the impact of a bank’s community responsibilities on financial performance. It utilises various improved performance measures (short and long run performance, book and market value, labour productivity and overall productivity), as well as a test for causality. The paper finds significant evidence that banks were better off by adhering to their mandated community responsibilities. In fact, banks were more likely to be rewarded with lower cost of capital for both debt and equity. In terms of causality, the paper finds that social and financial performances could be codetermined; however, the relationship between these two variables seemed to be stronger in the direction of social responsibility having an impact on financial performance.
12 citations
TL;DR: In this paper, the authors examined the relationship between different levels of information disclosure and the subsequent impact on various measures of bank return and risk, including securitised assets and credit derivative activities.
Abstract: The purpose of this research is to identify the effects of information disclosure on commercial bank performance and stability Specifically, the study examines the relationship between different levels of information disclosure and the subsequent impact on various measures of bank return and risk The focus is on securitised assets and credit derivative activities, both of which were at the heart of the sub-prime mortgage crisis of 2008 Using a sample of 27 US bank holding companies (BHCs) for the period from June 2001 to December 2008, a significant relationship between the quantity and quality of information disclosure and bank performance and stability is observed A ‘switching’ behaviour is identified, whereby performance and stability initially decrease and then improve when additional information on a bank’s securitisation and credit derivative activities are disclosed This switching effect is possibly explained by economies-of-scale and a ‘learning curve’ effect The results provide guidance for managing both the volume and quality of information disclosed by both bank managers and the regulatory authorities
5 citations
TL;DR: In this paper, the authors investigated the major e-statement quality dimensions affecting the usage of e-statements by account holders in Malaysia, and to see how this use influenced behaviour.
Abstract: The objective of the current study was to investigate the major e-statement quality dimensions affecting the usage of e-statements by account holders in Malaysia, and to see how this use influenced behaviour. The study used a survey questionnaire distributed to a convenient sample of 1,000 bank account holders in Malaysia. An e-statement usage model was proposed based on a literature review and testing of two hypotheses. A multiple regression model was used to analyse the survey data. Only six predictor domains out of 13 were found to affect usage of the e-statements. It was also revealed that usage had a direct positive impact on behaviour. It was implied that financial institutions offering e-statement services should formulate bank marketing strategies that take into consideration e-statement quality dimensions that are highly evaluated by clients and which clients perceive as having the strongest impact on their usage of this service.
5 citations
TL;DR: In this paper, the authors examined the value relevance of unrealised gains/losses on non-agency securities owned by bank holding companies and how this valuation property may have changed in the recent crisis period.
Abstract: In this paper I examine the value relevance of unrealised gains/losses on non-agency securities owned by bank holding companies and how this valuation property may have changed in the recent crisis period. I find value relevance of these unrealised changes, but only in the crisis period. This implies that market investors consider these fair value revaluations useful despite concerns about their reliability as banks are more likely to liquidate these securities in the crisis period. A stronger relation between the unrealised changes and future-realised gains/losses in the crisis period provides economic rationale to the value relevance during this period.
2 citations
TL;DR: In this article, the authors used banking industry ratings produced by large credit rating agencies to investigate the factors affecting the vulnerability of a banking system and found that although the enactment of capital-based regulations is positively related to bank stability, capital ratios are not in themselves a reliable indicator of a bank system's resilience to systemic shocks.
Abstract: This paper uses banking industry ratings produced by large credit rating agencies to investigate the factors affecting the vulnerability of a banking system. Unlike previous research, which looks at past episodes of systemic distress and uses binary dependent models over wide (and potentially heterogeneous) time windows, we focus on recent years only (2011 and 2012), covering almost 100 countries. Our results, while largely consistent with past studies, include two noteworthy findings. First, although the enactment of capital-based regulations is positively related to bank stability, capital ratios are not in themselves a reliable indicator of a banking system’s resilience to systemic shocks. Second, while bank industry ratings adopt a different perspective from sovereign ratings, the latter are still a major driver of the risks faced by national banking industries.
2 citations
TL;DR: In this article, the authors conclude that, indeed, a bubble is building, but it is not likely to explode dramatically, with a significant increase in corporate bond and loan defaults, until at least late 2015 or more likely in 2016-2017.
Abstract: Bubble theories and concerns are becoming quite common these days for several asset classes, prompting discussions and warnings, including those from regulators. We now come to some key questions – are we in the midst of an inflating credit bubble and, if so, when is it likely that the bubble will burst? Contrarily, are we experiencing an extended period of opportunistic debt financing – a theory made popular amongst corporate finance theorists going back to at least the 1960s and 1970s. The evidence we have compiled leads us to conclude that, indeed, a bubble is building, but it is not likely to explode dramatically, with a significant increase in corporate bond and loan defaults, until at least late 2015 or more likely in 2016–2017. Fear, however, of a potential crisis in credit and equity markets may contribute to periods of negative price movements and increased volatility in these, and other, asset classes before the bubble actually bursts.
1 citations
TL;DR: In this article, the authors investigated the causal relations between risk ratings and stock prices in five BRICS countries (Brazil, Russia, India, China and South Africa), applying the Granger causality test over a period of 20 years from 1992 to 2012.
Abstract: This paper investigates the nature of causal relations between risk (economic risk, financial risk and political risk) and stock prices in five BRICS countries (Brazil, Russia, India, China and South Africa), applying the Granger causality test over a period of 20 years from 1992 to 2012. The study bridges a gap in the literature, as prior macroeconomic empirical investigation has been limited to a possible link between risk ratings and stock prices. Our modelling includes BRICS stock price indices and three risk ratings, namely economic risk ratings, financial risk ratings, and political risk ratings. To achieve our objective, two econometric methodologies were adopted: cross-country regressions and time series regressions. The empirical results of this study indicate that for Russia and China (and the BRICS counties as a group), there is a unidirectional causality between political risk and economic risk. Another noteworthy result was the fact that a unidirectional causality between economic risk and share prices were found for India and China (and the BRICS countries as a group), but not for the other countries under review. This indicates the important role that the stock market plays in the economies of India and China and hence provides an extra caution for prospective investors in these countries.