Showing papers in "Journal of Emerging Market Finance in 2018"
TL;DR: In this article, the existence of herding behavior in the Egyptian stock market during the 2011 revolution period was examined using daily and monthly data, and the authors found that there was no herding behaviour in the stock market.
Abstract: This article examines the existence of herding behaviour in the Egyptian stock market during the 2011 revolution period. Using daily and monthly data, we test for the existence of herding for the w...
27 citations
TL;DR: In this article, the relationship between institutional investor ownership and dividend payouts using a large sample of NSE-listed non-financial firms during the period 2001 to 2016 was examined.
Abstract: We examine the relationship between institutional investor ownership and dividend payouts using a large sample of NSE-listed non-financial firms during the period 2001 to 2016. Consistent with the ...
21 citations
TL;DR: This paper examined if macroeconomic factors impact cash holdings and how it influences the speed of adjustment of cash to target levels using the Arellano-Bover/Blundell-Bond dynamic panel model.
Abstract: We examine if macroeconomic factors impact cash holdings and how it influences the speed of adjustment of cash to target levels using the Arellano-Bover/Blundell-Bond dynamic panel model. We analys...
17 citations
TL;DR: The authors explores the theoretical background of Basel III and investigates the drivers of interest rate risk and credit risk of banks in various parlances, namely, pre and post the financial crisi...
Abstract: The study explores the theoretical background of Basel III and investigates the drivers of interest rate risk and credit risk of banks in various parlances, namely, pre and post the financial crisi...
17 citations
TL;DR: In this article, the weak form of the Efficient Market Hypothesis (EMH) for the Kuwait Stock Exchange (KSE) has been investigated, and the authors test whether share returns on the KSE exhibit patterns which...
Abstract: This article investigates the weak form of the efficient market hypothesis (EMH) for the Kuwait Stock Exchange (KSE). In particular, it tests whether share returns on the KSE exhibit patterns which...
13 citations
TL;DR: In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers can beat the benchmarks as discussed by the authors, and they examine the existence of sup...
Abstract: In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of sup...
11 citations
TL;DR: The authors examined the relationship between sentiment and Mexican stock market returns and found that there is a positive dynamic relationship between rational Mexican sentiment and equity market returns with respect to the stock market performance.
Abstract: We examine the relationship between sentiment and Mexican stock market returns Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns Results
11 citations
TL;DR: In this paper, the authors examined whether the diversification of operating income in Korean banks has persistently enhanced the performance of Korean banks and found that despite Korean banks' efforts to diversify their operating income, the results show that despite these diversification efforts, Korean banks still performed poorly.
Abstract: This article examines whether the diversification of operating income in Korean banks has persistently enhanced the performance of Korean banks. The results show that, despite Korean banks’ efforts...
10 citations
TL;DR: The past decade has witnessed increasing trade and capital flow movements between BRIC countries (Brazil, Russia, India and China) and the USA indicating a need for a better understanding of curren...
Abstract: The past decade has witnessed increasing trade and capital flow movements between BRIC countries (Brazil, Russia, India and China) and the USA indicating a need for a better understanding of curren...
10 citations
TL;DR: In this paper, the speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers, and the authors provide a simple and uniform...
Abstract: The speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers. In this article, we provide a simple and uniform...
10 citations
TL;DR: In this paper, the authors established a link between ownership and performance by studying commercial banks and found that ownership and their performance form two important dimensions of the entire gamut of banking function.
Abstract: Banks’ ownership and their performance form two important dimensions of the entire gamut of banking function. This article strives to establish a link between the two by studying commercial banks i...
TL;DR: In this article, the authors extend the literature by introducing a new category of factors, "PE investor characteristics", and test if this category has a significant effect on the choice of exit method.
Abstract: The choice of exit method is an inevitable decision faced by entrepreneurs and private equity (PE) investors. The existing literature addresses four categories of factors which influence this choice of exit method between initial public offering (IPO) and acquisition: industry-related factors, market-timing variables, deal-specific factors and demand-for-funds factors. We extend the literature by introducing a new category of factors, ‘PE investor characteristics’, and test if this category has a significant effect on the choice of exit method. We also test if the type of entry has an influence on the exit method. We find that PE investor characteristics play an important role in the choice of exit method. The existence of a large syndicate of PE investors in the same firm increases the probability of an IPO exit, but the presence of a foreign PE investor reduces this probability. Moreover, unlike in developed markets, the cost of debt does not affect the choice of exit method in India. We further conside...
TL;DR: In this paper, the effects of state ownership and government interventions on lending behavior and capitalisation of banks over the period 2005-2011 were examined using data from the highly state-influe...
Abstract: This article examines the effects of state ownership and government interventions on lending behaviour and capitalisation of banks over the period 2005–2011. Using data from the highly state-influe...
TL;DR: In this article, the stochastic volatility model was used to model the Peruvian financial times series and compared with generalized autoregressive CCAE model with the same authors.
Abstract: This study is one of the first to utilize the stochastic volatility (SV) model to modelling the Peruvian financial times series. We estimate and compare this model with generalized autoregressive c...
TL;DR: In this paper, the authors examined the long-run performance of the initial public offerings (IPOs) listed in the Malaysian main and alternative ACE markets at the economic and political level.
Abstract: This study examines the long-run performance of the initial public offerings (IPOs) listed in the Malaysian main and alternative ‘Access, Certainty and Efficiency’ (ACE) markets at the economic and...
TL;DR: In this article, the authors used high-frequency stock returns in the Indian banking sector and found that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta.
Abstract: Using high-frequency stock returns in the Indian banking sector, we find that the beta on jump movements substantially exceeds that on the continuous component, and that the majority of the information content for returns lies with the jump beta. We contribute to the debate on strategies to decrease systemic risk, showing that increased bank capital and reduced leverage reduce both jump and continuous beta with slightly stronger effects for capital on continuous beta and stronger effects for leverage on jump beta. However, changes in these firm characteristics need to be large to create an economically meaningful change in beta.
TL;DR: In this article, the authors employed the data from 155 companies from 27 different industries listed on the Tehran Stock Exchange (TSE) for the period from 2000 to 2009 to examine the direction of causality between cash flow and earnings after taking consideration of stationarity and co-integration.
Abstract: This paper employs the data from 155 companies from 27 different industries listed on the Tehran Stock Exchange (TSE) for the period from 2000 to 2009 to examine the direction of causality between cash flow and earnings after taking consideration of stationarity and co-integration. The results indicate that there is a bidirectional causal relationship between cash flow and earnings at the level of all individual companies, so that cash flow variables caused earning variables and vice versa. However, at the level of industrial sectors, causality exists only between Profit before Interest and Taxation (EBIT) and Cash Flow from Operating Activities (CFOA).
TL;DR: In this paper, the authors investigated the factors that affect the adoption of mobile financial services (MFS) in emerging economies like Ghana and found that MFS have emerged as an indispensable tool to promote financial inclusion.
Abstract: Mobile financial services (MFS) have emerged in recent years as an indispensable tool to promote financial inclusion in emerging economies like Ghana. This article investigated the factors affectin...
TL;DR: In this article, the authors examined the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected the stability of the South China Sea.
Abstract: This study examines the extent to which the Hai Yang Shi You 981 (HD-981) event, the sudden deployment of a Chinese oil rig in disputed territorial waters near Paracel Islands in May 2014, affected...
TL;DR: In this article, the authors show that M&A deals in emerging markets are more likely to cause short-run effects of mergers and acquisitions announcements on acquiring firm's shareholders wealth.
Abstract: Consistent with other evidence on short-run effects of mergers and acquisitions (M&A) announcements on acquiring firm’s shareholder wealth in emerging markets, our study reveals that M&A deals in I...
TL;DR: In this paper, the performance of conditional and unconditional capital asset pricing model and Famaâ€"French model augmented with a downside risk, that is, the value-at-risk (VaR) factor and an illiquidity factor as additional risk factors using the discount factor methodology of Cochrane (1996).
Abstract: This article investigates performance of conditional and unconditional Capital Asset Pricing Model and Fama–French model augmented with a downside risk, that is, the value-at-risk (VaR) factor and an illiquidity factor as additional risk factors using the discount factor methodology of Cochrane (1996). Using monthly portfolio data as test assets from the Pakistani stock market from January 1993 to January 2013 we provide empirical evidence on the efficacy of the VaR and illiquidity factors in asset pricing. We find that these factors improve the efficacy of the Fama–French model and including these factors reduces the explanatory power of co-kurtosis factor.
TL;DR: In this article, the authors investigated the relation between portfolio concentration and the performance of emerging management styles, and found that portfolio concentration is correlated with the consistency of the management styles of emerging managers.
Abstract: In the branch of literature dealing with analysis of the consistency of management styles, this article investigates the relation between portfolio concentration and the performance of emerging mar...
TL;DR: In this paper, the authors examined the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification.
Abstract: This study examines the impact of market-wide volatility on time-varying risk using the heteroscedastic market model with EGARCH (1,1) specification. Using daily sector returns from the Qatar Stock...
TL;DR: In this article, the authors show how the ICAPM with Markov regime switching can model the asset returns in the emerging market of Mexico, for most assets, although sign...
Abstract: The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although sign...
TL;DR: In this paper, the authors compared efficiencies of dividend and earnings growth models with historical model in predicting the unconditional expected expected equity risk premium (ERP) in addition to analysing the impact of different models.
Abstract: The article compares efficiencies of dividend and earnings growth models with historical model in predicting the unconditional expected equity risk premium (ERP) in addition to analysing the impact...
TL;DR: In this paper, the authors posit a simple mathematical model to show that a profit-and-loss sharing contract can be formed between a capital seeker and a capital provider as a potential alternative to institutional debt fin...
Abstract: We posit a simple mathematical model to show that a profit-and-loss sharing contract can be formed between a capital seeker and capital provider as a potential alternative to institutional debt fin...
TL;DR: In this paper, the authors examined the relationship between the value of the firm and unanticipated changes in exchange rate and found that the intervention by central bank has a major impact on the level of Indian firms' exchange rate exposure.
Abstract: This study examines the relationship between the value of the firm and unanticipated changes in exchange rate. Using a sample of 651 Indian firms over the period from 2001 to 2013, this study finds that unanticipated changes in exchange rates are more appropriate than actual changes to discover statistically significant and economically important exchange rate exposure. Using a vector error correction model (VECM) to generate unanticipated exchange rate changes, this study provides new evidence that the intervention by central bank has a major impact on the level of Indian firms’ exchange rate exposure.
TL;DR: In this paper, the authors examined the behavior of cointegration-based pairs trading strategies under different market conditions and reported that changes in market conditions affect the stability of long-run relations between pairs of stocks, suggesting that arbitrageurs should perform rebalancing between the examined stocks when a change in market trend is evident.
Abstract: In this article, we examine the behaviour of cointegration-based pairs trading (PT) strategies, under different market conditions. Reported results indicate that changes in market conditions affect the stability of long-run relations between pairs of stocks, therefore suggesting that arbitrageurs should perform rebalancing between the examined stocks when a change in market trend is evident. The applicability of our results may be of importance to market participants; although cointegration applications have received considerable attention from hedge funds adopting statistical arbitrage (SA) strategies, little evidence has been reported for the validity of these trading strategies under changing market conditions.
TL;DR: In this paper, the authors used three multivariate general autoregressive conditional heteroskedasticity models to analyze the volatility dynamics in the ASEAN-China Free Trade Agreement.
Abstract: This study used three multivariate general autoregressive conditional heteroskedasticity models to analyze the volatility dynamics in the ASEAN–China Free Trade Agreement. Results indicated the pre...
TL;DR: In this paper, the authors examined the effects of bank-specific, regulatory and macroeconomic determinants on solvency, risk provisioning, and profitability in the Armenian banking sector.
Abstract: The aim of this study is to examine the effects of bank-specific, regulatory and macroeconomic determinants on solvency, risk provisioning, and profitability in the Armenian banking sector. We show...