Search

This paper provides evidence regarding the impact of soft information on foreign bank efficiency in the ASEAN-5 market in the years following the Asian crisis. The analysis presented here develops previous literature by disaggregating soft information into five difference types and examining whether institutional quality (proxied for by host-country economic risk stability index) mitigates the impact. Using a three-stage estimation process we find that soft information does indeed affect foreign banks’ efficiencies in an identifiable manner, but host-country institutional quality acts so as to significantly lessen the effect.

The main aim of the present study is to examine the possible nonlinear relations between foreign direct investments and environmental deterioration for subpanels separated according to the income levels of countries by using the classification made by the World Bank. Total energy consumption, economic growth, and renewable energy share are also considered as determinants of environmental deterioration in the model. Cross-sectional dependence is observed; hence, appropriate panel data unit root and cointegration tests are utilized for which results pointed out mixed integration order. Pooled mean group (PMG) estimator panel auto-regressive distributed lag (ARDL, hereafter) approach is adapted to observe short- and long-run relationships between the variables. Long-run results supported the pollution haven hypothesis as foreign direct investments caused an increase in ecological footprint. Findings are sensitive to different income levels of the subpanels of countries. This empirical study suggests tailored policymaking for every income level subpanel to ensure sustainable development.

Purpose The purpose of this paper is to empirically investigate the effect of real credit ratings change on capital structure decisions. Design/methodology/approach The study uses three models to examine the impact of credit rating on capital structure decisions within the framework of credit rating-capital structure hypotheses (broad rating, notch rating and investment or speculative grade). These hypotheses are tested by multiple linear regression models. Findings The results demonstrate that firms issue less net debt relative to equity post a change in the broad credit ratings level (e.g. a change from A- to BBB+). The findings also show that firms are less concerned by notch ratings change as long the firms remain the same broad credit rating level. Moreover, the paper indicates that firms issue less net debt relative to equity after an upgrade to investment grade. Research limitations/implications The study covers the periods of 2009 to 2016; therefore, the research result may be affected by the period specific events such as the European debt crisis. Moreover, studying listed non-financial firms only in the Tadawul Stock Exchange has resulted in small sample which may not be adequate enough to reach concrete generalization. Despite the close proximity between the GCC countries, there could be jurisdictional difference due to country specific regulations, policies or financial development. Therefore, it will be interesting to conduct a cross country study on the GCC to see if the conclusions can be generalized to the region. Originality/value The paper contributes to the literature by testing previous researches on new context (Kingdom of Saudi Arabia, KSA) which lack sophisticated comparable studies to the one conducted on other regions of the world. The results highlight the importance of credit ratings for the decision makers who are required to make essential decisions in areas such as financing, structuring or operating firms and regulating markets. To the best of the authors’ knowledge, this is the first study of its kind that has been applied on the GCC region.

In this paper it is assumed that equity markets reflect the development of the overall economy of a country. Equity markets, among other factors, are considerably affected by factors such as inflation or deflation. Therefore, when inflationary or deflationary pressures appear, Central Banks try to manage those pressures in order to minimise their impact on the economy. In this paper, the case of Japan will be examined. Japan can be considered an example of a country which was under extended deflationary pressures for about three decades. In this study, the authors investigate different time frames for the Japan equity market. The research is based on Japan equity market (NIKKEI) returns. The authors aim to answer the question of whether the Japanese market complies with the Efficient Market Hypothesis (EMH) for different time frames, as well as test analytically if Japan’s stock market and economy have improved after the implementation of different attempts at Quantitative Easing (QEs), a Zero Interest Rate Policy (ZIRP) or a Negative Interest Rate Policy (NIRP) to curb deflationary impacts on the economy. The analysis and obtained results could be useful for risk and portfolio management, and could be extended to other markets.

The goal of this study is to determine the elements that contribute to the profitability of commercial banks in Saudi Arabia. The study is important due to the fact that Saudi vision 2030 foresees Saudi Arabia as a global investment powerhouse and fulfilling this objective requires a profitable banking sector. The method chosen for the study is multiple regression analysis. The sample data is taken for the period ranging 2009 and 2015 for the 12 local banks. The research concludes that bank’s internal factors specifically, bank size, liquidity, credit risk and operational efficiency are significantly determining the profitability in the banks as compared to the economy’s macro-economic variables.

Previous studies on company scores conducted at firm-level, generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies, this study examines the relationship between company scores (Corporate Governance Score, Economic Score, Environmental Score, and Social Score) and stock returns, both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis, stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then, existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1) is tested. In addition, firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns; firm-level analysis indicates that economic, environmental, and social scores have effect on stock returns, however, significance and direction of these effects change, depending on the included control variables in the cross-sectional regression.

Investing in stock market indices or ETFs could be more reasonable (and secure) for relatively new and incognisant investors who are personally unable to value of each stock–firm in a way. This paper attempts to group the well-known four largest emerging stock markets so-called BRIC or big-four economies namely Brazil, Russia, India and China based on return characteristics through Ward's hierarchical clustering method over the period of 2005 and 2015. Additionally, the first principle component (PCA) of the related indices is calculated and the abnormal variability is observed through control chart over time. Results indicate that Brazilian and Indian markets show more similarity over the studied period.

The aim of this paper is to develop a macroeconometric model for emerging economies as in the case of Bahrain (the most open economy in GCC region) to measure the impact of human capital investment on key macroeconomic indicators (1990 through 2016). The paper also makes an attempt to forecast the effects of changes in government spending on education as a percentage of GDP on the country’s key macroeconomic variables through simulation under 3 different scenarios for the next five years. The main findings point out that an increase in government spending on education over time has a positive influence on human capital in terms of increased employment along with positive effect on output, private investments and consumption whilst contributing to lower inflation rate.

This article focuses on the asset price volatility at the stock exchange that result from the regime switching behaviour in the market. This study is devoted to the question about how the asset price volatility affects the US sovereign debt market. The efficient market hypothesis has been a base for the asset pricing. This hypothesis is discussed in this study. The review of the literature reveals nuances of behavioural finance theory, and allows us to better understand the regime switching behaviour in the market. The object of empirical study is the US sovereign debt market. We use the Markov Regime-Switching ARCH (SWARCH) model to analyse data. The results show that there is high volatility regime in both the 2012 and 2017 bonds US market, which significantly affects bond prices.

Investment in stock market requires taking risk. Investors typically buy several stocks to create a portfolio which targets to maximize the return while keeping a certain level of risk. In today’s information-rich financial markets, one of the main challenges for individual investors in particular is to allocate the scarce sources appropriately within the wide range of investment alternatives that grouping the multiple assets based on their similar characteristics would be useful to take it out. In this paper, stock markets of the Group of 7 (G-7) countries consisting of France, United Kingdom, Germany, Italy, United States, Canada and Japan are examined over the period of 2011 and 2016 and some hierarchical clustering methods are applied on key indices namely, CAC 40 (France), FTSE 100 (UK), DAX (Germany), FTSE MIB (Italy), S&P TSX Composite (Canada), S&P 500 (USA), NIKKEI 225 (Japan) to identify the groups based on risk and return characteristics. Інвестиції на фондовому ринку вимагають прийняття ризику. Інвестори зазвичай намагаються сформувати свій інвестиційний портфель таким чином, щоб забезпечити отримання максимальної віддачі при збереженні прийнятного рівня ризику. У сучасних умовах для інвестора першочерговим завданням стає визначення найкращих джерел фінансування серед альтернативних варіантів шляхом групування активів з аналогічними характеристиками. У статті досліджено фондові ринки країн “Великої сімки” – Франції, Великобританії, Німеччини, Італії, США, Канади та Японії за період 2011-2016 рр. З метою поділу відповідних показників фондових ринків, зокрема CAC 40 (Франція), FTSE 100 (Великобританія), DAX (Німеччина), FTSE MIB (Італія), S&P TSX Composite (Канада), S&P 500 (США), NIKKEI 225 (Японія), на групи за критерієм “прибутковість – ризик” були використані окремі ієрархічні методи кластеризації. Инвестиции на фондовом рынке требуют принятия риска. Инвесторы обычно пытаются сформировать свой инвестиционный портфель таким образом, чтобы обеспечить получение максимальной отдачи при приемлемом уровне риска. В современных условиях для инвестора первоочередной задачей становится определение оптимальных источников финансирования среди аьтернативних вариантов путем группировки активов с аналогичными характеристиками. В статье исследованы фондовые рынки стран “Большой семерки” – Франции, Великобритании, Германии, Италии, США, Канады и Японии за период 2011-2016 гг. С целью разделения соответствующих показателей фондовых рынков, в частности, CAC 40 (Франция), FTSE 100 (Великобритания), DAX (Германия), FTSE MIB (Италия), S&P TSX Composite (Канада), S&P 500 (США), NIKKEI 225 (Япония), на группы по критерию “доходность – риск” были использованы отдельные иерархические методы кластеризации.