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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.

This paper examines the long-run relationships between the REIT indices of the UK, Turkey and Israel in the Euro-Med zone with that of MSCI US REIT Index by using weekly data over the period 2003Q3 through 2009Q3, which includes the latest US subprime mortgage crisis and its effects on global stock markets. Although our EG test results do not indicate a long-run relationship, after taking account of the structural changes by applying the GH test, we find a long-run interaction between the REIT indices of UK and Israel with that of the US. However, our results indicate the lack of co-movement between REIT index of Turkey with the US. In addition, our dynamic OLS test results indicate a perfect relationship between the UK and the US indices. Our findings show that international investors who make long-term investments can only gain from diversifying into the real estate market of Turkey among the involved markets in the Euro-Med zone. First Publish Online: 21 Mar 2014

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.

This paper analyses the effects of off-balance sheet (OBS) activities and various types of risks on the cost and profit efficiencies of banks in seven East Asian countries between 2001 and 2008. Cost and profit efficiency scores are estimated using the data envelopment analysis approach. The results of this analysis are then used to identify the impact of OBS activities and risk exposures on cost and profit efficiencies using a Tobit regression. Bank insolvency risk (as measured by z-scores) is positively related to profit efficiency, while interest sensitivity, size, equity to total assets and OBS exposures all impact on cost efficiency. The analysis of the impact of input and output slacks illustrates that in around 1 in 5 cases banks’ cost efficiency can be improved by adjusting the former variables, whereas in only around 1 in 100 cases a similar outcome is possible for profit efficiency.

This paper examines the effect of off-balance sheet (OBS) activities on performance of the banks listed on Istanbul Stock Exchange (ISE). We use four measures of performance including bank’s risk exposures, profitability, leverage, and liquidity position. We find that both bank-specific risk and foreign exchange rate risk are positively related with OBS activities. This indicates that OBS activities increase bank-specific and foreign exchange risk exposures of the banks in Turkey. The positive relationship might serve as a warning to bank’s speculative action using OBS transactions in the market. The results also indicate that OBS activities, due to its hedging perception, improve bank’s stock returns but have a negative impact on return on equity. In addition, OBS activities do not have a statistically significant impact on leverage or liquidity.

PurposeThe purpose of this paper is twofold. The first and the most important is to examine the efficiency of Islamic banks relative to conventional banks operating in North African Arab countries, in terms of cost and revenue efficiency. The second objective is to assess more evidence regarding the banking system efficiency trend and dynamics in each single country, and to compare such trends among countries included in the study.Design/methodology/approachThe non‐parametric data envelopment analysis (DEA) was used to estimate cost and revenue efficiency scores assuming variable returns to scale (VRS). The sample consists of nine Islamic banks and 11 conventional banks.FindingsThe results indicated that Islamic banks achieved higher average revenue efficiency scores over conventional banks in this region, while the growth rate of revenue efficiency score of Islamic bank was less than conventional banks. In terms of cost efficiency, the results varied from country to another. The results also showed that both groups of banks were close to each other, with an advantage to conventional banks, which suffer less cost efficiency loss over time compared to Islamic banks.Research limitations/implicationsThe very limited data sources (banks' web sites) was was the main limitation faced during preparing for this research. Another limitation was the non‐regularity of annual reports.Practical implicationsIslamic banks are highly challenged in finding investment opportunities/avenues that comply with Islamic regulations, unlike conventional banks that can invest in fixed income securities. There is a serious need for some countries to deregulate their banking systems more, in order to enhance the compatibility and the efficiency of their banking, such as the case of Sudan.Originality/valueGiven the previously mentioned difficulties, decent data set were collected. The value of this paper is the use of nonparametric DEA to analyse cost and revenue efficiences in the countries of this region.

One of the main tasks of a bank is to lend money. As a financial intermediary, one of its roles is to reduce lending risks. Bank lending is an art as well as a science. Success depends on techniques used, knowledge and on an aptitude to assess both credit-worthiness of a potential borrower and the merits of the proposition to be financed. In recent years, banks have increasingly used credit-scoring techniques to evaluate the loan applications they receive from consumers. Credit-scoring techniques are usually based on discriminant models or related techniques, such as logit or probit models or neural networks, in which several variables are used jointly to set up a numerical score for each loan applicant. This study explores the performance of both individual models by using neural networks, and classification and regression trees and ensemble models by using Bagging and Adaboost techniques. Experimental studies using real world data sets have demonstrated that the ensemble models outperform the other credit scoring models.

PurposeThe aim of this paper is to investigate the risk‐return relationship of REITs listed on the Istanbul Stock Exchange (ISE) in order to assess the risk and to find some empirical results for investors within the framework of modern portfolio theory (MPT) using the standard version of the capital asset‐pricing model (CAPM) and the single index model (SIM) over the period January 2002‐June 2008.Design/methodology/approachTime series, cross‐sectional regression and structural literature review are employed.FindingsResults indicate that linearity assumption for both the CAPM and the SIM are rejected. It should be emphasized that the econometrical specification exposed the weaknesses of t‐test methodology for testing coefficients of regression due to the non‐normality of residuals.Originality/valueUnderstanding of risk and its resultant impact on the returns and evaluation of risk‐return relationship is extremely important for investors. In this regard, real estate investment trusts (REITs) as indirect investment instruments are increasingly becoming an important part of investors' diversified portfolios to lessen the risk. The study is the first attempt to explore the structure of REITs in Turkey as an emerging market.

PurposeThe purpose of this paper is to identify associations between various inputs in the investment decision process of Saudi Arabian risk managers (RMs).Design/methodology/approachThe paper reports the views of 81 RMs in Saudi Arabia regarding their approach to investment risk and uses these as inputs into conditional independence graphs.FindingsSaudi RMs favour their experience and personal judgment over mathematical projections and statistical models when considering investment risk. A need remains for an efficient risk‐modeling framework for the banking system that has more practical value than those which have emerged to date.Originality/valueThe paper provides novel insights on issues such as the extent to which risk management is dealt with in practice via personal experience rather than statistical‐based projections. The findings also shed light on the level of satisfaction amongst RMs and regulators with the incentives provided in the Saudi Arabian environment, and the importance placed on guidance from the nation's leading regulatory institution.

Özellikle ülkemizde, Küçük ve Orta Boy İşletmeler’in (KOBİ) imalat sanayinin %98’ini oluşturduğu göz önüne alındığında, işlerini geliştirerek büyümeyi arzulayan fakat güçsüz sermaye yapısına sahip Küçük İşletmeler için, en önemli finansal kaynaklardan biri olması gereken ticari banka kredilerinden, söz konusu oranın %20’sinden çok daha azının yararlanabildiği tahmin edilmektedir. Bunun bir çok nedeni olmakla birlikte, temel neden olarak, bu çalışmanın da konusunu oluşturan “ özellikle bankaların kredi değerleme yapısını tam anlamıyla kavrayamayarak bilinçsiz davranan küçük işletmelerin firma içinde sağlıklı bir muhasebe sistemi kuramaması, bunun sonucunda da bankaların yaptığı analiz neticesinde, muteber kredi müşterisi olarak görülmemelerinden kaynaklanmaktadır.” Bu ise, reel sektörün temelini oluşturan küçük işletmeleri başta çek ve senet kırdırma ve tefeciler olmak üzere informel kredi kaynaklarına yönlendirmektedir. Bir işletmenin finansal yapısı, karlılığı ve kullandığı fonların kaynakları hakkında bilgi veren iki temel finansal tablodan söz edebiliriz. Bunlar; “Bilanço ve Gelir Tablolarıdır.” Bu bakımdan, özellikle küçük işletmelere söz konusu finansal tabloları kullanarak rasyolar vasıtasıyla kendi finansal analizlerini nasıl yapabileceklerini ve ticari bankaların kredi taleplerini değerlendirme sürecinde genel olarak hangi oranlarla ilgilendiğini gösterebilmek, bu çalışmanın temel amacını oluşturmaktadır. Bu ise, aynı zamanda söz konusu işletmelerin rasyoları bir yönetim aracı olarak kullanmalarına da vesile olacaktır.

Grouping the major indices of stock markets based on their homogeneities may facilitate the selection period for investors especially today's information rich financial world. This paper attempts to detect and group the homogenous stock indices in Europe Business; Management Business & Economics

The paper analyses determinants of stock market development in thirty advanced and emerging countries within the period between 1960 and pre-financial global meltdown (2007). Our explanatory variables are foreign direct investment (FDI), remittances and bank credits to private sector. The application of SUR estimation disclosed that all variables had significant positive effects on market development measured by market capitalization. The obtained results unfolded the necessity for the countries to develop policies and regulations on facilitating FDI, remittances and bank credits.

This paper examines the effect of off-balance sheet (OBS) activities on performance of the banks listed on Istanbul Stock Exchange (ISE). We use four measures of performance including bank’s risk exposures, profitability, leverage, and liquidity position. We find that both bank-specific risk and foreign exchange rate risk are positively related with OBS activities. This indicates that OBS activities increase bank-specific and foreign exchange risk exposures of the banks in Turkey. The positive relationship might serve as a warning to bank’s speculative action using OBS transactions in the market. The results also indicate that OBS activities, due to its hedging perception, improve bank’s stock returns but have a negative impact on return on equity. In addition, OBS activities do not have a statistically significant impact on leverage or liquidity., Ovaj rad istražuje utjecaj vanbilančnih aktivnosti na poslovanje banaka koje kotiraju na Istambulskoj burzi (ISE). Istraživanje je provedeno na četiri mjere uspješnosti bankovnog poslovanja: izloženost rizicima, profitabilnost, zaduženost i likvidnost. Rezultati pokazuju da su nesistemski, bankovno-specifični rizik te valutni rizik u pozitivnoj vezi s vanbilančnim aktivnostima. Ovakvo stanje je pokazatelj da vanbilančne aktivnosti povećavaju nesistemski i valutni rizik banaka u Turskoj. Dokazana pozitivna veza može služiti kao upozorenje u slučaju špekulativnog korištenja vanbilančnih aktivnosti na tržištu. Dobiveni rezultati također pokazuju da zbog percepcije njihovog korištenja u svrhu zaštite, vanbilančne aktivnosti povećavaju prinose na bankovne dionice ali istovremeno smanjuju prinos na kapital banaka. Osim toga, vanbilančne aktivnosti nemaju statistički signifikantan utjecaj na zaduženost i likvidnost banke.

In the recent economic recession, Federal Reserve (The FED) and Federal Government have preferred different methods to stimulate the economy. The key factor is the choice of financing each have following to implement their stimulus programs. The FED had o ISC Paris School of Management, France; Yasar University, Faculty of Economics and Administrative Sciences, Izmir, Turkey; University of East London Business School, United Kingdom

This study gives the analysis of the determinants of banks' profitability in China over the period of 2003-2007 by investigating the cointegration and the causal relationship between total assets (TA) and total equity (TE) of Chinese banks. The analysis employs Augmented Dickey Fuller (ADF) test, Johansen cointegration test, and Granger causality test on Chinese banking sector over the study period in order to examine the relationship between these 2 variables. The empirical results have found strong evidence that the variables are cointegrated.

The aim of this study is to investigate whether some certain characteristics of fund managers help to explain their performance in the context of an emerging market, Turkey. We test the statistical significance between two measures of fund manager performance (number of clients and portfolio size) and fund manager characteristics such as education, job experience, etc by using a survey methodology to obtain primary data and applying the ordered choice models. Both measures of performance are positively correlated with the number of training courses attended and the number of years of experience in a particular organization.

In this paper we examined zhe use of the Sharpe diagonal model as a way to assess the risk in the textile, wearing apparel, and leather industries in Turkey within the framework of the CAPM over the period between January 2002 and June 2008 when there is no financial crisis and big schocks in the market. The purposes of this paper are threefold: first is to examine the explanatory power of market portfolio's return on stock returns in Istanbul Stock Exchange (ISE), second is to investigate how the CAPM performs on the sample of stocks in those industries, and third is to explore if the CAPM is a valid model to estimate the expected returns. The results show that the CAPM is not rejected in the second pass regression whereas tests of alphas and betas partially validate some of its assumptions.