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The macroeconomics and traditional stock market nexus is widely explored in the extant literature, but few studies have focused on the impact of macroeconomics on Islamic stock markets. In fact, to our knowledge, only one or two prior studies have looked into both conventional and Islamic stock markets at the same time to see the impact of macroeconomics for comparison purposes. However, these studies have found differing views. Besides, no study has looked into the issue from the standpoint of Bangladesh. To close the gap, the study primarily explores the effect of macroeconomic variables on Islamic and conventional stock indices. Also, it looks at which index (Islamic or conventional) is more susceptible to macroeconomic shocks. The DSEX Shariah Index and the DSE Broad Index of the Dhaka Stock Exchange (DSE) are chosen as Islamic and conventional stock indices, respectively. In contrast, inflation rate, money supply, interest rate, and exchange rate are selected as proxies of macroeconomic variables. Using autoregressive distributed lag (ARDL) and Granger causality approaches for the monthly data from January 2014 to June 2021, our findings indicate that aggregate money supply has a positive long-term influence on both Islamic and conventional indices, whereas interest rates have a negative impact. Conversely, in the short run, the interest rate has a favorable impact on both indices. However, inflation only has a short-term impact on the Islamic stock index. Overall, the findings suggest that both indices behave almost analogously with the macroeconomic variables. Therefore, Islamic investors can undoubtedly choose Islamic stocks for their portfolios without sacrificing significant financial losses. Our study also provides some vital policy implications. Since our study finds a strong link between macroeconomics and stock markets, we urge the monetary authority to align their policies with those of the stock markets in Bangladesh because there were previously some inconsistencies in the policies of the monetary authority and stock markets, which appeared to be partly responsible for the recent stock market crash in Bangladesh in 2010-2011. JEL Classifications: G11, G12, G14, G15 Keywords: Islamic index, conventional index, macroeconomic variables, effect, long-run, short-run Contact author's email address: Email: bokhtiar_bank@yahoo.com, INTRODUCTION Understanding the relationship between a country's macroeconomic condition and stock market movement is crucial since stock indices' change is likely to respond to macroeconomic fundamentals shifts (Khan & Zaman [...]

When Kerry Met Sally: Politics and Perceptions in the Demand for Movies (p. 1617) Jason M. T. Roos, Ron Shachar A blockbuster in Boston might be a dud in Denver; [...]

Socially responsible investment offers the potential to contribute to improved corporate practices through the incentive of enabling more responsible companies to access financial resources under better terms. Improved corporate practices [...]

The organization of time influences the structural possibilities for social action as well as the cultural resources actors draw upon in social settings. In this paper, I use concepts developed in historical sociology to identify distinct elements of temporality to understand how time constitutes markets. I analyse how two types of temporal structures influence market behaviour and operation using comparative ethnographic data on stock exchanges in Fiji, Ghana and Iceland. Internal dynamics of markets organize time in manners that influence the nature of market competition and, consequently, the types of skills necessary to demonstrate competence. External relations position markets in relation to other social settings, connecting temporal orders between particular markets and these other settings as well as situating markets as the sites of the creation of legitimate information. Keywords: financial markets; temporality; pacing; sequencing; boundaries; market structure and culture. DOI: 10.1080/03085147.2010.510680

This article examines whether net buying pressure affects the implied volatility function of TAIEX options in an order-driven market characterized by high individual participation. Using the intraday data of TAIEX [...]

I test whether stock returns are determined by market risk, profit margin, asset turnover, and equity multiplier. Using five cyclical industries and six non-cyclical industries over the sample period of 1960-2008, I find that market risk and an asset turnover are two major risk factors that determine stock returns. I also test whether inflation influence market risk, profit margin, asset turnover, and equity multiplier. I find that the coefficients of an asset turnover and an equity multiplier are significant mostly for non-cyclical industries and that some of the interactions between inflation and the four risk factors are significant. Keywords: Stock Return, Inflation, Market Risk, Profit Margin, Asset Turnover, Equity Multiplier, 1. INTRODUCTION A vast of research has been done to identify what risk factors determine asset returns since the Sharpe (1965) and Lintner (1965) capital asset pricing model was developed. [...]

In this paper I present the results of the empirical test of the CAPM in the Macedonian Stock Exchange during the 4 year period, from 2006 to 2009. The main finding is that during this period the validity of CAPM is questioned in terms of the explanatory performance of the model to predict the positive and the linear relation between risk and return. However as the CAPM predicts it is found to exist no relation between stock returns and the non-systematic risk and that the excess return of a 0 beta asset is 0, which again is consistent with the CAPM predictions. The implication for the investors considering investing on the MSE is that relying on beta and CAPM for investment decisions may not be the best way to follow except when such an investment decision is accompanied by a fundamental analysis of the company itself--quantitative and qualitative data. Keywords : Macedonian Stock Exchange, CAPM, Empirical Tests, Beta, t-tests, 1. INTRODUCTION The relation between risk and return is one of the most important issues in finance. It is widely known that investing in risky assets as opposed to risk [...]

This article deals with the concept of market information. In particular, it argues that references to the so-called conduit metaphor, which represents markets as a series of information flows, hide the localized, historically contingent and materially mediated practices of the economy. Following the tradition of the performative theory of social institutions, this article argues that the specific meaning of 'market information' and its concrete manifestations (e.g. prices) depend on the sociotechnical character of the calculative practices through which market participants orient their economic actions. The point is illustrated through a historical reconstruction of the introduction of price and quote dissemination technologies in the London Stock Exchange between 1955 and 1990. By highlighting the historical and technological contingency of prices, the case of the London Stock Exchange shows that it is impossible to provide a universally and temporally invariant definition of market information. Keywords: market information; performative theory of social institutions; London Stock Exchange; automation; digitalization. DOI: 10.1080/03085140903424584

This empirical study examines the day-of-the-week effect on the nascent stock exchange of Istanbul, Turkey. The investigation relies on the most recent 60-month period from January 2003 through December 2007. During this period, the Turkish stock market registered a 424 percent gain. Numerous studies have indicated that the stock market returns depend on the day of the week in the U.S. as well as in many stock markets around the world. For the most part the literature points to significantly negative returns on Mondays and significantly positive returns on the last trading day of the week. More recent studies which have utilized a robust methodology such as the GARCH model, have questioned the presence of such an effect in some of the markets. To investigate the presence of this anomaly in the Turkish market, this study utilizes both, the OLS methodology as well as the GARCH methodology. Irrespective of the method used, we find that the said effect to be very much present in the first half of the 5-year test period but to have completely vanished in the second half of the test period., INTRODUCTION Until about fifteen-twenty years ago, the empirical evidence has steadfastly indicated that the equity market returns depend on the day of the week. For the U.S. market indicators, the [...]

The sourcing of low-cost finance to facilitate corporate expansion on competitive terms is a major challenge to firms from emerging markets. There are additional constraints in Islamic markets as financial [...]

This study examines the short run and long run causal relationships among macroeconomic variables and equity market returns in the emerging equity market for the period of 6/1998 to 6/2008 by employing the VAR framework on monthly data. Macroeconomic variables include industrial production index, consumer price index, money supply , exchange rate, foreign portfolio investment, Treasury bill rates and oil prices. Results support the finance theory and provide evidence that long term relationship exist among equity market and macroeconomic factors. Unidirectional causality has been observed flowing from consumer price index, exchange rates, money supply and interest rate to equity market. No granger causality is observed among industrial production, foreign portfolio investment and equity market returns. This insignificant relationship with industrial production, oil indicates that market movement is not based on fundamentals and real economic activity. The cointegration analysis only captures the long-run relationship among the variables, it does not provideinformation on responsiveness of equity market returns to shocks in macroeconomic variables so impulse response function and Variance decomposition analysis based on VECM has also been performed. Variance decomposition analysis also confirms that monetary variables are a significant source of volatility in equity market., INTRODUCTION During last decade phenomenal growth has been observed in emerging equity markets and Pakistan is no exception. The KSE- 100 index, which is the benchmark for the Pakistani equity [...]

Apart from trim loss minimization, there are many other issues concerning cutting processes that arise in real production systems. One of these is related to the number of stacks that need to be opened near the cutting machines. Many researchers have worked in the last years on cutting stock problems with additional constraints on the number of open stacks. In this paper, we address a related problem: the Ordered Cutting Stock Problem (OCSP). In this case, a stack is opened for every new client's order, and it is closed only when all the items of that order are cut. The OSCP has been introduced recently in the literature. Our aim is to provide further insight into this problem. This paper describes three new integer programming formulations for solving it, and an exact algorithm based on column generation, branch-and-bound and cutting planes. We report on computational experiments on a set of random instances. The results show that good lower bounds can be computed quickly, and that optimal solutions can be found in a reasonable amount of time. Keywords: cutting stock; pattern sequencing; integer programming models; column generation; branch-and-bound; cutting planes

To purchase or authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1467-8586.2008.00282.x Byline: Eleni Constantinou (*), Avo Kazandjian (*), Georgios P. Kouretas ([dagger]), Vera Tahmazian ([double dagger]) Keywords: cointegration; common trends; identification; international portfolio diversification; international stock markets Abstract: ABSTRACT Common stochastic trends among major international stock price indices have been an intensively analysed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange, and three mature equity markets, namely the Athens Stock Exchange (ASE), the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE). Author Affiliation: (*)Department of Business Studies, The Philips College, Nicosia, Cyprus ([dagger])Department of Economics, University of Crete, Rethymno,Greece ([double dagger])Department of Accounting and Finance, The Philips College, Nicosia, Cyprus Article note: Correspondence: Georgios P. Kouretas, Department of Economics, University of Crete, University Campus, GR-74100, Rethymno, Greece. Fax: 28310 77406; Email: kouretas@econ.soc.uoc.gr. This paper is part of the research project, Cyprus Stock Exchange: Evaluation, performance and prospects of an emerging capital market, financed by the Cyprus Research Promotion Foundation under research grant [PI]25/2002. We would like to thank the Cyprus Research Promotion Foundation for generous financial support and the Cyprus Stock Exchange for providing us with its database. The views expressed in this paper do not necessarily reflect those of either the CRPF or CSE. An earlier version of this paper was presented at the 5th International Conference of the EEFS, Heraklio, Greece, 18-21 May 2006, and the 10th International Conference on Macroeconomic Analysis and International Finance, University of Crete, Rethymno, 25-27 May 2006, and thanks are due to conference participants for many helpful comments and discussions. We would also like to thank Panayiotis Diamandis, Dimitris Georgoutsos, Angelos Kanas, Minoas Koukouritakis and Leonidas Zarangas for many helpful comments and discussions. We also thank Minoas Koukouritakis and Manolis Syllignakis for computational assistance. Finally, we thank two anonymous referees for their valuable comments that improved the manuscript substantially. The usual disclaimer applies.

We investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency control. Our findings concluded that the Malaysian sectoral stock markets were weak-form inefficient (except the property index) under the structural change. Keywords: structural break, market efficiency, stock market, unit root test, random walk., INTRODUCTION The early study by French economist Louis Bachelier (1) suggested that the presence of random walk theory in the French commodity markets where the random nature of the stock [...]

We theoretically and empirically examine the role of international takeover markets in curtailing dominant shareholder moral hazard for firms with higher value-added from acquisitions. In equilibrium, such firms strategically list [...]

This paper provides evidence that credit constraints are an important determinant of international trade flows. I exploit shocks to the availability of external finance and examine the impact of equity market liberalizations on the export behavior of 91 countries in the 1980-1997 period. I show that liberalizations increase exports disproportionately more in financially vulnerable sectors that require more outside finance or employ fewer collateralizable assets. This result is not driven by cross-country differences in factor endowments and is independent of simultaneous trade policy reforms. Moreover, it obtains with equal strength in the full panel of countries as well as in both panel and event-study analyses of countries which removed capital controls during the sample period. Finally, the effects of liberalizations are more pronounced in economies with initially less active stock markets, indicating that foreign equity flows may substitute for an underdeveloped domestic financial system. Similarly, opening equity markets has a greater impact in the presence of higher trade costs caused by restrictive trade policies. Keywords: International trade Credit constraints Equity market liberalization JEL classification: F10 F14 F36 G20 G28 G32

This study examines the capital structure of all the companies listed on the Nairobi Stock Exchange (NSE) and compares the sum of stock market activity against aggregate information for Kenya as a whole, to get a sense of the scale of its activity. We will attempt to differentiate between those companies that needed capital for expansion and those that did not. In respect of expanding companies we will attempt to identify how they financed their expansion. We will focus on three main categories of sources of finance: primary market transactions (that is, new share issues); organic growth (through the ploughing back of profits); and lastly, borrowing. In this way we will make an informed judgment of the way the NSE has contributed to the raising of capital and the development of the economy. Our findings indicate that although the company's listed in the NSE have registered an enormous growth during the period under review, much of this has been financed through borrowed capital and retained profits. We therefore conclude that the NSE has failed in its primary objective of helping investors to raise capital. Furthermore there is little evidence to suggest that the NSE has contributed to the economic development of Kenya., INTRODUCTION The objectives of any stock exchange include two interlinked concepts. Their primary market role is to facilitate the movement of capital from savers to investors. In process of the [...]

We examine the relationship between asymmetric information and the cost of going public for equity carve-outs (ECOs) as compared to ordinary initial public offerings (IPOs). We decompose underpricing into the opportunity cost of issuance (OCI) and a measure of share retention. Compared to an average IPO, we find that ECOs have lower OCI and price revisions, but higher share retention and long-term returns. Compared to a matched sample of IPOs, however, we observe similar OCI and long-term returns, but still find ECOs have higher share retention. Our analysis suggests that documented pricing differences between ECOs and IPOs likely are attributable to the characteristics of ECO firms and not necessarily to status as a carve-out., Introduction Existing studies examine the pricing of subsidiaries that are spun off from a parent firm via an initial public offering, i.e., an equity carve-out (ECO). The results of these [...]

A study was conducted to provide an alternative channel of investigation of comovement in four European equity markets for a sample period of almost 30 years. Findings indicate that the overall comovement in the equity markets is well established even though the nature of interaction between the industrial production and equity market is different.

To purchase or authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1540-6261.2007.01272.x Byline: SHMUEL BARUCH, G. ANDREW KAROLYI, MICHAEL L. LEMMON (*) Abstract: ABSTRACT We develop a new model of multimarket trading to explain the differences in the foreign share of trading volume of internationally cross-listed stocks. The model predicts that the trading volume of a cross-listed stock is proportionally higher on the exchange in which the cross-listed asset returns have greater correlation with returns of other assets traded on that market. We find robust empirical support for this prediction using stock return and volume data on 251 non-U.S. stocks cross-listed on major U.S. exchanges. Article note: (*) Baruch and Lemmon are at the David Eccles School of Business, University of Utah. Karolyi is at the Fisher College of Business, Ohio State University. A portion of this work was completed while Baruch was visiting the Bendheim Center for Finance at Princeton University. We thank an anonymous referee and the editor as well as seminar participants at the Universita di Bologna, INSEAD, University of Utah, Georgia State University, London Business School, Louisiana State University, New York Stock Exchange, University of North Carolina at Chapel Hill, Texas A&M University, and the NYSE Conference on the Future of Global Equity Trading for helpful comments. We are especially grateful for comments and discussions with Paul Bennett, Hank Bessembinder, Ekkehart Boehmer, Robert Hardy (Fleet Specialists), Christian Leuz, Ailsa Roell, Gideon Saar, Rene Stulz, Glenn Surnamer (VDM Specialists), and Ingrid Werner. Roger Loh provided exceptional research assistance for which we are also grateful.

On October 19, 1987, a bizarre and completely unprecedented set of events unfolded in America's financial markets. In New York, the brokerage firm Donaldson, Lufkin & Jenrette posted uniformed security [...]

Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not information-driven. JEL classification: GI4; GI5 Keywords: Dually listed stocks; Price discovery; Liquidity-driven trading

ABSTRACT We formulate and test a hypothesis linking dividend policy and cross-listing of Canadian firms on US stock exchanges. Based on the assumption that cross-listing enhances price discovery as per [...]

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jfineco.2005.06.008 Byline: Thomas J. Chemmanur (a), Paolo Fulghieri (b)(c) Keywords: Cross listing; Listing standards; Exchange competition; Takeovers of exchanges Abstract: We analyze firms' choice of exchange to list equity and exchanges' choice of listing standards when insiders have private information about firm value, but outsiders can produce (noisy) information at a cost. Exchanges are populated by two kinds of investors, whose numbers vary across exchanges: sophisticated (low information production cost) investors and ordinary (high-cost) investors. While firms are short-lived, exchanges are long-lived, value-maximizing agents whose listing and disclosure standards evolve over time. The listing standards chosen by exchanges affect their 'reputation,' since outsiders can partially infer the rigor of these standards from the post-listing performance of firms. We show that, while exchanges use their listing standards as a tool in competing for listings with other exchanges, this will not necessarily lead to a 'race to the bottom' in listing standards. Further, a merger between two exchanges may result in a higher listing standard for the combined exchange relative to that of either of the merging exchanges. We develop several other implications for firms' listing choices and resulting valuation effects, the impact of competition and co-operation among exchanges on listing standards, and the optimal regulation of exchanges. Author Affiliation: (a) Carroll School of Management, Boston College, Chestnut Hill, MA, 02167, USA (b) University of North Carolina at Chapel Hill, USA (c) ECGI, and CEPR Article History: Received 2 September 2003; Revised 18 May 2005; Accepted 7 June 2005 Article Note: (footnote) [star] For helpful comments or discussions, we thank Sudipto Bhattacharya, George Kanatas, Roberta Karmel, Thomas Gehrig, Darius Miller, Jean-Charles Rochet, and participants in presentations at the 1999 Journal of Financial Intermediation/Center for Economic Policy Research conference on 'Competition, Regulation, and Financial Integration,' the 1999 European Finance Association Meetings, the 2000 Global Finance Conference at Chicago, the 2001 American Finance Association meetings, the 2001 International Finance Conference at Georgia-Tech, and seminars at University of Amsterdam, Boston College, Boston University, University of Brescia, Dartmouth College (Tuck), Duke University, University of Houston, University of Lausanne, UNC at Chapel Hill, Rutgers University, University of Vienna, and Yale University. Special thanks to an anonymous referee and to the editor, Bill Schwert, for helpful suggestions. We alone are responsible for any errors or omissions.