Template-Type: ReDIF-Article 1.0
Author-Name: Ankit Sharma
Author-X-Name-First: Ankit
Author-X-Name-Last: Sharma
Author-Name: Vivek Sharma
Author-X-Name-First: Vivek
Author-X-Name-Last: Sharma
Title: A causal analysis of fear index and stock indices: evidence from India
Abstract:
This study investigates the causal relationship between the fear index (VIX) and stock indices. This study is based in the Indian context and uses sectoral stock indices, in contrast to earlier studies that were based in the USA or European context and used the broad market index. The correlation analysis reveals that the VIX and sectoral stock returns are negatively correlated. Unit root tests show that four sectors are stationary at level data and that all the time series become stationary at the first difference. The autoregressive distributed lag (ARDL) method is used in the study to investigate the relationship. The purpose of ARDL, a specific type of co-integration analysis, is to investigate the relationship between time series that become stationary at different orders. The ARDL test confirms the unidirectional causal relationship that flows from stock indices to the VIX. In addition, we discovered that two stock indices exhibit bi-directional causality.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 837-853
Issue: 6
Volume: 14
Year: 2024
Keywords: Nifty 50; Nifty sectoral indices; volatility index; VIX; India VIX; ARDL test; India.
File-URL: http://www.inderscience.com/link.php?id=142111
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:837-853

Template-Type: ReDIF-Article 1.0
Author-Name: Shailja Vashisht
Author-X-Name-First: Shailja
Author-X-Name-Last: Vashisht
Author-Name: Mahesh Sarva
Author-X-Name-First: Mahesh
Author-X-Name-Last: Sarva
Title: Risk profiling of Indian commercial banks - a clustering approach
Abstract:
It is important to understand the risk profile of banks to prevent systemic risk in the economy. The present study tracks the risk profile of Indian commercial banks using the k-means clustering approach based on selected financial variables indicative of prominent banking risks. Thirty Indian banks were studied from 2009-2020 and classified into high and low risk clusters. Analysis of variance was performed to identify variables crucial for their risk profiles. The findings indicate that profitability and credit risk variables are crucial for the risk profile of Indian banks. The overall performance of the Indian banking scenario has improved during the study period. The main contribution of the current study is to identify the characteristics of high and low risk banks based on the data mining clustering approach. This approach will be very useful for the government and regulators in achieving better results in banking consolidation.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 854-872
Issue: 6
Volume: 14
Year: 2024
Keywords: risk profiling; cluster analysis; banking; k-means clustering; banking risk.
File-URL: http://www.inderscience.com/link.php?id=142112
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:854-872

Template-Type: ReDIF-Article 1.0
Author-Name: Júlio Lobão
Author-X-Name-First: Júlio
Author-X-Name-Last: Lobão
Author-Name: Ricardo Correia
Author-X-Name-First: Ricardo
Author-X-Name-Last: Correia
Title: Price clustering and the panic trading hypothesis: evidence from an African coup d'état
Abstract:
This paper investigates price clustering in the stock market of Egypt in the context of the coup d'état that took place in that country in July 2013. The political uncertainty provoked by the coup offers a major opportunity to explore the causes of price clustering. Our results provide a strong support to the recently proposed panic trading hypothesis, which suggests that during periods of heightened political uncertainty investors are more likely to leave the market settling quickly on a rounded price. Our study documents that the hypothesis of uniformity in the distribution of the final digits is strongly rejected as stock prices tend to cluster significantly on final digit 0. Moreover, multivariate analysis shows that clustering increases with price level and capitalisation, and decreases with volatility and trading volume. These results carry important implications for both academic researchers and practitioners.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 873-884
Issue: 6
Volume: 14
Year: 2024
Keywords: stock market efficiency; price clustering; Egypt; coup d'état; political uncertainty; panic trading hypothesis.
File-URL: http://www.inderscience.com/link.php?id=142113
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:873-884

Template-Type: ReDIF-Article 1.0
Author-Name: Kishor Chandra Meher
Author-X-Name-First: Kishor Chandra
Author-X-Name-Last: Meher
Author-Name: Henok Yeshaw Getaneh
Author-X-Name-First: Henok Yeshaw
Author-X-Name-Last: Getaneh
Title: Poverty reduction and donor funds: comparative appraisal of MFIs
Abstract:
The study investigates the critical appraisal of poverty reduction and donor funds for mature, middle-aged, and young MFIs. The research adopts a quantitative approach with balanced panel data of 29 Ethiopian MFIs for ten years from 2010 to 2019. The Hausman test was applied in the OLS regression model to analyse the relationship between poverty reduction indicators and donor funds. The findings reveal that the young MFIs top the list where poverty reduction indicators influence donor funds. Mature MFIs top the list in terms of willingness to pay the loan. Young MFIs have clients making maximum savings contributing to the donor funds. The mature MFIs contribute towards increasing the donor funds in terms of increasing portfolio size. The study concludes that young MFIs top the list of maximising donor funds while achieving poverty reduction goals, followed by middle-aged and mature MFIs.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 822-836
Issue: 6
Volume: 14
Year: 2024
Keywords: donor funds; poverty reduction; savings habit; portfolio size; client's willingness to pay.
File-URL: http://www.inderscience.com/link.php?id=142114
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:822-836

Template-Type: ReDIF-Article 1.0
Author-Name: Kuziva Mamvura
Author-X-Name-First: Kuziva
Author-X-Name-Last: Mamvura
Author-Name: Mabutho Sibanda
Author-X-Name-First: Mabutho
Author-X-Name-Last: Sibanda
Author-Name: Rajendra Rajaram
Author-X-Name-First: Rajendra
Author-X-Name-Last: Rajaram
Title: Dynamic effects of foreign remittance volatility in low-income SADC countries
Abstract:
This study investigates the impact of remittance volatility in low-income countries in the Southern African Development Community (SADC) bloc. Employing a panel vector autoregressive (P-VAR) model with quarterly data that spans 2000Q1 to 2019Q4, the findings reveal that global shocks are rapidly transmitted to the domestic economy and not vice versa. Shocks in remittance volatility significantly impact domestic interest rates and consumer prices. The study further reveals that net remittance volatility impacts positively on real gross domestic product (GDP) and money supply in these countries. Therefore, in order to achieve stable and constant remittance flows, policymakers should adopt effective programs that lead to financial growth, and price and interest rate stability to encourage remittances through formal channels. Given the scarcity of macro-financial studies on the region, this article provides meaningful empirical evidence on the dynamic effects of foreign remittance volatility in low-income SADC countries.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 757-775
Issue: 6
Volume: 14
Year: 2024
Keywords: foreign remittances; remittance volatility; dynamic effects; low-income SADC countries; panel-VAR.
File-URL: http://www.inderscience.com/link.php?id=142116
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:757-775

Template-Type: ReDIF-Article 1.0
Author-Name: Jamiu Adeniyi Akindele
Author-X-Name-First: Jamiu Adeniyi
Author-X-Name-Last: Akindele
Author-Name: Asri Marsidi
Author-X-Name-First: Asri
Author-X-Name-Last: Marsidi
Author-Name: Shaharudin Jakpar
Author-X-Name-First: Shaharudin
Author-X-Name-Last: Jakpar
Author-Name: Akeem Adekunle Adeyemi
Author-X-Name-First: Akeem Adekunle
Author-X-Name-Last: Adeyemi
Author-Name: Lateef Yunusa
Author-X-Name-First: Lateef
Author-X-Name-Last: Yunusa
Title: Working capital investment and firm performance: analysis of financial constraint as moderating role
Abstract:
This study examines the moderating role of financial constraints on the impact of working capital investment on firms' performance. The study sample comprises 902 non-financial firms-years registered on the Nigerian Stock Exchange. Using the dynamic panel model over ten years (2009-2018), the empirical evidence indicates a significant impact between the cash conversion cycle, inventory days, and return on assets (nonlinear relationship). Contrarily, account receivable days and account payable days show the absence of a nonlinear relationship. Similarly, financial constraints proxy cash flow has a moderating effect between working capital investment and performance, while the cost of external financing has no moderating effect. It is thus inferred that managers with specialised skills and competency can support the organisation's working capital strategy and mitigate the asymmetric information and agency costs to reduce the effect of financial constraints, thereby increasing firms' performance.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 792-821
Issue: 6
Volume: 14
Year: 2024
Keywords: working capital investment; financial constraints; cash flows; performance; firm's value.
File-URL: http://www.inderscience.com/link.php?id=142118
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:792-821

Template-Type: ReDIF-Article 1.0
Author-Name: Miranda Dewina Hutapea
Author-X-Name-First: Miranda Dewina
Author-X-Name-Last: Hutapea
Author-Name: Yeterina Widi Nugrahanti
Author-X-Name-First: Yeterina Widi
Author-X-Name-Last: Nugrahanti
Author-Name: Jean Stevany Matitaputty
Author-X-Name-First: Jean Stevany
Author-X-Name-Last: Matitaputty
Author-Name: Supatmi Supatmi
Author-X-Name-First: Supatmi
Author-X-Name-Last: Supatmi
Title: Concentrated ownership and corporate social responsibility disclosure: the role of moderation of political connection
Abstract:
This study aims to test empirically the effect of concentrated ownership on the disclosure of corporate social responsibility by adding the variable of moderation of political connection to manufacturing companies listed on the Indonesia Stock Exchange (IDX) in 2018-2020. This study uses a quantitative approach. A total of 149 companies are studied. Non-probability sampling and purposive sampling methods are used for sampling techniques for 447 samples in this study. Data in this study is processed with the regression analysis technique for panel data which is processed using Eviews 10. The results of the study show that concentrated ownership has a positive effect on CSR disclosure while political connection weakens the effect of concentrated ownership on CSR disclosure.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 776-791
Issue: 6
Volume: 14
Year: 2024
Keywords: concentrated ownership; CSR disclosure; political connection.
File-URL: http://www.inderscience.com/link.php?id=142120
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:6:p:776-791

Template-Type: ReDIF-Article 1.0
Author-Name: Pankaj Chaudhary
Author-X-Name-First: Pankaj
Author-X-Name-Last: Chaudhary
Title: CEO compensation, firm performance, board structure and financial constraints: evidence from an emerging economy
Abstract:
This paper explores the relationship between CEO compensation and firm performance. In addition, the paper analyses board structure to understand its influence on the CEO compensation. Further, it also examines how the financial constraint affects these relationships. The paper finds that the accounting-based measures of firm performance are positively related to the contemporaneous CEO compensation. The future CEO compensation is positively associated with accounting-based and market-based measures of firm performance. It indicates that the reward of market-based performances is derived in the future by the CEOs. It is interesting to note that board independence has a negative effect on the present and future CEO compensation under a financially constrained scenario. Investors need to be especially careful in a financially constrained scenario, as the CEO with dual power can extract higher compensation at the expense of the interest of the shareholders.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 684-707
Issue: 5
Volume: 14
Year: 2024
Keywords: CEO compensation; ROA; ROE; board structure; financial constraint.
File-URL: http://www.inderscience.com/link.php?id=140932
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:684-707

Template-Type: ReDIF-Article 1.0
Author-Name: Mahesh Chand Garg
Author-X-Name-First: Mahesh Chand
Author-X-Name-Last: Garg
Author-Name: Khushboo Tanwer
Author-X-Name-First: Khushboo
Author-X-Name-Last: Tanwer
Title: Impact of board characteristics and capital structure on firm value: evidence from the Indian corporate sector
Abstract:
The present research paper empirically evaluates the combined impact of board characteristics and capital structure on company performance of 116 Indian firms listed on BSE Dollex for a period ranging from 2009-2010 to 2018-2019. Both random effects models and fixed effects models are used for analysis. As a proxy of firm value, the study uses both accounting-based (ROA and ROE) and market-based (TQ) performance indicators. The findings show that board meetings are insignificant for organisational performance. Independent directors have an adverse, whereas CEO dualism and female directors have a favourable impact impact on firm performance. Board size and board attendance show positive associations with ROA and ROE, whereas negative associations with Tobin's Q. The debt to equity ratio is negatively related to ROA and ROE, but positively related to Tobin's Q. This research will assist corporations, policymakers, society, and academia in general in making well-informed judgements regarding board characteristics and capital structure.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 708-734
Issue: 5
Volume: 14
Year: 2024
Keywords: board characteristics; capital structure; firm value; Tobin's Q; India.
File-URL: http://www.inderscience.com/link.php?id=140933
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:708-734

Template-Type: ReDIF-Article 1.0
Author-Name: Andile Nyandeni
Author-X-Name-First: Andile
Author-X-Name-Last: Nyandeni
Author-Name: Alastair Marais
Author-X-Name-First: Alastair
Author-X-Name-Last: Marais
Author-Name: Kerry McCullough
Author-X-Name-First: Kerry
Author-X-Name-Last: McCullough
Title: Dividend announcements, share returns and trading volumes on the Johannesburg Stock Exchange
Abstract:
Dividend decisions are known to relate to firm value; however, empirical literature has found both positive and negative impacts on value. These impacts indicate that local context is a relevant consideration. Firm value is typically considered with share prices, however, trading volume offers additional nuance to the understanding of dividend decisions. This article analyses dividend announcement of firms listed on the Johannesburg Stock Exchange (JSE) under a market model and event study approach. We consider 869 dividend events between 1 January 2010 and 31 December 2018. Findings show support for the information content of dividends hypothesis on the JSE, revealing that dividends convey price and volume sensitive information to the market. Share prices reacted positively to 'dividend increases' and the 'no change in dividend' announcements. The 'dividend decrease' category showed a negative share price reaction. Trading volumes increase around the announcement of all three dividend events.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 735-756
Issue: 5
Volume: 14
Year: 2024
Keywords: dividend policy; share returns; trading volume; market model; event study; Johannesburg Stock Exchange; JSE.
File-URL: http://www.inderscience.com/link.php?id=140934
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:735-756

Template-Type: ReDIF-Article 1.0
Author-Name: Ummi Junaidda Hashim
Author-X-Name-First: Ummi Junaidda
Author-X-Name-Last: Hashim
Author-Name: Norsiah Ahmad
Author-X-Name-First: Norsiah
Author-X-Name-Last: Ahmad
Title: The role of AC and corporate attributes on KAMs reporting: Malaysian evidence
Abstract:
ISA 701, communicating key audit matters (KAMs) in the independent auditor's report (AR), is introduced to address the importance of communicating information to users. To understand the role of AC and corporate attributes in issuing KAMs, this study examined a total of 976 annual reports of companies listed in Bursa Malaysia from the period of 2016 to 2018. The extent of KAMs practices and disclosure in an independent AR in the Malaysian context has been further investigated using a content analysis approach. Pooled OLS regression was employed to examine the objective. The findings showed that AC independence and AC meeting, size, and profitability significantly influenced KAMs reporting in the Malaysian market. The role of the AC holds the interrelated value with the resource-based theory where the member of the committee, as resources, possesses dynamic capabilities that are useful in enhancing the reporting of KAMs.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 626-644
Issue: 5
Volume: 14
Year: 2024
Keywords: key audit matters; KAMs; corporate attributes; audit committee; AC; Malaysian; auditor's report; AR.
File-URL: http://www.inderscience.com/link.php?id=140939
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:626-644

Template-Type: ReDIF-Article 1.0
Author-Name: Adamu Yahaya
Author-X-Name-First: Adamu
Author-X-Name-Last: Yahaya
Author-Name: Fauziah Mahat
Author-X-Name-First: Fauziah
Author-X-Name-Last: Mahat
Author-Name: Aliyu Mamman
Author-X-Name-First: Aliyu
Author-X-Name-Last: Mamman
Title: Credit risk and bank performance: a Sub-Saharan African perspective
Abstract:
Credit risk is one of the dominant risks that pose a great threat to the performance of banks. This study examines the effect of credit risk on the performance of banks in Sub-Saharan Africa (SSA). A total sample of 50 banks was drawn from six Sub-Saharan African countries which include Nigeria, Ghana, South Africa, Zambia, Kenya, and Tanzania from 2010-2018. A two-step system GMM is applied and the findings reveal a significant negative relationship between credit risk and bank performance in the SSA region. The risk committee has a significant positive impact on the performance of banks in the SSA region. Bank management is encouraged to embrace a modern and efficient credit risk management technique to have better control of the rate of credit risk experienced in banks.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 170-191
Issue: 2
Volume: 14
Year: 2024
Keywords: credit risk; return on asset; earning per share; two-step system GMM; Sub-Saharan Africa; SSA.
File-URL: http://www.inderscience.com/link.php?id=137359
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:170-191

Template-Type: ReDIF-Article 1.0
Author-Name: Yee Peng Chow
Author-X-Name-First: Yee Peng
Author-X-Name-Last: Chow
Title: Islamic religiosity and corporate capital structure: evidence from Malaysia
Abstract:
This paper examines the relationship between Islamic religiosity and capital structure and how firm-specific factors, managerial characteristics and corporate governance measures moderate this relationship. This study employs the pooled ordinary least squares estimation procedure, drawing on a panel of non-financial listed firms in Malaysia. The results reveal that Islamic religiosity is positively associated with leverage as proxied by short-term, long-term and total debt ratios. Further investigation confirms that there are certain firm-specific factors (e.g., firm size and age), managerial characteristics (e.g., founder status and excessive shareholdings) and corporate governance measures (e.g., board independence and separation between the CEO and chair) which moderate the positive effects of Islamic religiosity. Several important policy implications can be drawn regarding the selection process of the firms' top executives which should consider certain managerial characteristics, the formulation of appropriate financing strategies according to the firms' characteristics and the implementation of good corporate governance measures.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 192-228
Issue: 2
Volume: 14
Year: 2024
Keywords: Islamic religiosity; capital structure; leverage; religion; Malaysia.
File-URL: http://www.inderscience.com/link.php?id=137360
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:192-228

Template-Type: ReDIF-Article 1.0
Author-Name: Mohannad Almajali
Author-X-Name-First: Mohannad
Author-X-Name-Last: Almajali
Author-Name: W. Muhammad Zainuddin Wan Abdullah
Author-X-Name-First: W. Muhammad Zainuddin Wan
Author-X-Name-Last: Abdullah
Title: The moderating role of diversity of products between the nexus of market concentration toward financial performance: a study in an emerging market
Abstract:
This paper examines the influence of market concentration on the financial performance of Jordanian insurance companies, considering the potential moderating effect of product diversity. The motivation for this study arises from the observation that insurance companies in Jordan operate within a highly concentrated market, with a predominant focus on car insurance. A panel data analysis was conducted using data from 20 insurance companies during the period from 2005 to 2020. The fixed-effects regression models revealed a significant positive relationship between market share and performance, while a negative relationship existed between the concentration ratio and performance. The findings suggest that market concentration can have both positive and negative effects on financial performance, depending on a firm's product diversity. Greater product diversification enhances the positive impact of market share on performance, serving as a risk mitigation strategy. This study recommends prioritising product diversification as a strategic approach to reduce financial risks.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 668-683
Issue: 5
Volume: 14
Year: 2024
Keywords: insurance company; financial performance; market concentration; diversity of products.
File-URL: http://www.inderscience.com/link.php?id=140944
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:668-683

Template-Type: ReDIF-Article 1.0
Author-Name: Zibusiso Moyo
Author-X-Name-First: Zibusiso
Author-X-Name-Last: Moyo
Author-Name: Sophia Mukorera
Author-X-Name-First: Sophia
Author-X-Name-Last: Mukorera
Author-Name: Phocenah Nyatanga
Author-X-Name-First: Phocenah
Author-X-Name-Last: Nyatanga
Title: Deposits and financial sustainability of deposit-taking microfinance institutions: evidence from low income Sub-Saharan Africa
Abstract:
This study examined the relationship between deposits and financial sustainability of Deposit-taking Microfinance Institutions (DTMFIs) due to a number of such institutions having collapsed previously in Africa. Panel data spanning 2006 to 2017 from the Microfinance Information Exchange of 64 DTMFIs sampled across 18 Low Income Sub-Saharan Africa (LISSA) countries was utilised. Through probit regression, the study found that the likelihood of attaining financial sustainability by the LISSA DTMFIs is negatively affected by small scale deposits, unfavourable loan loss provisions, deteriorating loan portfolio quality and costly branch coverage. The study recommends low cost, large scale deposit operations, efficiency in managing operating expenses, credit enhancements and restrictive deposit-taking licencing.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 229-245
Issue: 2
Volume: 14
Year: 2024
Keywords: scales of deposits; financial sustainability; DTMFIs; LISSA.
File-URL: http://www.inderscience.com/link.php?id=137361
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:229-245

Template-Type: ReDIF-Article 1.0
Author-Name: Ahmad Abu-Alkheil
Author-X-Name-First: Ahmad
Author-X-Name-Last: Abu-Alkheil
Author-Name: Ghadeer M. Khartabiel
Author-X-Name-First: Ghadeer M.
Author-X-Name-Last: Khartabiel
Author-Name: Walayet A. Khan
Author-X-Name-First: Walayet A.
Author-X-Name-Last: Khan
Author-Name: Bhavik Parikh
Author-X-Name-First: Bhavik
Author-X-Name-Last: Parikh
Title: Efficiency performance and the insolvency risk for Takaful insurance firms: evidence from the Gulf Cooperation Council countries
Abstract:
We utilise the data envelopment analysis (DEA) and the distance-to-default concept (Z-score) to examine the efficiency performance and the insolvency risk (IR) of 54 Takaful firms (TFs) in the Gulf Cooperation Council (GCC) countries. We also use the robust regression model to investigate the relationship between IR and its determinants. Results reveal that TFs are not fully efficient, and inefficiencies are large-scale. Poor management, to some extent, is the source of inefficiencies. Low allocative scores contribute to the firms' cost inefficiency, indicating that 'input proportions' do not guarantee the minimum possible cost. Room for improvement is evident by shrinking the operations and better managing the 'input resources' and 'output mix'. Moreover, efficiency is vital in determining the TFs' insolvency risk. Furthermore, we find Takaful firms were significantly and adversely affected by the 2008 global financial crisis but exhibited speedy recovery and an increasing trend in the efficiency scores.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 645-667
Issue: 5
Volume: 14
Year: 2024
Keywords: efficiency; Gulf Cooperation Council; GCC; data envelopment analysis; DEA; Takaful insurances; crisis; Solvency II.
File-URL: http://www.inderscience.com/link.php?id=140945
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:645-667

Template-Type: ReDIF-Article 1.0
Author-Name: Mohamed Amin Chakroun
Author-X-Name-First: Mohamed Amin
Author-X-Name-Last: Chakroun
Author-Name: Mohamed Imen Gallali
Author-X-Name-First: Mohamed Imen
Author-X-Name-Last: Gallali
Title: Systemic risk, contagion and risk factors in the Tunisian banking system context: measures and determinants
Abstract:
This research paper investigated the systemic risk in the Tunisian bank sector. The researchers paid a special attention to the variable accountings and macroeconomics in the explanation of the systemic risk. The results pointed out that the three first banks with an important systemic ranking are public banks (STB, BNA, and BH). The empirical validations revealed the presence of a positive dependence connection between the public and private banks and that the generation probability of a systemic situation is getting more important during the distress periods. The results of the determinants analysis explored that the liquidity risk, the credit risk and the financial institution's inefficient level represent the main trigger factors of a systemic risk, along with an expansionist monetary policy that may lead to an accumulation of a systemic risk.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 246-280
Issue: 2
Volume: 14
Year: 2024
Keywords: contagion; systemic risk; copula; marginal expected shortfall; MES; DCC-GARCH.
File-URL: http://www.inderscience.com/link.php?id=137362
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:246-280

Template-Type: ReDIF-Article 1.0
Author-Name: Noor Saif Muhammad Mussafi
Author-X-Name-First: Noor Saif Muhammad
Author-X-Name-Last: Mussafi
Author-Name: Zuhaimy Ismail
Author-X-Name-First: Zuhaimy
Author-X-Name-Last: Ismail
Author-Name: Nur Arina Bazilah Aziz
Author-X-Name-First: Nur Arina Bazilah
Author-X-Name-Last: Aziz
Title: The downside deviation quadratic programming for stock portfolio optimisation: an empirical study of shariah and conventional indices in Indonesia
Abstract:
The quadratic programming (QP) for portfolio optimisation may yet be improved to generate better results on the risk. This study presents the downside deviation quadratic programming (DDQP) to optimise the risk of portfolio as a refinement of QP. The data deals with the price of stocks listed in Jakarta Islamic Index and IDX30 Indonesia for a definite interval. The selection of portfolio for all the stocks considered the sectoral approach. Upon selection, the DDQP model was constructed and applied to the selected portfolio before benchmarking to QP. The results showed that the portfolio group 1 had the best risk on the shariah platform, while the portfolio group 7 was superior to conventional. Additionally, the empirical analysis revealed that ten scenarios can be inferred based on the DDQP as it is consistently stable in producing a lower risk portfolio than the QP. Lastly, heuristic pattern search also verified the results of DDQP.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 350-371
Issue: 3
Volume: 14
Year: 2024
Keywords: portfolio selection; portfolio optimisation; risk; quadratic programming; downside deviation quadratic programming; DDQP; pattern search; Indonesia.
File-URL: http://www.inderscience.com/link.php?id=138386
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:350-371

Template-Type: ReDIF-Article 1.0
Author-Name: Dea'a Al-Deen Omar Al-Sraheen
Author-X-Name-First: Dea'a Al-Deen Omar
Author-X-Name-Last: Al-Sraheen
Author-Name: Nofan Hamed Al-Olimat
Author-X-Name-First: Nofan Hamed
Author-X-Name-Last: Al-Olimat
Author-Name: Mohammad Naser Hamdan
Author-X-Name-First: Mohammad Naser
Author-X-Name-Last: Hamdan
Title: The nexus between free cash flow, audit committee characteristics, and earnings management practices
Abstract:
Research models are developed to address firstly the relationship between free cash flow, audit committee independence, audit committee meeting, and the members' expertise and earnings management. Secondly, the model is developed to examine the moderating role of audit committee effectiveness in the relationship between free cash flow and earnings management. Based on a sample of 255 firms belonging to the Amman Stock Exchange from 2016 to 2020, the results highlight the managers' opportunistic behaviour in presence of free cash flows in order to increase reported earnings. It is shown that the independence and expertise have a vital monitoring role of managers' behaviour that reduces earnings management. In addition, the moderating regression indicates also that the audit committee effectiveness affected positively the relationships between free cash flow and earnings management. Thus, the presence of such a committee restricts the managers in practising their opportunistic behaviours in presence of a free cash flow problem.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 281-296
Issue: 2
Volume: 14
Year: 2024
Keywords: free cash flow; audit committee meeting; audit committee independence; audit committee expertise; earnings management; Jordan.
File-URL: http://www.inderscience.com/link.php?id=137363
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Template-Type: ReDIF-Article 1.0
Author-Name: Tunji T. Siyanbola
Author-X-Name-First: Tunji T.
Author-X-Name-Last: Siyanbola
Author-Name: Appolos N. Nwaobia
Author-X-Name-First: Appolos N.
Author-X-Name-Last: Nwaobia
Author-Name: Wasiu A. Sanyaolu
Author-X-Name-First: Wasiu A.
Author-X-Name-Last: Sanyaolu
Author-Name: Festus F. Adegbie
Author-X-Name-First: Festus F.
Author-X-Name-Last: Adegbie
Author-Name: Lateef Yunusa
Author-X-Name-First: Lateef
Author-X-Name-Last: Yunusa
Title: Firm attributes and discretionary disclosures of financial institutions in Nigeria
Abstract:
Investors and other stakeholders require corporate reports that are comprehensive and informative in order to make sound economic decisions. However, few entities voluntarily disclose information about their performance and activities beyond mandatory reporting frameworks. This study examined the influence of firm attributes on discretionary disclosure of listed financial services firms in Nigeria. The study adopted an <i>ex-post facto</i> research design. The analysis revealed that the selected firm attributes jointly exerted a positive and significant effect on discretionary disclosure. The isolated effects were mixed. The study concluded that firm attributes affect the extent of discretionary disclosure of information by the financial firms in Nigeria and recommended that the management of firms should be intentional in disclosing non-mandatory information to meet the need of users and possibly enhance the reputation and brand value of their firms.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 372-392
Issue: 3
Volume: 14
Year: 2024
Keywords: discretionary disclosure; firm attributes; firm size; leverage; liquidity; ROE; Nigeria.
File-URL: http://www.inderscience.com/link.php?id=138387
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Template-Type: ReDIF-Article 1.0
Author-Name: Krishan Lal Grover
Author-X-Name-First: Krishan Lal
Author-X-Name-Last: Grover
Author-Name: Pritpal Singh Bhullar
Author-X-Name-First: Pritpal Singh
Author-X-Name-Last: Bhullar
Author-Name: Seshadev Sahoo
Author-X-Name-First: Seshadev
Author-X-Name-Last: Sahoo
Title: Reported risk categories in the prospectus and IPO valuation in Indian stock market: an empirical investigation
Abstract:
The current study aims to identify the risk categories that may impact initial public offering (IPO) performance. It also investigates the impact of selected mutually exclusive risk categories on IPO performance. The current analysis examined 131 IPOs from 2011 to 2020 on the main board of the NSE in India. We gathered all the risk statements from the issuers' IPO prospectuses and analysed their substance. To standardise and accept these categories across the research fraternity, a five-point Likert scale was established. Using principal component analysis, we find six broad categories of risk factors have been disclosed by the IPO firms, i.e., operational, compliance, management, equity, investment, technology and innovation risk. The results suggest that corporations prioritised financial soundness (liquidity position) over equity risk when disclosing investment risk. We also find that IPO firms with higher operational risk are more underpriced than firms with lower operational risk.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 297-316
Issue: 2
Volume: 14
Year: 2024
Keywords: operational risk; underpricing; compliance risk; equity risk; initial public offering; IPO prospectus.
File-URL: http://www.inderscience.com/link.php?id=137364
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:297-316

Template-Type: ReDIF-Article 1.0
Author-Name: Nayanjyoti Bhattacharjee
Author-X-Name-First: Nayanjyoti
Author-X-Name-Last: Bhattacharjee
Author-Name: Anupam De
Author-X-Name-First: Anupam
Author-X-Name-Last: De
Title: Firm size effect and the price and volume reaction to corporate news: evidence from India
Abstract:
This study examines the price and volume reaction to corporate news for a sample of firms quoted on the National Stock Exchange of India, an Asian emerging market. We take into account the market capitalisation of the firms to examine the firm size effect on market reaction using the event study methodology. It is observed that small firms, on average, are associated with 1.12% and 0.43% more positive abnormal returns than large and mid-sized firms on the day of the positive news flow. On the other hand, when the news is negative, small firms, on average, are associated with -1.1% and -0.62% more negative abnormal returns than large and mid-sized firms on the day of the news flow. Further, the evidence suggests that the price reaction is consistent while the volume reaction differs according to the type and sentiment of the news in different size groups.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 393-411
Issue: 3
Volume: 14
Year: 2024
Keywords: corporate news; market capitalisation; firm size; event study; abnormal return; trading volume; India.
File-URL: http://www.inderscience.com/link.php?id=138388
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:393-411

Template-Type: ReDIF-Article 1.0
Author-Name: Najib H.S. Farhan
Author-X-Name-First: Najib H.S.
Author-X-Name-Last: Farhan
Author-Name: Faozi A. Almaqtari
Author-X-Name-First: Faozi A.
Author-X-Name-Last: Almaqtari
Author-Name: Waleed M. Al-Ahdal
Author-X-Name-First: Waleed M.
Author-X-Name-Last: Al-Ahdal
Author-Name: Mohd Mohd Yasir Arafat
Author-X-Name-First: Mohd Mohd Yasir
Author-X-Name-Last: Arafat
Title: Impact of country-level governance on entrepreneurial performance: a cross-country analysis
Abstract:
The current study aims to investigate the impact of country-level corporate governance and directors' liability on entrepreneurship performance. The study sample consists of 52 European and non-European countries for the period from 2014 to 2021. Factor analysis is used which results in selecting three dimensions out of 20 dimensions of entrepreneurship. The study runs PCSE estimation on balanced panel data. The empirical outcome of the work revealed that R&D transfer is positively impacted by voice and accountability and government effectiveness; negatively affected by quality of regulatory framework, rule of law, and directors' liability. It is also found that aggregate early-stage entrepreneurial activity is negatively associated with rule of law and government effectiveness. Further, aggregate early-stage entrepreneurial activity is positively impacted by regulatory quality, control of corruption, and directors' liability. Moreover, this work includes directors' liabilities to examine their impact on entrepreneurship.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 143-169
Issue: 2
Volume: 14
Year: 2024
Keywords: country-level corporate governance; entrepreneurship; factor analysis; European and non-European countries.
File-URL: http://www.inderscience.com/link.php?id=137365
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:2:p:143-169

Template-Type: ReDIF-Article 1.0
Author-Name: T. Mohanasundaram
Author-X-Name-First: T.
Author-X-Name-Last: Mohanasundaram
Author-Name: M. Rizwana
Author-X-Name-First: M.
Author-X-Name-Last: Rizwana
Author-Name: S. Sathyanarayana
Author-X-Name-First: S.
Author-X-Name-Last: Sathyanarayana
Author-Name: Padmalini Singh
Author-X-Name-First: Padmalini
Author-X-Name-Last: Singh
Title: Structural change, information asymmetry and volatility in Indian stock market: evidence from pre-and-post-COVID-19 outbreak
Abstract:
This paper examines the Indian stock market's interconnection with the stock markets of the top four economies before and after the COVID-19 outbreak. The log-returns of daily data for Sensex, S&P 500, SSE Composite, Nikkei 225 and DAX were used in the study. The log-return series of all stock indices were found to be stationary. The exponential-GARCH model is applied to assess the information asymmetry and to model the volatility spillover on the Indian stock market. The ARCH and GARCH terms were positive and significant during both the pre-COVID and post-COVID outbreak periods representing that market news and previous period variances were significantly increasing the volatility in the market. The ensemble of events during the pre-COVID period confirms the negative significant volatility spillover of bourses on the Indian markets, and continues to be so in the post-COVID period, except in case of the US market where there is a positive significant return and volatility spillover. The portfolio managers, regulators, policymakers and other market participants may consider the change in information transmission during the pre-COVID and post-COVID-19 outbreak phases from these foreign markets to India while making investment-related decisions.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 412-431
Issue: 3
Volume: 14
Year: 2024
Keywords: COVID-19; market returns; volatility; investment; asymmetry; spillover; EGARCH.
File-URL: http://www.inderscience.com/link.php?id=138390
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:412-431

Template-Type: ReDIF-Article 1.0
Author-Name: Hien Thu Bui
Author-X-Name-First: Hien Thu
Author-X-Name-Last: Bui
Author-Name: Huong Hoang Nguyen Le
Author-X-Name-First: Huong Hoang Nguyen
Author-X-Name-Last: Le
Title: Shareholder identity and real earnings management: empirical evidence from Vietnam
Abstract:
The purpose of this article is to investigate the link between shareholder identification and real earnings management. Managerial ownership (MO), foreign ownership (FO), and state ownership (SO) are all used in the study to establish shareholder identity. The abnormal discretionary spending, abnormal production cost, and abnormal cash flows from operations are also used to assess real earnings management. The data of 390 Vietnamese listed companies was collected from the FiinPro platform, leading to a sample of 1,170 firm-year observations over the investigation period from 2017 to 2019. The study reveals that FO and SO have a large negative influence on actual profits management, despite the fact that they have the capacity to improve the quality of financial information to a greater level. In contrast, this paper shows no evidence for a relationship between MO and shareholder identity. Therefore, we suggested that policymakers should create favourable conditions to attract foreign investors as an effective monitoring mechanism and pay attention to the role of SO. Our findings also have significant implications for providing a more comprehensive understanding for firm managers and investors about the role of firms' sustainable ownership structure in deterring and reducing earnings management.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 432-450
Issue: 3
Volume: 14
Year: 2024
Keywords: shareholder identity; real earnings management; managerial ownership; foreign ownership; state ownership; Vietnam.
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:432-450

Template-Type: ReDIF-Article 1.0
Author-Name: Ranjitha Ajay
Author-X-Name-First: Ranjitha
Author-X-Name-Last: Ajay
Title: Link between diversification strategies and earnings management: an empirical investigation of manufacturing firms
Abstract:
This study investigates the relationship between diversification strategy and earnings management activities on a sample of 1,417 manufacturing firms listed in the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) for the period from 2004 to 2013. The final sample consists of 14,170 firm-year observations. We examine the applicability of two conflicting hypotheses: the agency cost hypothesis and the earnings volatility hypothesis to explore the impact of corporate diversification strategies namely international market diversification and product diversification on earnings management. We find that earnings management reduces as the extent of international diversification increases. Firms diversified across product segments are likely to have a higher level of real activities manipulation. Business affiliates with a higher degree of international market diversification have a lower level of discretionary accruals. The study provides useful insights to investors, analysts and regulators to make an informed decision on investments, forecasting earnings and policymaking respectively.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 496-514
Issue: 4
Volume: 14
Year: 2024
Keywords: accrual management; real activities management; diversification strategy; agency cost hypothesis; earnings volatility hypothesis.
File-URL: http://www.inderscience.com/link.php?id=139927
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:496-514

Template-Type: ReDIF-Article 1.0
Author-Name: Jagjeevan Kanoujiya
Author-X-Name-First: Jagjeevan
Author-X-Name-Last: Kanoujiya
Author-Name: Shailesh Rastogi
Author-X-Name-First: Shailesh
Author-X-Name-Last: Rastogi
Title: Impact of efficiency and ownership concentration in Indian banks on their NPAs: a panel data analysis
Abstract:
Non-performing assets (NPAs) in banks are a serious issue and have attracted considerable academic research attention. This study contributes to banking literature by assessing banks' technical efficiency (TE) by applying data envelope analysis (DEA) and NPAs for the sample of 34 banks in India from 2016 through 2019. This study empirically investigates the impact of technical efficiency and ownership concentration on NPAs of Indian banks by applying both static and dynamic panel data models. Ownership concentration is taken as the proportion of the holdings of promoters (promo), the institutional investors (iih) and retail investors (rih). The static model's findings reveal that TE has a positive association with NPAs, while in the dynamic model, TE surprisingly has no impact on NPAs in Indian banks. Both models indicate ownership concentration has a mixed effect on NPAs depending on holdings. This study provides important insights into bank performance leading to economic growth.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 317-338
Issue: 3
Volume: 14
Year: 2024
Keywords: dynamic panel data; DEA; non-performing asset; NPA; banks; ownership.
File-URL: http://www.inderscience.com/link.php?id=138392
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:317-338

Template-Type: ReDIF-Article 1.0
Author-Name: Kirti Aggarwal
Author-X-Name-First: Kirti
Author-X-Name-Last: Aggarwal
Title: Human resource disclosure practices: a comparative analysis of public and private sector manufacturing companies of Indian corporate sector
Abstract:
The aim of the study is to identify the effect of a company's characteristics on human resource disclosure index in public and private sector manufacturing companies listed in India. The outcome of one-way LSDV regression model depicts that in the case of public sector manufacturing companies, some hypotheses such as company size, type of auditor, total number of pages of an annual report have significant and profitability, liquidity have partly effect on HRDI. In case of private sector manufacturing companies, some hypotheses such as company age, ownership concentration, liquidity, total number of pages of an annual report have significant and company size, profitability have partly effect on the level of HR disclosure. Further, the outcome of the Mann-Whitney U test shows that there are significance variations of HR disclosure practices between public and private sector manufacturing companies listed in India.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 530-562
Issue: 4
Volume: 14
Year: 2024
Keywords: human resource; public sector; private sector; manufacturing companies; annual reports; content analysis; human resource disclosure index; HRDI; India.
File-URL: http://www.inderscience.com/link.php?id=139928
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:530-562

Template-Type: ReDIF-Article 1.0
Author-Name: Alireza Orangian
Author-X-Name-First: Alireza
Author-X-Name-Last: Orangian
Author-Name: Mahdi Saeidi Kousha
Author-X-Name-First: Mahdi Saeidi
Author-X-Name-Last: Kousha
Title: The nexus between liquidity and lottery-like features: evidence from Tehran stock exchange
Abstract:
To shed further light on the nexus between the stock liquidity and the lottery-like features, this paper provides evidence from the monthly data of the companies listed in Tehran Stock Exchange from December 21, 2008 to May 21, 2020. Furthermore, we intend to clarify whether having lottery-like features in countries like Iran with religious, social and legal restrictions on gambling leads the stocks to be more liquid or not. Our target variables are illiquidity (the average of four well-established illiquidity benchmarks) and lottery-like (a defined dummy variable that is 1 or 0 for having or not having lottery-like features, respectively) and we define some control variables according to the previous researches. The econometric methods utilised in this study are GLS, Granger causality test and vector auto regressive model (VAR). The results evince that being lottery-like causes stocks to be more liquid and there is no decisive evidence to the contrary. Moreover, capital market participants perform overreaction to the lottery-like stocks despite the anti-gambling setting.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 339-349
Issue: 3
Volume: 14
Year: 2024
Keywords: anti-gambling setting; liquidity; lottery-like stocks; VAR.
File-URL: http://www.inderscience.com/link.php?id=138393
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:3:p:339-349

Template-Type: ReDIF-Article 1.0
Author-Name: Nwakanma Godwin Nwaigwe
Author-X-Name-First: Nwakanma Godwin
Author-X-Name-Last: Nwaigwe
Title: Valuation effect of the extent and quality of corporate sustainability disclosure across sectors in Nigeria
Abstract:
This paper examines the value impact of the extent and quality of CSP disclosure across industries in Nigeria. Results reveal that the value effect of the scope and quality of corporate sustainability performance (CSP) disclosure varies among industries, indicating that the investing public in various industries see this information differently. Some investors see these data favourably and reward reporting entities with higher share prices, while others see superior quality reporting as the rationale for immoderate investment in a costly project, which has an adverse value impact on these industries. Nevertheless, other investors see no value in such information. The value impact also varies among CSP dimensions. The study has implications for managers, the investing public and for policy makers in strengthening policies that promote more socially responsible investment among sectors.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 563-580
Issue: 4
Volume: 14
Year: 2024
Keywords: sustainability reporting; disclosure extent; reporting quality; value effect; firm value; sustainable development; sustainability dimensions; Nigeria.
File-URL: http://www.inderscience.com/link.php?id=139929
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:563-580

Template-Type: ReDIF-Article 1.0
Author-Name: Phung Mai Lan
Author-X-Name-First: Phung Mai
Author-X-Name-Last: Lan
Author-Name: Nguyen Khac Minh
Author-X-Name-First: Nguyen Khac
Author-X-Name-Last: Minh
Author-Name: Pham Van Khanh
Author-X-Name-First: Pham Van
Author-X-Name-Last: Khanh
Author-Name: Nguyen Thien Luan
Author-X-Name-First: Nguyen Thien
Author-X-Name-Last: Luan
Title: The efficiency and the stability of efficiency rankings of Vietnamese commercial banks through mergers and acquisitions from 2008 to 2018
Abstract:
This study applied DEA window analysis in combination with non-parametric testing to evaluate the efficiency of the Vietnamese commercial banks pre-and post-mergers and acquisitions (M&A) as well as to test the stability of the banking efficiency during M&A period. The results showed that the average technical efficiency calculated from the window analysis model ranged from 81% to 99%. Many banks carrying out M&As have grown in all aspects such as increasing in scale, improving technology capabilities and success management. However, there were also some banks that showed weakness through M&As. The reasons for the inefficiency of those banks were mainly the excess of customer deposits in balance sheet of the banks and their bad debts.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 581-604
Issue: 4
Volume: 14
Year: 2024
Keywords: DEA window analysis; banks; ranking statistics; mergers and acquisitions; Vietnam.
File-URL: http://www.inderscience.com/link.php?id=139933
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:581-604

Template-Type: ReDIF-Article 1.0
Author-Name: Houssem Ben-Ammar
Author-X-Name-First: Houssem
Author-X-Name-Last: Ben-Ammar
Title: Exploring the relationship between explicit deposit insurance, Islamic banks, and financial stability: a comparative analysis
Abstract:
Using a sample of 47 Islamic and 98 conventional banks operating in ten countries over the period 1999-2019, we empirically investigate the effectiveness of the presence of explicit deposit insurance schemes (DIS) on the financial stability of conventional and Islamic banks. While Islamic banks seem to exhibit a relatively lower financial stability during the sample period, our results suggest that explicit deposit insurance enhances banks' stability. Interestingly, three out of the five CAMEL factors, namely management capability, earnings and liquidity, play a moderator role through which explicit deposit insurance and the financial stability of Islamic banks are related.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 605-625
Issue: 5
Volume: 14
Year: 2024
Keywords: financial stability; deposit insurance; Islamic banks; CAMEL.
File-URL: http://www.inderscience.com/link.php?id=140959
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:5:p:605-625

Template-Type: ReDIF-Article 1.0
Author-Name: Shakeeb Mohammad Mir
Author-X-Name-First: Shakeeb Mohammad
Author-X-Name-Last: Mir
Author-Name: Mariya Mushtaq Malik
Author-X-Name-First: Mariya Mushtaq
Author-X-Name-Last: Malik
Author-Name: Farooq Ahmad Shah
Author-X-Name-First: Farooq Ahmad
Author-X-Name-Last: Shah
Title: An empirical analysis of the relationship between capital adequacy and performance optimisation through a comparative standpoint among banking sectors in India
Abstract:
This study aims to assess the impact of capital adequacy on the performance optimisation of the Indian banking industry across and among the banking sectors. The study employs a balanced panel data regression model to examine the firm-level balanced panel data of 78 banks from the public and private sectors over 15 years (2007-2022). The findings confirm that capital adequacy significantly impacts bank profitability across the industry, but there is also a sector-specific impact. This study provides the most recent information on the differences in tactics used by public and private sector banks to maintain capital adequacy standards. Furthermore, using two-step system GMM analyses, the possibility of heteroscedasticity, autocorrelation, and endogeneity was considered.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 451-473
Issue: 4
Volume: 14
Year: 2024
Keywords: banks performance; capital adequacy ratio; panel data; Indian banking industry; India.
File-URL: http://www.inderscience.com/link.php?id=139936
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Template-Type: ReDIF-Article 1.0
Author-Name: Girash Gungaram
Author-X-Name-First: Girash
Author-X-Name-Last: Gungaram
Author-Name: Sunil K. Bundoo
Author-X-Name-First: Sunil K.
Author-X-Name-Last: Bundoo
Title: Composite indicator of systemic integration for Southern African development community
Abstract:
The aim of this paper is to provide a comprehensive overview of the level of integration of the financial markets of Southern African Development Community (SADC). This paper contributes to the literature by developing a new index to measure the degree and evolution of financial integration of SADC. The index is calculated by weighting together a set of indicators for financial integration from four financial market segments namely the banking, money, Treasury-bill and equity markets. The results displayed high volatility during the period under review. This volatility gives an indication that prices react quickly to new information. The results also indicate a time changing pattern of integration among the member countries and are also influenced by both internal and external factors influencing the financial system of SADC. Integration scores have increased for those countries that have implemented financial reforms. We recommend policymakers to formulate a proper framework for regional financial integration to guide the integration process smoothly and contain key realistic milestones.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 474-495
Issue: 4
Volume: 14
Year: 2024
Keywords: composite indicators of financial integration; SADC; integration index; financial integration; financial economics.
File-URL: http://www.inderscience.com/link.php?id=139937
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:474-495

Template-Type: ReDIF-Article 1.0
Author-Name: Dadang Lesmana
Author-X-Name-First: Dadang
Author-X-Name-Last: Lesmana
Author-Name: Rizky Yudaruddin
Author-X-Name-First: Rizky
Author-X-Name-Last: Yudaruddin
Title: The impact of Russia-Ukraine invasion on market reaction across various industries: an event study on the ASEAN market
Abstract:
The purpose of this study is to investigate the market reaction of ASEAN countries to the Russia-Ukraine invasion. This study used a sample of 2,755 listed companies in ASEAN countries. This research uses the event study method. We use cumulative abnormal return (CAR) as a measure of market reaction. Then, we use 24th February 2022, as the event day Russia announces the invasion of Ukraine our paper finds significantly negative reactions to the invasion of Russia-Ukraine in ASEAN-5 countries before and after the announcement. However, the Philippine market had a positive reaction which was driven by the positive trend before the invasion and the entry of renewable energy companies into market. We also showed that most of the industrial sectors in ASEAN countries reacted negatively to the invasion before and after the announcement. However, the energy industry reacted positively due to the acceleration of the renewable energy transition.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 515-529
Issue: 4
Volume: 14
Year: 2024
Keywords: market reaction; Russia-Ukraine invasion; various industries; ASEAN; event study.
File-URL: http://www.inderscience.com/link.php?id=139938
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:4:p:515-529

Template-Type: ReDIF-Article 1.0
Author-Name: Seema Rehman
Author-X-Name-First: Seema
Author-X-Name-Last: Rehman
Author-Name: Saqib Sharif
Author-X-Name-First: Saqib
Author-X-Name-Last: Sharif
Author-Name: Wali Ullah
Author-X-Name-First: Wali
Author-X-Name-Last: Ullah
Title: Explanatory power of realised moments
Abstract:
This study decomposes realised moments into high and low components and examines if the high minus low realised moment factors are helpful in explaining future stock returns. Realised moment factors are incorporated as extensions to basic asset pricing models. Evidence from this paper suggests the role of realised moments in enhancing the step wise model development. Such as there is risk premium at Pakistan Stock Exchange (PSX) for investing in stocks having volatile, more skewed return distributions with excess kurtosis. This study may help investors and fund managers to employ best strategies to gain maximum return on their investment. By including third and fourth moments within coherent framework acknowledges risk from asymmetries and fat tails and helps investors in constructing smart portfolios to earn higher returns. To the best of authors' knowledge, this is the first study to analyse the role of realised moments in explaining stock returns, using high frequency data in the emerging stock market of Pakistan.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 22-42
Issue: 1
Volume: 14
Year: 2024
Keywords: equity returns; emerging market; intraday data; realised volatility; skewness; kurtosis.
File-URL: http://www.inderscience.com/link.php?id=136129
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:22-42

Template-Type: ReDIF-Article 1.0
Author-Name: Saira Tufail
Author-X-Name-First: Saira
Author-X-Name-Last: Tufail
Author-Name: Ather Maqsood Ahmed
Author-X-Name-First: Ather Maqsood
Author-X-Name-Last: Ahmed
Title: Financial frictions and stabilisation policies
Abstract:
This research examines the implications of price and quantity-based financial frictions for the macroeconomic dynamics and effectiveness of stabilisation policies in Pakistan. Price and quantity-based financial frictions are captured through external finance premium and collateral constraint, respectively. Results from calibrating a new Keynesian dynamic stochastic general equilibrium model showed that quantity-based frictions generate strong financial accelerator mechanism and impede the stabilisation through monetary, fiscal and macroprudential policies. The effective management through stabilisation policies requires the rigorous handling of quantitative financial frictions.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 43-82
Issue: 1
Volume: 14
Year: 2024
Keywords: external finance premium; collateral constraint; financial accelerator mechanism; fiscal policy; macro-prudential policy; monetary policy.
File-URL: http://www.inderscience.com/link.php?id=136130
File-Format: text/html
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:43-82

Template-Type: ReDIF-Article 1.0
Author-Name: Faeezah Peerbhai
Author-X-Name-First: Faeezah
Author-X-Name-Last: Peerbhai
Author-Name: Damien Kunjal
Author-X-Name-First: Damien
Author-X-Name-Last: Kunjal
Author-Name: Delane D. Naidu
Author-X-Name-First: Delane D.
Author-X-Name-Last: Naidu
Author-Name: Camiel Singh
Author-X-Name-First: Camiel
Author-X-Name-Last: Singh
Author-Name: Fabian Moodley
Author-X-Name-First: Fabian
Author-X-Name-Last: Moodley
Title: The relationship between implied volatility and equity returns in South Africa
Abstract:
This study investigates the relationship between implied volatility and stock market returns. Although previous studies on this topic only exist from an international context, this paper presents evidence from South Africa by examining the effect of the South African volatility index (SAVI) on different Johannesburg Stock Exchange (JSE) listed stock indices. The objectives of this study are to determine which GARCH model is most appropriate for modelling volatility in South Africa and whether the SAVI displays any relationship with the returns on equity indices. The study finds that the TGARCH model is the most suitable model for modelling volatility on the JSE. Thereafter, using a TGARCH model, it is observed that the SAVI is significantly positively related to the returns of all the chosen indices and that a leverage effect exists between them. The results provide important insight for investors, risk managers and policymakers.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 83-99
Issue: 1
Volume: 14
Year: 2024
Keywords: GARCH; implied volatility; returns; South African volatility index; SAVI; volatility modelling.
File-URL: http://www.inderscience.com/link.php?id=136131
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:83-99

Template-Type: ReDIF-Article 1.0
Author-Name: Hanna'a Shehada
Author-X-Name-First: Hanna'a
Author-X-Name-Last: Shehada
Author-Name: Mohammed Alashi
Author-X-Name-First: Mohammed
Author-X-Name-Last: Alashi
Author-Name: Hisham Madi
Author-X-Name-First: Hisham
Author-X-Name-Last: Madi
Author-Name: Maher Durgham
Author-X-Name-First: Maher
Author-X-Name-Last: Durgham
Title: The effect of corporate social responsibility disclosure on financial performance: evidence from Palestinian banks and insurance public listed companies
Abstract:
This study aims at investigating the effect of corporate social responsibility (CSR) disclosure on the financial performance of Palestinian financial listed firms. Content analysis of 13 financial firms' annual reports from the period 2010 to 2016 is assessed based on the existence and comprehension of CSR disclosure. Findings of Pooled OLS regression reveal that the mean value of CSR disclosure is low. The results reveal that CSR disclosure is insignificantly affected by financial performance measured by ROA and Tobin's Q. This study contributes to the existing CSR disclosure literature by extending the prior research to provide additional empirical results from emerging economies including Palestine which rarely has been studied through investigating the effect of CSR disclosure on financial performance. Therefore, this study adds to CSR disclosure literature new empirical results from emerging economies like Palestine with a unique business environment.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 100-114
Issue: 1
Volume: 14
Year: 2024
Keywords: CSR disclosure; financial performance; Palestine exchange; PEX; stakeholder theory.
File-URL: http://www.inderscience.com/link.php?id=136132
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:100-114

Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Mohammadloo
Author-X-Name-First: Mohsen
Author-X-Name-Last: Mohammadloo
Author-Name: Nasser Motahari Farimani
Author-X-Name-First: Nasser Motahari
Author-X-Name-Last: Farimani
Author-Name: Mehdi Feizi
Author-X-Name-First: Mehdi
Author-X-Name-Last: Feizi
Author-Name: Mohammadali Pirayesh
Author-X-Name-First: Mohammadali
Author-X-Name-Last: Pirayesh
Title: Developing of an asset/liability allocation model for banks
Abstract:
Asset-liability management is one of the solutions for implementing banking policies in the economy. This study is aimed to determine the parameters, variables, and constraints of multi-objective modelling for asset-liability management of banks. Therefore, the standard balance sheet of Bank A (as research variables), which is one of the branches of a state-owned bank in Iran, was reviewed at the end of its fiscal year in 2017. Using the Delphi technique, a linear multi-objective model was presented, the most significant feature of which was the inclusion of new constraints and strategic goals, such as increasing joint income, increasing the share of low-cost deposits, and increasing productive assets. To solve that model, Microsoft Excel was used through the lexicography method. By solving the model, the optimal values of balance sheet variables were calculated for Bank A.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 115-141
Issue: 1
Volume: 14
Year: 2024
Keywords: bank; asset/liability management; ALM; multi-objective linear model; lexicography method.
File-URL: http://www.inderscience.com/link.php?id=136133
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:115-141

Template-Type: ReDIF-Article 1.0
Author-Name: Atanas Sixpence
Author-X-Name-First: Atanas
Author-X-Name-Last: Sixpence
Author-Name: Olufemi Patrick Adeyeye
Author-X-Name-First: Olufemi Patrick
Author-X-Name-Last: Adeyeye
Author-Name: Rajendra Rajaram
Author-X-Name-First: Rajendra
Author-X-Name-Last: Rajaram
Title: Informational content of cash dividends and retained earnings: evidence from South Africa
Abstract:
Net profit for the year can either be distributed as dividends or be retained by the firm. We examine informational content of both channels of conveying value to shareholders of Johannesburg Stock Exchange-listed companies between 2010 and 2017. Motivated by conflicting dividend policy theories and respective empirical findings, the study is aimed at proffering empirical evidence that assists equity investors' investment decisions. Using an autoregressive distributed lag model in system GMM with panel data, both cash dividends and retained earnings exhibited a positive association with market capitalisation but, in both cases, the association lacks statistical significance. This means that both variables do not have information that explicates firm value variations. To forecast firm value, equity investors should therefore not rely on models anchored on either cash dividends or retained earnings. By extension, company executives are advised to avoid making dividend policy changes with the aim of positively influencing firm value. A novel contribution of this study is that investors are not worried about how value created is conveyed to them because they can still enjoy it in either form. We conclude that payment or non-payment of dividends neither creates nor destroys firm value.
Journal: Afro-Asian J. of Finance and Accounting
Pages: 1-21
Issue: 1
Volume: 14
Year: 2024
Keywords: information content; cash dividends; retained earnings; market capitalisation; South Africa.
File-URL: http://www.inderscience.com/link.php?id=136134
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Handle: RePEc:ids:afasfa:v:14:y:2024:i:1:p:1-21