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 Khartabiel Author-X-Name-First: Ghadeer Author-X-Name-Last: Khartabiel Author-Name: Nuradli Ridzwan Shah Mohd Dali Author-X-Name-First: Nuradli Ridzwan Shah Mohd Author-X-Name-Last: Dali Title: A two-stage parametric stochastic frontier analysis (SFA) of the efficiency performance of Shari'ah compliant banks: a global evidence Abstract: This paper examines the efficiency performance of 32 Islamic banks (IBs') from Asia, the Middle East, Gulf region, and Europe using the stochastic frontier analysis (SFA). Furthermore, the study utilises the ordinary least squares (OLS) approach to analyse the cause-effect relationship between bank-specific factors and banks' efficiency scores over the period from 2004 to 2014. Findings show that the majority of IBs' appear to be inefficient in terms of both generating profits and controlling costs. Banks' substantial inefficiencies are largely technical and partly scale in nature. Results suggest also that IBs' that are more technically efficient are most likely larger in size with low market-share, highly profitable, well-capitalised, supply more lending, and are less leveraged. Overall, the empirical findings reveal that not all IBs' were equally affected during the period of the global financial crisis of 2007. However, tiny observed variations are mainly due to the country-specific factors. Journal: American J. of Finance and Accounting Pages: 85-110 Issue: 2 Volume: 5 Year: 2018 Keywords: efficiency; financial crisis; Islamic banks; parametric analysis. File-URL: http://www.inderscience.com/link.php?id=90368 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:2:p:85-110 Template-Type: ReDIF-Article 1.0 Author-Name: Wajdi Hamma Author-X-Name-First: Wajdi Author-X-Name-Last: Hamma Author-Name: Ahmed Ghorbel Author-X-Name-First: Ahmed Author-X-Name-Last: Ghorbel Author-Name: Anis Jarboui Author-X-Name-First: Anis Author-X-Name-Last: Jarboui Title: Copula model dependency between oil prices and stock markets: evidence from Tunisia and Egypt Abstract: In this work, our objective is to study in a first step the relationships between oil price and stock market indices in Tunisia and Egypt using copulas, and then in a second step to analyse the optimal weights and hedge ratio for building optimal portfolios to minimise the exposure to risk from oil price changes. The model is implemented with an ARMA-GARCH-GPD using daily observations for the 2 January 1998 to 31 December 2013 period for the marginal distribution and the extreme value copula for the joint distribution, which allows taking into account non-linear dependence, tails behaviour and their development over time. Various copula functions are used to model the dependence structure between oil prices and stock markets of Tunisia and Egypt. Empirical results provide evidence of significant and symmetric tail dependence for international oil prices and stock markets. On the other hand, volatility for this stock markets registered record levels due to the increase of the degree of oil prices. However, dependence structure changed over time, indicating that hedging effectiveness and hedge ratio for the oil asset in the hedged portfolios varied over time. Journal: American J. of Finance and Accounting Pages: 111-150 Issue: 2 Volume: 5 Year: 2018 Keywords: dependence structure; stock market; oil prices; copulas; hedging strategy. File-URL: http://www.inderscience.com/link.php?id=90370 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:2:p:111-150 Template-Type: ReDIF-Article 1.0 Author-Name: Claude Bergeron Author-X-Name-First: Claude Author-X-Name-Last: Bergeron Author-Name: Jean-Pierre Gueyie Author-X-Name-First: Jean-Pierre Author-X-Name-Last: Gueyie Author-Name: Komlan Sedzro Author-X-Name-First: Komlan Author-X-Name-Last: Sedzro Title: Earnings-consumption betas and stock valuation Abstract: This paper integrates the long-run covariance between aggregate consumption and firm earnings into the stock valuation process. After assuming that firms adjust their dividend payments toward a target dividend payout ratio, we use the intertemporal framework of the consumption capital asset pricing model (CCAPM) to explore the effect of systematic earnings risks on intrinsic stock values. Our main results show that the equilibrium price of a stock is positively related to its long-run earnings growth rate, and negatively related to its earnings-consumption beta, obtained from its long-run covariance between earnings growth and aggregate consumption growth. This suggests that long-run risk measured with earnings affects the theoretical value of a firm. Overall, our work suggests that the long-run concept of risk, using accounting earnings, represents an appropriate parameter for estimating the equity value of a firm. Journal: American J. of Finance and Accounting Pages: 151-172 Issue: 2 Volume: 5 Year: 2018 Keywords: stock valuation; accounting beta; intertemporal model; long-run risk; CCAPM; consumption capital asset pricing model. File-URL: http://www.inderscience.com/link.php?id=90373 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:2:p:151-172 Template-Type: ReDIF-Article 1.0 Author-Name: Hanène Mejdoub Author-X-Name-First: Hanène Author-X-Name-Last: Mejdoub Author-Name: Ahmed Ghorbel Author-X-Name-First: Ahmed Author-X-Name-Last: Ghorbel Title: The dynamic relationship between oil prices and returns on renewable energy companies Abstract: The aim of this paper is to apprehend the behaviour of returns prices of renewable energy companies and their co-movement with oil prices before and after the 2008-2009 global financial crisis (GFC). Using daily data set over the time period from November 2003 to March 2016, we apply TGARCH-based-Vine copula model to examine tail dependence between oil prices (WTI) and three renewable energy indices. The results provide evidence of symmetric tail dependence for all sample, indicating the evidence of upper and lower tail dependence. However, during the crisis period, our findings reveal that the lower tail dependence for WTI and renewable energy returns prices is practically larger than the upper one. Moreover, the lower tail dependence is improved considerably in the financial crisis of 2008-2009. Therefore, the abrupt drop in oil prices (WTI) entail mainly to similar decrease in the renewable energy return prices during downturn markets. Journal: American J. of Finance and Accounting Pages: 173-192 Issue: 2 Volume: 5 Year: 2018 Keywords: renewable energy indices; oil price; co-movement; tail dependence; vine copula; GFC; global financial crisis. File-URL: http://www.inderscience.com/link.php?id=90395 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:2:p:173-192 Template-Type: ReDIF-Article 1.0 Author-Name: Moslem Alimohammadlou Author-X-Name-First: Moslem Author-X-Name-Last: Alimohammadlou Author-Name: Abbas Bonyani Author-X-Name-First: Abbas Author-X-Name-Last: Bonyani Title: A comparative analysis of dynamic and cross-sectional approaches for financial performance analysis Abstract: The use of financial ratios as the necessary information is considered as one of the noticeable issues for researchers to apply quantitative models for evaluating the performance of institutions. The reason for introducing these new approaches is that the financial ratios cannot individually provide a correct and adequate understanding of an institution's performance. This study is aimed to compare the cross-sectional analysis and dynamic analysis to evaluate the financial performance. In this regard, 14 companies were examined based on two approaches during the period of 2011-2015 using the five influential ratios on financial performance evaluation. Then, results were compared to data of the test period (2016). Results showed that applying the dynamic analysis of performance instead of cross-sectional analysis and also carefully consideration in the analysis of efficient frontier shift can provide a more accurate evaluation of financial performance of companies compared to the multi-criteria decision-making analysis. Journal: American J. of Finance and Accounting Pages: 253-275 Issue: 3 Volume: 5 Year: 2018 Keywords: performance measurement; DEA window analysis; Malmquist index; best-worst method; PROMETHEE II. File-URL: http://www.inderscience.com/link.php?id=93037 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:3:p:253-275 Template-Type: ReDIF-Article 1.0 Author-Name: Miroslav Mateev Author-X-Name-First: Miroslav Author-X-Name-Last: Mateev Author-Name: Petko Bachvarov Author-X-Name-First: Petko Author-X-Name-Last: Bachvarov Title: Bank behaviour in good times and bad times: the impact of regulations and risk taking on bank performance Abstract: In this paper, we investigate the main determinants of bank performance before, during and after the recent financial crisis of 2007-2008. Using a sample of 178 large and medium sized banks from 33 countries around the globe, we test the validity of different hypotheses advanced in the academic literature. We find that financial institutions that performed more poorly during the crisis had, on average, lower return in 2006, less deposits and less leverage, higher risk, and more funding fragility, and they come from countries with better institutional environment. We also investigate the role of bank regulations and their impact on bank performance during good times and bad times. We provide new evidence that restrictions on bank activities are, in general, uncorrelated with the performance of banks during the crisis; however, this relationship is significant for large banks. Our analysis provides convincing evidence for the increased power of regulations and the diminishing role of bank risk taking after the crisis. Journal: American J. of Finance and Accounting Pages: 193-252 Issue: 3 Volume: 5 Year: 2018 Keywords: credit crisis; risk taking; regulation; bank governance; ownership control; institutional environment; funding fragility; capital adequacy; short-term funding; equity return. File-URL: http://www.inderscience.com/link.php?id=93038 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:3:p:193-252 Template-Type: ReDIF-Article 1.0 Author-Name: Omar Farooq Author-X-Name-First: Omar Author-X-Name-Last: Farooq Author-Name: Neveen Ahmed Author-X-Name-First: Neveen Author-X-Name-Last: Ahmed Author-Name: Mohammed Bouaddi Author-X-Name-First: Mohammed Author-X-Name-Last: Bouaddi Title: Stock price synchronicity and its effect on stock market volatility: evidence from the MENA region Abstract: This study investigates whether stock price synchronicity contains information regarding future stock market volatility. More specifically, this paper answers three important questions: 1) Does historic stock price synchronicity affect stock market volatility?; 2) If it does, how much of the volatility is explained by synchronicity?; 3) Does the impact of unexpected shocks on stock market volatility depend on historic synchronicity? Using the data from MENA region (Morocco, Tunisia, Egypt, United Arab Emirates, Jordan, Oman, and Bahrain), we document significantly positive relationship between stock price synchronicity and stock market volatility during the period between 2005 and 2010. We show that, whether stocks co-move downward or co-move upward, it causes stock market volatility to go up significantly. Our results are significant across all markets. We also show that synchronous component of volatility can, at times, completely explain stock market volatility. Furthermore, we also show that the impact of unexpected shocks on stock market volatility is an increasing function of stock price synchronicity. Journal: American J. of Finance and Accounting Pages: 276-292 Issue: 3 Volume: 5 Year: 2018 Keywords: stock price synchronicity; stock market volatility; emerging markets. File-URL: http://www.inderscience.com/link.php?id=93042 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:3:p:276-292 Template-Type: ReDIF-Article 1.0 Author-Name: Linda Fakhfakh Author-X-Name-First: Linda Author-X-Name-Last: Fakhfakh Author-Name: Taher Hamza Author-X-Name-First: Taher Author-X-Name-Last: Hamza Author-Name: Siwar Ellouz Author-X-Name-First: Siwar Author-X-Name-Last: Ellouz Title: Political uncertainty and market reaction: the case of Tunisian democratic transition Abstract: Political risk is an important factor that affects stock market reaction. Our paper investigates the impact of Tunisian democratic transition on both stock market and bank sector returns. We use the event study and BHAR methodologies and test the relation between political risk and stock returns in the short and long-term horizon. Our results show that: 1) In the short-term, the political risk associated with the 'revolution' event, affects negatively the stock market returns. This impact is positive in the long-term. 2) The '2014 elections' event positively affects stock market returns in the short-term and negatively over 18 months. 3) For the '2011 elections' event, the short-term positive effect seems to persist for long-term. 4) Lastly, in the context of democratic transition, political risk affects negatively the bank sector returns. This study proposes several managerial implications for investors as well as for market regulators. Journal: American J. of Finance and Accounting Pages: 293-321 Issue: 3 Volume: 5 Year: 2018 Keywords: political risk; bank sector; revolution and democratic transition; event study; BHAR methodology. File-URL: http://www.inderscience.com/link.php?id=93046 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:3:p:293-321 Template-Type: ReDIF-Article 1.0 Author-Name: Feng Jiao Author-X-Name-First: Feng Author-X-Name-Last: Jiao Author-Name: Mahsa Nasher Author-X-Name-First: Mahsa Author-X-Name-Last: Nasher Title: The effects of Eurozone sovereign credit rating change on the US treasury and equity markets Abstract: A growing number of researchers have investigated the spillover mechanism of how sovereign rating change in one market could affect other non-event security markets. Motivated by two competing hypotheses in the literature, i.e., 'contagion effect' and 'competitive effect', this paper focuses on the information content of sovereign rating change announcement and examines how Eurozone sovereign rating changes matter for assets returns and liquidity in US capital markets. In an application to the aggregate US equity and treasury market, this paper finds that both assets return and liquidity improves following a sovereign rating downgrade in the Eurozone. Analysing the individual firm level effects in addition to the aggregate market effects, we find that firms with low market capitalisation, low book-to-market ratio, and high leverage react more significantly to a sovereign rating downgrade in the Eurozone. Our findings are consistent with the hypothesis of competitive effect in general and set the stage for future policy research and risk management developments. Journal: American J. of Finance and Accounting Pages: 323-359 Issue: 4 Volume: 5 Year: 2018 Keywords: sovereign credit rating; Eurozone; liquidity. File-URL: http://www.inderscience.com/link.php?id=93621 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:4:p:323-359 Template-Type: ReDIF-Article 1.0 Author-Name: Mohamed Ibrahim Mugableh Author-X-Name-First: Mohamed Ibrahim Author-X-Name-Last: Mugableh Title: A homoscedastic co-integration analysis of Malaysian financial market Abstract: This article examined long-term relationships and dynamic links between Malaysian equity market and macroeconomic forces, including inflation rates, interest rates, money supply and real economic activity. It employed the vector error correction model and annual time series for the 1977-2015 period. The empirical results show the existence of six co-integrating vectors, implying a long-term relationship between the selected variables. In addition, inflation rates and interest rates were shown to be negatively associated with Malaysian capital market. Money supply and real economic activity were found to be positively related to Malaysian capital market. However, the sample resulted in several observations during the economic and financial crises periods which influence the findings obtained from the regression. Journal: American J. of Finance and Accounting Pages: 360-370 Issue: 4 Volume: 5 Year: 2018 Keywords: equity market; macroeconomics; Malaysia; market efficiency. File-URL: http://www.inderscience.com/link.php?id=93632 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:4:p:360-370 Template-Type: ReDIF-Article 1.0 Author-Name: Samar Zlitni Abdelkafi Author-X-Name-First: Samar Zlitni Author-X-Name-Last: Abdelkafi Author-Name: Ahmed Ghorbel Author-X-Name-First: Ahmed Author-X-Name-Last: Ghorbel Author-Name: Walid Khoufi Author-X-Name-First: Walid Author-X-Name-Last: Khoufi Title: Energy portfolio risk management using time-varying copula methods: application to bonds, interest rate and VIX Abstract: This work is concerned with the statistical modelling of hedging and safe haven strategies between the energy sector (crude oil), bonds, VIX and interest rate using the concept of copulas and proposes a method for choosing the best asset in order to hedge against extreme fluctuations of energy prices based on the combination of time series. Various copula functions are used to model the dependence structure between oil and different assets (interest rates, bonds and VIX). We investigate whether there are significant changes in the relationships between energy sector and these assets especially for different horizons of investment: the global financial crisis (06/27/2008 to 12/31/2009), the sovereign debt crisis in Europe (01/04/2010 to 12/31/2012) and the post-crisis period (01/02/2013 to 02/24/2016). Results show that TRUS is the best hedge for the energy sector because it presents the highest hedge ratio in most cases. The implied volatility (VIX) provides the second highest hedging ratio indicating the usefulness of a volatility index in hedging oil prices. Second, hedge ratios vary considerably over the sample as a consequence of the change in the dependence structure and the horizon of investment period indicating that hedged positions should be updated regularly. Journal: American J. of Finance and Accounting Pages: 371-393 Issue: 4 Volume: 5 Year: 2018 Keywords: energy sector; risk management; copula; hedge; safe haven; crises; bonds; interest rate; VIX. File-URL: http://www.inderscience.com/link.php?id=93633 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:4:p:371-393 Template-Type: ReDIF-Article 1.0 Author-Name: Fereydon Rahnamay Roodposhti Author-X-Name-First: Fereydon Rahnamay Author-X-Name-Last: Roodposhti Author-Name: Mohammad Bahrani Jahromi Author-X-Name-First: Mohammad Bahrani Author-X-Name-Last: Jahromi Author-Name: Sahar Kamalzadeh Author-X-Name-First: Sahar Author-X-Name-Last: Kamalzadeh Title: Portfolio selection using analytic hierarchy process and numerical taxonomy analysis: case study of Iran Abstract: In spite of a large number of different models used to solve the problem of optimal portfolio selection, the problem of choosing a portfolio containing securities from different industries is still a matter of discussion among academics. Evaluating financial performance of the firm can be a crucial issue in selecting stocks. The purpose of this paper is to develop a model for evaluating the performance of firms by using financial ratios and at the same time, taking subjective judgements of decision makers into account. The proposed approach is based on analytic hierarchy process (AHP) and numerical taxonomy methods. AHP is used in determining the weights of criteria by decision makers and then rankings of the firms are determined through numerical taxonomy. The model is used for evaluating performance of firms in Tehran Stock Exchange by using their financial ratios. Then the rankings of the firms are determined according to their results. Journal: American J. of Finance and Accounting Pages: 394-414 Issue: 4 Volume: 5 Year: 2018 Keywords: multiple criteria analysis; rating stocks; analytic hierarchy process; AHP; taxonomy; Iran. File-URL: http://www.inderscience.com/link.php?id=93638 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:4:p:394-414 Template-Type: ReDIF-Article 1.0 Author-Name: William B. Galose Author-X-Name-First: William B. Author-X-Name-Last: Galose Author-Name: Musa Essayyad Author-X-Name-First: Musa Author-X-Name-Last: Essayyad Title: How the level of census data and TRI releases affect empirical models estimating the amount spent on supplemental environmental projects Abstract: This environmental finance paper estimates models of the amount spent on the Supplemental Environmental Projects (SEPs) included in the settlements of a sample of US Environmental Protection Agency (EPA) administrative cases. Demographic variables were generally statistically significant in estimates of models employing US Census Bureau tract-level data for demographic variables. US Census Bureau block group data within a three-mile radius of the involved facility were obtained from US EPA Facility Reports. The block group data demographic variables were generally not statistically significant in models which were similar to the tract-level data models. The inclusion of TRI control variables did not substantially affect the results. Thus, when employing SEPs to finance environmental projects, the scale of demographic variables influences empirical models estimating the amount spent on SEPs. Journal: American J. of Finance and Accounting Pages: 415-428 Issue: 4 Volume: 5 Year: 2018 Keywords: environmental finance; US Environmental Protection Agency; supplemental environmental projects; SEPs; environmental enforcement; environmental justice; restorative justice; environmental history; corporate social responsibility; ordinary least squares; OLS. File-URL: http://www.inderscience.com/link.php?id=93639 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:amerfa:v:5:y:2018:i:4:p:415-428