Template-Type: ReDIF-Article 1.0 Author-Name: Ibrahim A. Onour Author-X-Name-First: Ibrahim A. Author-X-Name-Last: Onour Title: Decomposing fundamental and non-fundamental volatility in GCC stock markets Abstract: Given the change in oil price reflects change in observable economic fundamentals of Gulf Co-operation Council (GCC) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into fundamental and non-fundamental components. Findings of the paper indicate that about 85% of volatility in GCC markets is due to the non-fundamental volatility component. This result suggests that herd behaviour may be a reason for excess price volatility. Journal: Int. J. of Monetary Economics and Finance Pages: 1-12 Issue: 1 Volume: 3 Year: 2010 Keywords: speculative bubbles; speculation; oil prices; energy markets; Gulf Co-operation Council; GCC; Arab States; United Arab Emirates; UAE; Bahrain; Saudi Arabia; Oman; Qatar; Kuwait; stock markets; non-parametric co-integration; variance bound tests; herd behaviour; non-fundamental volatility; monetary economics; finance; decomposition. File-URL: http://www.inderscience.com/link.php?id=30033 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 Author-Name: Khadija Mnasri Author-X-Name-First: Khadija Author-X-Name-Last: Mnasri Author-Name: Ezzeddine Abaoub Author-X-Name-First: Ezzeddine Author-X-Name-Last: Abaoub Title: Diversification, bank risk taking and performance: evidence from Tunisian banks Abstract: In this paper, we carry out an empirical study for the Tunisian market to shed light on the question whether the observed shift into non-interest income activities improves performance of commercial banks. Our main results can be summarised in three statements: banks diversified across both interest and non-interest income generating activities have higher levels of raw share returns than those focusing their activities; focusing into non-interest generating activities decreases market profitability of banks; banks that are functionally diversified also experience higher relative levels of systematic risk while the effect on the idiosyncratic risk component is non-significant. Journal: Int. J. of Monetary Economics and Finance Pages: 13-32 Issue: 1 Volume: 3 Year: 2010 Keywords: portfolio theory; product diversification; interest income; non-interest income; banks; banking; Tunisia; systematic risk; performance; panel data; share returns; market profitability; idiosyncratic risks; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=30034 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:13-32 Template-Type: ReDIF-Article 1.0 Author-Name: Marcelo Sanchez Author-X-Name-First: Marcelo Author-X-Name-Last: Sanchez Title: The interplay of monetary and fiscal policies in a multinational currency union Abstract: In our multi-country currency union model, national fiscal authorities free ride on the single monetary authority, which leads to higher interest rate variability. We carry out welfare comparisons between monetary autonomy and currency union, assessing the sensitivity of results around calibrated parameter values. Under country-specific demand and supply disturbances, monetary union stabilisation is hampered by steeper supply slopes, a greater preference for price stability, governments' stronger fiscal objective focus and a higher sensitiveness of aggregate demand to real exchange rates. Sensitivity results are ambiguous for country size. Supply-driven small open economies may benefit from maintaining monetary sovereignty. Journal: Int. J. of Monetary Economics and Finance Pages: 33-49 Issue: 1 Volume: 3 Year: 2010 Keywords: monetary union; stabilisation; currencies; interest rate variability; monetary autonomy; currency union; calibrated parameter values; money supply; price stability; aggregate demand; exchange rates; sovereignty; welfare comparisons; small open economies; fiscal policies; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=30035 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:33-49 Template-Type: ReDIF-Article 1.0 Author-Name: Carsten Lange Author-X-Name-First: Carsten Author-X-Name-Last: Lange Author-Name: Christine Sauer Author-X-Name-First: Christine Author-X-Name-Last: Sauer Title: A modular approach to seigniorage in a monetary union Abstract: There is little agreement on how to measure seigniorage changes and their sources in a monetary union. This paper informs the debate by developing a modular approach that distinguishes between seigniorage changes a country experiences during the transition phase prior to joining a monetary union and at the time of the regime change when the common currency is introduced. Using the Eurozone enlargement as an example, the underlying components of seigniorage changes for the transition phase and the regime change are identified and quantified. The modular approach thus allows a more informed discussion and provides analysts and policymakers with flexibility as to which seigniorage components to choose depending on the economic issue at hand. Journal: Int. J. of Monetary Economics and Finance Pages: 50-68 Issue: 1 Volume: 3 Year: 2010 Keywords: seigniorage; seignorage; seigneurage; Economic and Monetary Union; EMU; European Union; Eurozone; EU enlargement; European Central Bank; ECB; modular analysis; common currency; transition phase; regime change; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=30036 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:50-68 Template-Type: ReDIF-Article 1.0 Author-Name: Marjan Petreski Author-X-Name-First: Marjan Author-X-Name-Last: Petreski Title: Exchange-rate regimes and output volatility: empirical investigation with panel data Abstract: The study aims to explore the relationship between exchange-rate regimes and output volatility, building on the flaws of the existing, though scarce literature. It discusses the measure of output volatility; explores the endogeneity bias doubted to be present in the literature; tests non-dynamic vs. dynamic model. The empirical investigation covers the post-Bretton-Woods era (1976–2006) and includes 169 countries. It is found that sufficiently large terms-of-trade shocks will spur output volatility under fixed, limited-flexible and flexible exchange-rate regime as compared with a floating regime, but the marginal effect is estimated to be the most severe under a peg (longer than five years). Journal: Int. J. of Monetary Economics and Finance Pages: 69-99 Issue: 1 Volume: 3 Year: 2010 Keywords: exchange rate regimes; output volatility; panel data; endogeneity bias; non-dynamic models; dynamic models; Bretton Woods Agreements; terms-of-trade; floating exchange rates; fixed exchange rates; limited-flexible exchange rates; flexible exchange-rates; currency peg; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=30037 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:1:p:69-99 Template-Type: ReDIF-Article 1.0 Author-Name: Ibrahim A. Onour Author-X-Name-First: Ibrahim A. Author-X-Name-Last: Onour Title: North Africa stock markets: analysis of long memory and persistence of shocks Abstract: This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time. Journal: Int. J. of Monetary Economics and Finance Pages: 101-111 Issue: 2 Volume: 3 Year: 2010 Keywords: long memory behaviour; volatility; persistence; ARFIMA; FIGARCH; fractionally integrated generalised autoregressive conditional heteroscedasticity; Egypt; Tunisa; Morrocco; stock markets; stock price data; short memory; stock returns. File-URL: http://www.inderscience.com/link.php?id=31231 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:101-111 Template-Type: ReDIF-Article 1.0 Author-Name: Steven Buigut Author-X-Name-First: Steven Author-X-Name-Last: Buigut Title: The fear of exclusion and public support for a multilateral monetary union Abstract: Public attitude towards monetary union is influenced by a broad set of considerations; some well beyond the realm of economics. This paper investigates the public's fear of exclusion and its impact on their support for multilateral monetary union. Using survey data from the East African Community (EAC), it is shown that the public's support for multilateral monetary union is significantly greater when faced with a threat of exclusion than when no such threat exists. The level of education and the preference for monetary policy control are strong predictors of the fear of exclusion. Journal: Int. J. of Monetary Economics and Finance Pages: 112-125 Issue: 2 Volume: 3 Year: 2010 Keywords: fear of exclusion; public support; monetary union; survey data; EAC; East African Community; education level; monetary policy control. File-URL: http://www.inderscience.com/link.php?id=31232 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:112-125 Template-Type: ReDIF-Article 1.0 Author-Name: Steve Lovett Author-X-Name-First: Steve Author-X-Name-Last: Lovett Author-Name: Mary Jane Sauceda Author-X-Name-First: Mary Jane Author-X-Name-Last: Sauceda Author-Name: Musa Essayyad Author-X-Name-First: Musa Author-X-Name-Last: Essayyad Title: Investigating the financial and socio-economic determinants of student learning at US charter and public schools: The Texas experience Abstract: This paper investigates whether financial and socio-economic factors affect student performance of charter vs. public schools. Based on data from Texas, this research employs a multiple regression model to find whether charter school students outperform public school students. The policy implications of the results are relevant to legislative initiatives. The paper recommends to charter school advocates and state and federal regulators that there is probably a need to design and implement an experience-certification-adjusted pay scale for teachers so charter schools would attract competent teachers who would help students improve their learning skills and knowledge. Journal: Int. J. of Monetary Economics and Finance Pages: 126-139 Issue: 2 Volume: 3 Year: 2010 Keywords: education finance; charter schools; public schools; education funding; performance evaluation; learning performance; Texas; USA; United States; student performance; teacher pay; teacher competency. File-URL: http://www.inderscience.com/link.php?id=31233 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:126-139 Template-Type: ReDIF-Article 1.0 Author-Name: Fadzlan Sufian Author-X-Name-First: Fadzlan Author-X-Name-Last: Sufian Title: Financial crisis and the efficiency of the Malaysian banking sector: foreign vs. domestic banks Abstract: By employing the Data Envelopment Analysis (DEA) method, the present paper investigates the performance of the Malaysian banking sector around the Asian financial crisis with the emphasis on the domestic vs. foreign banks debate. The results suggest that the foreign banks have exhibited higher technical efficiency compared to their domestic bank counterparts. However, the results suggest that the foreign banks were severely affected by the Asian financial crisis, implying that the foreign banks were not insulated from unexpected events like the Asian financial crisis in 1997. Journal: Int. J. of Monetary Economics and Finance Pages: 140-158 Issue: 2 Volume: 3 Year: 2010 Keywords: Asian financial crisis; bank efficiency; DEA; data envelopment analysis; panel regression analysis; Malaysia; foreign banks; domestic banks; banking; technical efficiency. File-URL: http://www.inderscience.com/link.php?id=31234 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:140-158 Template-Type: ReDIF-Article 1.0 Author-Name: M. Rusydi Author-X-Name-First: M. Author-X-Name-Last: Rusydi Author-Name: Sardar M.N. Islam Author-X-Name-First: Sardar M.N. Author-X-Name-Last: Islam Title: Exchange rate determination: market models and empirical evidence for the 1990-2000 period from emerging financial markets – the case of Indonesia Abstract: In order to test, empirically, the well known financial and economic exchange rate models to examine the exchange rate behaviour and its determinants in Indonesia, a number of econometric methods are used. Univariate time series models like exponential smoothing and autoregressive integrated moving average models, as well as the Augmented Dickey-Fueller method are used. In general, the Monetary model has been the preferred model since the end of the Breton Woods period. On the contrary, with the PPP model, there are many reasons why deviations from PPP happen. However, empirical tests of the well known financial and economic exchange rate models in this paper show that neither the monetary model nor the PPP model can explain the exchange rate behaviour and its determinants in Indonesia. Journal: Int. J. of Monetary Economics and Finance Pages: 159-176 Issue: 2 Volume: 3 Year: 2010 Keywords: exchange rate determination; exchange rates; market models; Engle-Granger cointegration test; augmented Dickey-Fuller unit root tests; Indonesia; emerging markets. File-URL: http://www.inderscience.com/link.php?id=31235 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:159-176 Template-Type: ReDIF-Article 1.0 Author-Name: Miranti Kartika Dewi Author-X-Name-First: Miranti Kartika Author-X-Name-Last: Dewi Author-Name: Maliah Sulaiman Author-X-Name-First: Maliah Author-X-Name-Last: Sulaiman Author-Name: Ilham Reza Ferdian Author-X-Name-First: Ilham Reza Author-X-Name-Last: Ferdian Title: Efficiency of Islamic banks in selected member countries of the Organisation of Islamic Conference Abstract: This study aims to investigate the relative efficiency amongst Islamic banks in selected OIC member countries from 2002 to 2006, by observing performance of 25 Islamic banks in 14 countries. It employs DEA method by using intermediation approach. Additionally, regression is used to find the correlation between efficiency scores and some of the performance indicators. The result shows that during 2002-2006, Islamic banks in the OIC-LDCs were the most efficient ones. Lastly, efficiency level of Islamic banks in the study was significantly and positively influenced by ETAR, ROA, and LDR. In contrast, efficiency score is negatively related to OEOI. Journal: Int. J. of Monetary Economics and Finance Pages: 177-205 Issue: 2 Volume: 3 Year: 2010 Keywords: Islamic banks; banking efficiency; DEA; data envelopment analysis; OIC countries; performance measurement; Islamic finance. File-URL: http://www.inderscience.com/link.php?id=31236 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:177-205 Template-Type: ReDIF-Article 1.0 Author-Name: Tarek Chebbi Author-X-Name-First: Tarek Author-X-Name-Last: Chebbi Author-Name: Slaheddine Hellara Author-X-Name-First: Slaheddine Author-X-Name-Last: Hellara Title: Liquidity and corporate yield spreads: lessons from Tunisian bond market Abstract: This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that this risk is a priced factor for the credit spread associated with corporate bonds. Therefore, the liquidity spread helps to clarify the credit-spread puzzle. This finding suggests that credit spreads may include a liquidity premium that is ignored by traditional pricing models. Further, corporate bond spreads have insignificant exposures to fluctuations in equity market liquidity. Journal: Int. J. of Monetary Economics and Finance Pages: 207-226 Issue: 3 Volume: 3 Year: 2010 Keywords: credit spreads; liquidity risk; corporate bonds; Tunisian bond market; Tunisian equity market; liquidity premium; credit spread puzzle; Tunisia; bond pricing. File-URL: http://www.inderscience.com/link.php?id=33454 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:207-226 Template-Type: ReDIF-Article 1.0 Author-Name: Younes Boujelbene Author-X-Name-First: Younes Author-X-Name-Last: Boujelbene Author-Name: Haifa Hammami Author-X-Name-First: Haifa Author-X-Name-Last: Hammami Author-Name: Aida Kammoun Abdelmoula Author-X-Name-First: Aida Kammoun Author-X-Name-Last: Abdelmoula Title: Detecting and estimating stock market crises: evidence from the Tunisian stock market Abstract: In this paper we identify stock market crises in Tunisia since 1992 using the CMAX method. Our empirical evidence shows that the monetary and financial indicators are considered as explanatory factors signalling the occurrence of these crises. The analysis also highlights some mechanisms that have played a significant role in explaining the occurrence of Tunisian stock market crises. Journal: Int. J. of Monetary Economics and Finance Pages: 227-247 Issue: 3 Volume: 3 Year: 2010 Keywords: stock market crises; investor behaviour; credit; inflation volatility; Tunisian stock market; Tunisia; stock markets; monetary indicators; financial indicators. File-URL: http://www.inderscience.com/link.php?id=33455 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:227-247 Template-Type: ReDIF-Article 1.0 Author-Name: Sujata Kar Author-X-Name-First: Sujata Author-X-Name-Last: Kar Title: UCM: A measure of core inflation Abstract: The primary objective of this paper is to establish the superiority of Unobserved Components Models (UCMs) as a measure of core inflation over alternative econometric methods, namely Structural Vector Autoregressive (SVAR). UCMs have the advantage of allowing the policy makers to decide which components of the headline inflation should be defined as permanent and which one as transitory on the basis of their duration. The paper also comments on the comparative performance of annually differenced series over seasonally differenced series. The UCMs are found to generate reasonable medium to long-term out-of-sample forecasts of Wholesale Price Index (WPI) inflation. Journal: Int. J. of Monetary Economics and Finance Pages: 248-269 Issue: 3 Volume: 3 Year: 2010 Keywords: core inflation; UCM; unobserved components model; out-of-sample forecasts; SVAR; structural vector autoregressive; comparative performance; wholesale price index; WPI inflation. File-URL: http://www.inderscience.com/link.php?id=33456 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:248-269 Template-Type: ReDIF-Article 1.0 Author-Name: Amaresh Das Author-X-Name-First: Amaresh Author-X-Name-Last: Das Title: A test of Ricardian Equivalence and public debt neutrality Abstract: By virtue of the Ricardian Equivalence (RE) proposition, government bonds do not represent net wealth. Therefore, household's savings will increase to offset the government policy. The paper econometrically tests if governments bonds do represent net wealth based on the time series macrodata from India spanning a time from 1990 to 2005. While doing this, the paper explores the dynamic link between domestic government borrowing and private sector savings within a possibly co-integrated system where the joint endogeneity of the variables is allowed. Journal: Int. J. of Monetary Economics and Finance Pages: 270-279 Issue: 3 Volume: 3 Year: 2010 Keywords: co-integrated systems; co-integration; ADF; augmented Dickey–Fuller test; endogeneity; Ricardian equivalence proposition; household savings; government policy; government bonds; net wealth; time series; India; domestic government borrowing; private sector savings. File-URL: http://www.inderscience.com/link.php?id=33457 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:270-279 Template-Type: ReDIF-Article 1.0 Author-Name: Simeon Papadopoulos Author-X-Name-First: Simeon Author-X-Name-Last: Papadopoulos Title: New evidence on banking efficiency in Europe Abstract: This paper explores the issue of banking efficiency in Europe by applying the Fourier functional form and the stochastic cost frontier approach in calculating inefficiencies for a large sample of European banks between 1998 and 2004. This paper provides recent evidence on the degree of efficiency and economic viability of various sizes of banking institutions and tries to contribute a few policy recommendations to the existing literature. The findings suggest that the largest sized banks are generally the least efficient banks and the smallest sized banks are the most efficient. Inefficiencies range between 20% and 25% across different European banking samples. The strongest economies of scale are displayed by Danish, Italian and Spanish banks (scale economies range between 7% and 10%). The impact of technical change in reducing bank costs (ranging from 2.3% to 5.6% per annum) appears to be systematically increasing with bank size. Overall, the results indicate that the largest banks in our sample enjoy greater benefits from technical progress, although they do not have scale economy and efficiency advantages over smaller banks. Journal: Int. J. of Monetary Economics and Finance Pages: 280-299 Issue: 3 Volume: 3 Year: 2010 Keywords: European banking; economies of scale; bank efficiency; banking industry; inefficiencies; technical change; bank costs; cost reduction; bank size. File-URL: http://www.inderscience.com/link.php?id=33458 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:280-299 Template-Type: ReDIF-Article 1.0 Author-Name: Linus Wilson Author-X-Name-First: Linus Author-X-Name-Last: Wilson Title: Slicing the toxic pizza, an analysis of FDIC's Legacy Loans Program for receivership assets Abstract: The Legacy Loans Program (LLP) is an elaborate way of slicing the Federal Deposit Insurance Corporation's (FDIC's) receivership assets. At best, the financial structure is irrelevant to the FDIC's expected long-run recovery rates. Yet, it may boost short-term prices by creating bond insurance liabilities that will come due several years down the road. If the private investor can increase the value of the toxic loans through non-contractible investments, then the public equity stake and subsidised leverage may hinder the FDIC from obtaining the best recovery rates from these troubled loan portfolios. Journal: Int. J. of Monetary Economics and Finance Pages: 300-309 Issue: 3 Volume: 3 Year: 2010 Keywords: banks; FDIC; federal deposit insurance corporation; LLP; legacy loans program; loans; mortgage securities; PPIP; public-private investment partnership; real estate; receivership assets; TARP; toxic assets; recovery rates; USA; United States. File-URL: http://www.inderscience.com/link.php?id=33459 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:3:p:300-309 Template-Type: ReDIF-Article 1.0 Author-Name: Faouzi Abdennour Author-X-Name-First: Faouzi Author-X-Name-Last: Abdennour Author-Name: Karim Ben Khediri Author-X-Name-First: Karim Ben Author-X-Name-Last: Khediri Title: Bank supervision and bank profitability: the case of MENA countries Abstract: Using a panel of Middle East and North Africa (MENA) banks, we examine the effect of on bank profitability in the 1999-2006 period. We find that supervision differences matter. Bank profitability tends to be higher in countries in which supervisors can take legal action against external auditors for negligence, in which the central bank is responsive for supervision. On the contrary, bank profitability is negatively related to the unification of financial supervision and the existence of Deposit Insurance (DI). Also, several bank characteristics and macroeconomic factors are significantly related to bank profitability. Journal: Int. J. of Monetary Economics and Finance Pages: 316-329 Issue: 4 Volume: 3 Year: 2010 Keywords: MENA banks; bank supervision; bank profitability; regulation; scope; supervision structure; supervision independence; Middle East and North Africa countries; legal action; external auditors; negligence; central banks; financial supervision unification; deposit insurance. File-URL: http://www.inderscience.com/link.php?id=35594 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:316-329 Template-Type: ReDIF-Article 1.0 Author-Name: Ibrahim A. Onour Author-X-Name-First: Ibrahim A. Author-X-Name-Last: Onour Author-Name: Bruno S. Sergi Author-X-Name-First: Bruno S. Author-X-Name-Last: Sergi Title: GCC stock markets: How risky are they? Abstract: Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it shows wider range of systematic risk. The paper also shows that the effect of S&P 500 is very minimal on GCC markets volatility, implying that internal factors are more important in the short term than external factors in volatility dynamics. Journal: Int. J. of Monetary Economics and Finance Pages: 330-337 Issue: 4 Volume: 3 Year: 2010 Keywords: systematic risk; VaR; value at risk; generalised Pareto distribution; expected shortfall; extreme risk; risk assessment; risk modelling; Gulf Cooperation Council countries; GCC countries; stock markets; stock market risks; market volatility; Saudi Arabia; Kuwait; Dubai; Abu-Dhabi. File-URL: http://www.inderscience.com/link.php?id=35595 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:330-337 Template-Type: ReDIF-Article 1.0 Author-Name: Ahmed Alzahrani Author-X-Name-First: Ahmed Author-X-Name-Last: Alzahrani Author-Name: Len Skerratt Author-X-Name-First: Len Author-X-Name-Last: Skerratt Title: How markets react to earnings announcements in the absence of analysts and institutions: evidence from the Saudi market Abstract: How stock markets react to news is an established area of research. We examine the behaviour of the Saudi Stock Market (SSM) in response to quarterly earnings announcements where there are no analysts' forecasts, with the aim of examining the efficiency of the market. The SSM seems to underreact to positive news for the first five days and then reactions tend to strengthen in the following weeks, indicating the presence of a Post-Earnings Announcement Drift (PEAD). At the same time, the SSM overreacts to negative news in the first five days and then reverses its direction and reports an upward PEAD. The individually dominated market combined with the absence of analysts' forecasts is the main explanation for this underreaction to positive news and overreaction to negative news. Journal: Int. J. of Monetary Economics and Finance Pages: 338-358 Issue: 4 Volume: 3 Year: 2010 Keywords: PEAD; post-earnings announcement drift; market efficiency; analyst forecasts; SSM; Saudi stock market; over-reaction; under-reaction; Saudi Arabia; stock markets; quarterly earnings announcements; positive news; negative news. File-URL: http://www.inderscience.com/link.php?id=35596 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:338-358 Template-Type: ReDIF-Article 1.0 Author-Name: Abdelgader M.A. Abdullah Author-X-Name-First: Abdelgader M.A. Author-X-Name-Last: Abdullah Author-Name: Hassan B.A. Ghassan Author-X-Name-First: Hassan B.A. Author-X-Name-Last: Ghassan Title: Does the entry of foreign investors influence the volatility of Doha Securities Market? Abstract: The paper examines the presence of structural changes in Doha Securities Market (DSM) by using GARCH models during the period 2002-2008. This issue is related to the market liberalisation reforms permitting foreign investors to enter the equity market in 2005. The analysis reveals a high risk in return equation. The GARCH-Mean model shows that the information flow provided to the market comes from the risk and return variables. There is a high persistence of the shocks in the volatility, but it was less in the first sub-period compared with its persistence after the entry of foreign investors. Journal: Int. J. of Monetary Economics and Finance Pages: 359-373 Issue: 4 Volume: 3 Year: 2010 Keywords: DSM; Doha securities market; EGARCH; Qatar; returns; market volatility; structural change; market reforms; market liberalisation; foreign investors; equity markets; information flow; market risks; risk assessment. File-URL: http://www.inderscience.com/link.php?id=35597 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:359-373 Template-Type: ReDIF-Article 1.0 Author-Name: David Eagle Author-X-Name-First: David Author-X-Name-Last: Eagle Author-Name: Arsen M. Djatej Author-X-Name-First: Arsen M. Author-X-Name-Last: Djatej Author-Name: Robert H.S. Sarikas Author-X-Name-First: Robert H.S. Author-X-Name-Last: Sarikas Author-Name: David Senteney Author-X-Name-First: David Author-X-Name-Last: Senteney Title: The indexing paradox: be thankful for irrational analysts Abstract: This paper introduces the indexing paradox, which states that it if all investors are rational with rational expectations and have a common risk-averse investment performance measure, then no investor can expect to do better than the market. If the cost of indexing is less than the cost of active investing, then all investors would index, which would result with no mechanism to price the possible investments. This paradox relies merely on understanding averages. It does not rely on markets being "informationally efficient", as demonstrated in a model where different investors have differing degrees of informational advantages and disadvantages. Journal: Int. J. of Monetary Economics and Finance Pages: 374-393 Issue: 4 Volume: 3 Year: 2010 Keywords: indexing paradox; index funds; passive investing; active investing; risk-averse investment; performance measures; modelling. File-URL: http://www.inderscience.com/link.php?id=35598 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:3:y:2010:i:4:p:374-393