Template-Type: ReDIF-Article 1.0 Author-Name: Houssam Bouzgarrou Author-X-Name-First: Houssam Author-X-Name-Last: Bouzgarrou Author-Name: Tarek Chebbi Author-X-Name-First: Tarek Author-X-Name-Last: Chebbi Title: Does news on the euro area impact the sovereign yield spreads? Abstract: This paper presents the impact of news on euro area sovereign bond yield spreads vis-à-vis Germany at daily frequency. The analysis is conducted for both 5- and 10-year debts for the period from 15 May, 2012 until 23 April, 2014. An innovative aspect of the study lies in the use of 'Eurointelligence' newsflash to construct our news data. Our empirical analysis produces a number of novel results that support the evidence that news is an important driver for sovereign yield spreads. We specifically find that more news regarding the country-specific crisis raises the yield spreads. Moreover, we find that higher news in one selected country implies an increase in the yield spreads of other countries. Regarding volatility of debt market, it seems to be in most cases of analysis uncorrelated to news. Interesting implications emerge from this paper namely for the asset pricing and risk management. Journal: Int. J. of Monetary Economics and Finance Pages: 4-19 Issue: 1 Volume: 8 Year: 2015 Keywords: news impact; sovereign yield spreads; Euro zone; Germany; debt market volatility; asset pricing; risk management. File-URL: http://www.inderscience.com/link.php?id=69166 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:4-19 Template-Type: ReDIF-Article 1.0 Author-Name: Abderrahmen Aloulou Author-X-Name-First: Abderrahmen Author-X-Name-Last: Aloulou Author-Name: Younes Boujelbene Author-X-Name-First: Younes Author-X-Name-Last: Boujelbene Title: Information flow between derivatives and spot market; the reason of studies results divergence Abstract: This paper explains the lack of general consensus in previous studies on the direction of information flow between stocks and derivatives markets. We assume that informed traders do not develop absolute preference for one market; rather they react to private information as case by case. We provide theoretical and empirical proofs to validate this hypothesis. While deciding where trading, informed traders are attracted by higher liquidity and less transactions costs in spot market, and leverage effect offered by options market. We find that the use of leverage effect, which can largely compensate transactions costs and liquidity lack, depends on exceeding critical value of confidence in anticipation expressed as function of option value elasticity with respect to the underlying asset's price. We conclude that information flow between the stock and option markets depends on informed traders' confidence in anticipation based on private information quality and informed traders psychologies and abilities. Journal: Int. J. of Monetary Economics and Finance Pages: 20-33 Issue: 1 Volume: 8 Year: 2015 Keywords: information flow; informed traders; trader preferences; liquidity; transactions costs; leverage effect; confidence in anticipation; derivatives; spot market; options market; asset prices; stock markets; information quality; private information. File-URL: http://www.inderscience.com/link.php?id=69167 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:20-33 Template-Type: ReDIF-Article 1.0 Author-Name: Mohamed Kadria Author-X-Name-First: Mohamed Author-X-Name-Last: Kadria Author-Name: Mohamed Safouane Ben Aissa Author-X-Name-First: Mohamed Safouane Ben Author-X-Name-Last: Aissa Title: Does inflation targeting decrease the primary budget deficit in emerging markets? An empirical evidence Abstract: This paper tries to extend empirically the literature disciplining effect of inflation targeting (IT) monetary policy on fiscal policy. Based on the previous studies including Abo-Zaid and Tuzemen (2011) and Kadria and Ben Aissa (2014) as well as the dynamic panel method (S-GMM) and the treatment effect approach, our contribution is then to evaluate the effect of the IT's adoption by emerging markets on their budgetary discipline in terms of primary budget deficit performance. Our empirical analysis, conducted on a sample of 34 economies (13 IT and 21 non-IT economies) for the period from 1990 to 2010, show that on average IT adoption has had a significant effect in reducing the primary deficit in emerging countries that have adopted this monetary policy framework. Journal: Int. J. of Monetary Economics and Finance Pages: 34-48 Issue: 1 Volume: 8 Year: 2015 Keywords: inflation targeting; primary budget deficit; S-GMM; treatment effect; emerging markets; monetary policy; fiscal policy; deficit reduction. File-URL: http://www.inderscience.com/link.php?id=69168 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:34-48 Template-Type: ReDIF-Article 1.0 Author-Name: Sihem Mansour Author-X-Name-First: Sihem Author-X-Name-Last: Mansour Author-Name: Slaheddine Hellara Author-X-Name-First: Slaheddine Author-X-Name-Last: Hellara Title: The impact of extreme values on the assessment of financial assets Abstract: This paper develops a new measure of systematic risk for investors in adverse disasters to cover themselves against large losses. Indeed, the frequent application of the average-downside risk capital asset pricing model (CAPM) provides spurious measures particularly during crises. To overcome this problem, this paper proposes, using the EVT, an extension of the Kaplanski's (2004b) CAPM average-CVaR based both on the downside risk and the impact of rare events on the stock return distribution. Using French data, the estimated value of the extreme beta provides a suitable measure of the risk in crisis periods, but overestimates it otherwise. Journal: Int. J. of Monetary Economics and Finance Pages: 49-70 Issue: 1 Volume: 8 Year: 2015 Keywords: CAPM; capital asset pricing model; downside risk; CVaR; EVT; extreme beta; extreme values; stock return distribution; financial assets; risk assessment. File-URL: http://www.inderscience.com/link.php?id=69169 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:49-70 Template-Type: ReDIF-Article 1.0 Author-Name: Rim M. El Khoury Author-X-Name-First: Rim M. El Author-X-Name-Last: Khoury Title: Do macroeconomic factors matter for stock returns? Evidence from the European automotive industry Abstract: This paper applies the multi-index model to explore the sensitivity of the stock return of European automotive companies to some macroeconomic variables. The analysis involves the monthly returns of nine European companies operating in the automotive industry from January 2003 to April 2012 using 15 macroeconomic variables and the market index represented by S%P 350. The study finds that the S%P 350 positively affects stock returns, supporting the single index model. Furthermore, exchange rate, exports and platinum positively affect stock return, while aluminium and unemployment rate negatively affect stock return. The results suggest that a multi-index model using selected macroeconomics variables provides additional power in explaining the variability of the European stock returns in the automobile industry over a single index model using the market index alone. Journal: Int. J. of Monetary Economics and Finance Pages: 71-84 Issue: 1 Volume: 8 Year: 2015 Keywords: automotive firms; automobile industry; Europe; macroeconomic factors; stock returns; multi-index models; exchange rate; exports; platinum; aluminium; unemployment rate. File-URL: http://www.inderscience.com/link.php?id=69170 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:71-84 Template-Type: ReDIF-Article 1.0 Author-Name: Mouna Mrad Author-X-Name-First: Mouna Author-X-Name-Last: Mrad Title: Post-privatisation ownership structure and firm performance: what is the matter? Abstract: This paper attempts to examine the relationship between the post-privatisation ownership structure, performance and value creation within French companies as well through their disciplinary role as their cognitive one. Thus, the relationship between residual government ownership and performance is found convex, after privatisation. Such result implies that the control of the State confers benefits in the privatised companies. Managerial ownership is however negatively related to firm performance. So, we can assume that such structure of ownership is associated to an entrenchment effect rather than an incentive one after privatisation. Employee ownership is also negatively and significantly related to economic performance. Concerning, concentrated ownership we have detect no significant effect on performance. Finally, institutional ownership is found to be significantly and positively related to firm performance. Consequently, our results support the majority of the findings generated by the cognitive theory of governance as well as the disciplinary one. Journal: Int. J. of Monetary Economics and Finance Pages: 85-108 Issue: 1 Volume: 8 Year: 2015 Keywords: privatisation; corporate governance; ownership structure; firm performance; value creation; post-privatisation ownership; France; residual government ownership; employee ownership; managerial ownership; institutional ownership. File-URL: http://www.inderscience.com/link.php?id=69171 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:1:p:85-108 Template-Type: ReDIF-Article 1.0 Author-Name: S. Rahmawati Author-X-Name-First: S. Author-X-Name-Last: Rahmawati Author-Name: Sri Wahyu Agustiningsih Author-X-Name-First: Sri Wahyu Author-X-Name-Last: Agustiningsih Author-Name: Erna Setiany Author-X-Name-First: Erna Author-X-Name-Last: Setiany Title: The effect of earnings management with special item to investment decision: empirical study at manufacture firm listed in Indonesia Stock Exchange 2008-2010 Abstract: The purpose of this study is to examine the effect of earnings management with special items (material items that rarely appear, which are significantly different from a company's main business activity) on investment decisions. Earnings management is measured with special items and investment is measured with capital expenditure. Samples of this study are manufacture firms that are listed in Indonesian Stock Exchange 2008-2010. As a purposive sampling, the secondary data of 47 financial reports of firms are selected. The data are collected from financial reports and Indonesian Capital Market Directory. The result of a regression test is inconsistent with the hypothesis proposed that earnings management with special item does not affect a company's investment decision. This result indicates that manufacturing firms in the research period do not use classification shifting of earnings management. The control variables in this research are cash flow and investment value of previous year (t − 1) that affects investment decisions. Journal: Int. J. of Monetary Economics and Finance Pages: 111-125 Issue: 2 Volume: 8 Year: 2015 Keywords: earnings management; special items; investment decisions; manufacturing industry; Indonesia; financial reports. File-URL: http://www.inderscience.com/link.php?id=70777 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:111-125 Template-Type: ReDIF-Article 1.0 Author-Name: Syaiful Baharee Jaafar Author-X-Name-First: Syaiful Baharee Author-X-Name-Last: Jaafar Author-Name: Mohd Mohid Rahmat Author-X-Name-First: Mohd Mohid Author-X-Name-Last: Rahmat Author-Name: Kieran James Author-X-Name-First: Kieran Author-X-Name-Last: James Title: An empirical examination of the role of the remuneration committee in the relationship between board of directors and remuneration Abstract: There is a serious agency problem when a board of directors' remuneration is not linked with performance. Therefore, a remuneration committee's role is to ensure the remuneration follows proper policies and procedures. This study examines the relationship between the board of directors and remuneration as moderated by the remuneration committee. Its sample size is 386 firms listed in Bursa Malaysia studied from 2007 to 2009. Findings from this study indicate a significant positive relationship between remuneration committees and remuneration, which suggests the effectiveness of the committees. Furthermore, evidence from this study shows that the board of directors has a significant negative influence on non-executives' remuneration. Our study suggests that the non-executive director has less power in remunerative decisions than the executive director, reducing his or her own remuneration. However, this study cannot find evidence of a relationship between the board of directors and executive remuneration. Journal: Int. J. of Monetary Economics and Finance Pages: 126-142 Issue: 2 Volume: 8 Year: 2015 Keywords: remuneration committee; board of directors; executive remuneration; non-executive directors; Malaysia; remuneration decisions. File-URL: http://www.inderscience.com/link.php?id=70778 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:126-142 Template-Type: ReDIF-Article 1.0 Author-Name: Edy Supriyono Author-X-Name-First: Edy Author-X-Name-Last: Supriyono Author-Name: Abdul Kharis Almasyhari Author-X-Name-First: Abdul Kharis Author-X-Name-Last: Almasyhari Author-Name: Djoko Suhardjanto Author-X-Name-First: Djoko Author-X-Name-Last: Suhardjanto Author-Name: S. Rahmawati Author-X-Name-First: S. Author-X-Name-Last: Rahmawati Title: The impact of corporate governance on corporate social disclosure: comparative study in South East Asia Abstract: This study aims to examine the effects of Corporate Governance on corporate social disclosure (CSD) in South East Asian companies as well as to test the difference of levels of CSD. GRI 2006 is used to measure CSD. The samples in this study were drawn from the company's annual reports to the IDX, KLSX and TLSX in 2009. The results of a one-way ANOVA, Turkey HSD method and Bonferroni method analysis show that the effect of Corporate Governance on CSR in Southeast Asia is significantly different. The methods used showed similar results where the different CSD in Indonesia, Malaysia and Thailand are statistically significant at 0.000 below 0.05, while the different CSD in Malaysia and Thailand are not statistically significant at a significance value of 0.84 and both are above the 0.104 significance value at 0.05. This is caused by the differences in Corporate Governance practices in those countries. Journal: Int. J. of Monetary Economics and Finance Pages: 143-161 Issue: 2 Volume: 8 Year: 2015 Keywords: CSD; corporate social disclosure; corporate governance; comparative study; annual reports; South East Asia; Indonesia; Malaysia; Thailand. File-URL: http://www.inderscience.com/link.php?id=70779 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:143-161 Template-Type: ReDIF-Article 1.0 Author-Name: Lia Uzliawati Author-X-Name-First: Lia Author-X-Name-Last: Uzliawati Author-Name: Kartika Djati Author-X-Name-First: Kartika Author-X-Name-Last: Djati Title: Intellectual capital disclosure, corporate governance structure and firm value in Indonesian banking industry Abstract: This paper, using data from 31 banks listed in Indonesia, investigates the relationship of corporate governance structure on firm value with intellectual capital disclosure (ICD) as an mediating variable. The results show that the proportion of independent board and audit committee is positively associated with firm value, while the proportion of independent commissioner, educational background in accounting or finance is negatively associated with firm value; proportion of independent board, audit committee size, proportion of independent audit committee and the educational background of financial accounting or audit committee are positively associated with ICD, as well as disclosure of IC has a positive effect on firm value. Further findings based on the results of path analysis show corporate governance structure affects firm value through ICD. Journal: Int. J. of Monetary Economics and Finance Pages: 162-177 Issue: 2 Volume: 8 Year: 2015 Keywords: intellectual capital disclosure; ICD; corporate governance; firm value; Indonesia; banking industry; independent boards; audit committees; independent commissioners; educational background; governance structures. File-URL: http://www.inderscience.com/link.php?id=70780 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:162-177 Template-Type: ReDIF-Article 1.0 Author-Name: Siwapong Dheera-aumpon Author-X-Name-First: Siwapong Author-X-Name-Last: Dheera-aumpon Title: Can shareholder rights protection reduce corruption in lending? Abstract: An earlier study employing the original shareholder rights protection index from the pioneering law-and-finance paper shows that shareholder rights protection reduces the corruption of bank officials. The original index, however, has been criticised for its accuracy. Using a revised index, this paper reevaluates the relationship between shareholder protection and bank corruption. The results no longer support that shareholder protection can alone reduce bank corruption, but suggest that it can reduce bank corruption when private sector monitoring of banks is sufficiently promoted. Journal: Int. J. of Monetary Economics and Finance Pages: 178-190 Issue: 2 Volume: 8 Year: 2015 Keywords: law; finance; bank corruption; shareholder protection; shareholder rights protection; bank lending; banking industry; bank monitoring. File-URL: http://www.inderscience.com/link.php?id=70781 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:178-190 Template-Type: ReDIF-Article 1.0 Author-Name: Tingli Liu Author-X-Name-First: Tingli Author-X-Name-Last: Liu Author-Name: Qianqian Shi Author-X-Name-First: Qianqian Author-X-Name-Last: Shi Title: Large shareholders' relationship, active shareholder and supervision Abstract: This paper focuses on the impact of shareholders' relationship, active shareholder and earning quality. By combing relationship among top ten shareholders in China's A-share listed companies from 2008 to 2012, we find that shareholders' relationship does exist and accounts a high ratio, thus we propose to utilise active ownership to measure the control collocation. The study result indicates that within the active ownership including the largest shareholder, the better the board of directors can supervise, and the further earning quality would be improved. This effect is more pronounced when the number of active shareholder is large, suggesting that balancing function exists in the active shareholders. Journal: Int. J. of Monetary Economics and Finance Pages: 191-201 Issue: 2 Volume: 8 Year: 2015 Keywords: control rights; shareholder relationships; board of directors; earning quality; large shareholders; active shareholders; supervision; China; collocation; corporate governance. File-URL: http://www.inderscience.com/link.php?id=70782 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:191-201 Template-Type: ReDIF-Article 1.0 Author-Name: Iwan Setiadi Author-X-Name-First: Iwan Author-X-Name-Last: Setiadi Author-Name: S. Purnamasari Author-X-Name-First: S. Author-X-Name-Last: Purnamasari Author-Name: Erna Setiany Author-X-Name-First: Erna Author-X-Name-Last: Setiany Title: Market reaction on income smoothing in the Indonesian manufacturing industry Abstract: The capital market reactions are proxied by cumulative abnormal return (CAR) and stock trading volume (STV) activity, while for the earnings information the proxy of unexpected earnings was used. This research used independent samples tests. The result shows that when measured by CAR, the market does not show any different reaction, but when measured by STV, the market reactions of the income smoothing group are significantly different from those of the non-income smoothing group. Then the sample were split into two group of positive earnings surprise and negative earnings surprise. The positive earnings surprise group shows no different market reaction when measured by CAR, but show different market reaction when measured by STV. The negative earnings surprise group shows no different market reaction when measured by CAR and STV. Journal: Int. J. of Monetary Economics and Finance Pages: 202-212 Issue: 2 Volume: 8 Year: 2015 Keywords: income smoothing; unexpected earnings; market reaction; abnormal returns; stock trading volume activity; Indonesia; manufacturing industry. File-URL: http://www.inderscience.com/link.php?id=70783 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:202-212 Template-Type: ReDIF-Article 1.0 Author-Name: Angrita Denziana Author-X-Name-First: Angrita Author-X-Name-Last: Denziana Title: The effect of audit committee quality and internal auditor objectivity on the prevention of fraudulent financial reporting and the impact on financial reporting quality (a survey on state-owned company in Indonesia) Abstract: The weakness of corporate governance is often called as the cause of some frauds and accounting scandals that were uncovered recently. Some cases, both nationally and internationally, indicate the occurrence of irregularities in financial reporting owing to the weakness of the company's internal control system, and the audit committee has not functioned optimally, resulting in low financial reporting quality (FRQ). The method of the research used explanatory approach. The data were collected through a survey by distributing questionnaires to 60 state-owned company (SOE's) in Indonesia and have been analysed by using partial-least-square modelling to test the hypotheses. The results have concluded that the role of internal controlling and supervision by an audit committee and internal auditor is not effective in conducting monitoring and evaluating on FRQ, because the lack of knowledge and experience in financial accounting, independency attitude, top management commitment and ethical values. Journal: Int. J. of Monetary Economics and Finance Pages: 213-227 Issue: 2 Volume: 8 Year: 2015 Keywords: ACQ; audit committee quality; IAO; internal auditor objectivity; fraudulent financial reporting; FRQ; financial reporting quality; fraud prevention; state-owned enterprises; SOEs; Indonesia; corporate governance; partial least squares; PLS; modelling; internal control; internal supervision; internal monitoring; financial accounting; top management commitment; ethical values; ethics; audit committees; internal auditors. File-URL: http://www.inderscience.com/link.php?id=70784 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:2:p:213-227 Template-Type: ReDIF-Article 1.0 Author-Name: Marcelo de Carvalho Griebeler Author-X-Name-First: Marcelo de Carvalho Author-X-Name-Last: Griebeler Title: On the existence of loss function for some useful classes of central bankers Abstract: We provide several types of central banker's preferences according to their monetary policy choices. Although not exhaustive, our list covers from extreme (conservative and populist) to moderate behaviours, such that it is flexible in relation to the degree of conservativeness, as well as in relation to monetary regimes. We also use the traditional axiomatic approach for utility representation in order to investigate which of those preferences admit numerical representation. Our main finding states that so called stabiliser central bank is the only that admits representation through utility. Nevertheless, we show that even preferences without utility representation may be useful as alternatives for studies which propose different types of central bank. Journal: Int. J. of Monetary Economics and Finance Pages: 229-241 Issue: 3 Volume: 8 Year: 2015 Keywords: central banks; banker preferences; monetary policy; loss function; banker behaviour; banking industry; utility representation. File-URL: http://www.inderscience.com/link.php?id=72331 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:229-241 Template-Type: ReDIF-Article 1.0 Author-Name: Cláudia D. Bernardo Author-X-Name-First: Cláudia D. Author-X-Name-Last: Bernardo Author-Name: Sérgio C. Lagoa Author-X-Name-First: Sérgio C. Author-X-Name-Last: Lagoa Author-Name: Emanuel R. Leão Author-X-Name-First: Emanuel R. Author-X-Name-Last: Leão Title: Determinants of bank customers' demand for liquidity: the effect of bank capital and customers' characteristics Abstract: In contexts of economic instability, investors show an increase in risk aversion and prefer high liquidity and low-risk financial products. In this paper, we study the reasons behind bank customers holding wealth in the form of immediate liquidity. Using micro data on clients' portfolios of a Portuguese bank, we ask whether there is a relationship between bank's capital ratio and the proportion of wealth that clients allocate to demand deposits, which is a relatively unexplored topic in the literature. Special attention is also paid to the impact of investors' financial knowledge regarding portfolio decisions by looking at university education, professional group and age. Results indicate that when banks' capital ratio decreases, savers put a larger fraction of their investment into demand deposits, especially savers with greater risk aversion and knowledge. Finally, we find evidence that investors with a university education or belonging to professional groups with higher skills follow more sophisticated investment strategies. Journal: Int. J. of Monetary Economics and Finance Pages: 242-264 Issue: 3 Volume: 8 Year: 2015 Keywords: financial institutions; liquidity demand; financial literacy; capital ratio; banking industry; deposits; investor behaviour; crisis; Portugal; determinants; bank customers; bank capital; customer characteristics; economic instability; risk aversion; portfolio decisions; university education; professional group; age; investment strategies. File-URL: http://www.inderscience.com/link.php?id=72334 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:242-264 Template-Type: ReDIF-Article 1.0 Author-Name: Ibrahim A. Onour Author-X-Name-First: Ibrahim A. Author-X-Name-Last: Onour Title: Credit for equity investment and stock market volatility: evidence of variance causality Abstract: This paper investigates the causal relationship between stock market price changes and banks' loans for equity investment in Saudi capital markets using Granger's causality test and cross-correlation function (CCF) of standardised residuals. The findings in the paper show that the mean causality between the two capital markets is insignificant whereas the variance causality is significant. This result implies that the effect of news transmission between the two markets has no significant impact on these markets, but there is significant evidence of volatility transmission between the two markets. This means that public information (or news) held by the market participants has insignificant impact on stock price change but unexpected shocks on either market have significant spillover effects. A policy implication of such finding is that to contain irregular surprise shocks on Saudi stock market it is required stronger surveillance on portfolio managers' speculative and manipulative behaviour. Journal: Int. J. of Monetary Economics and Finance Pages: 265-273 Issue: 3 Volume: 8 Year: 2015 Keywords: Saudi Arabia; stock market volatility; speculation; manipulation; bank credit; stock markets; equity investment; variance causality; price changes; bank loans; unexpected shocks; spillover effects; surveillance; portfolio management. File-URL: http://www.inderscience.com/link.php?id=72339 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:265-273 Template-Type: ReDIF-Article 1.0 Author-Name: Yu Hsing Author-X-Name-First: Yu Author-X-Name-Last: Hsing Title: Determinants of the CNY/USD exchange rate: a simultaneous-equation model Abstract: Applying the generalised autoregressive conditional heteroscedasticity (GARCH) model and using a sample during 2005.Q3-2014.Q1, this paper finds that the CNY/USD exchange rate is positively associated with the US interest rate, the US stock price and the inflation rate differential (China's inflation rate minus the US inflation rate) and negatively affected by China's interest rate, US real gross domestic product (GDP), and China's stock price. The coefficient of real GDP in China is positive but insignificant. Journal: Int. J. of Monetary Economics and Finance Pages: 274-281 Issue: 3 Volume: 8 Year: 2015 Keywords: exchange rates; interest rates; gross domestic product; GDP; stock prices; inflation rates; GARCH model; determinants; simultaneous equations; modelling; China; USA; United States. File-URL: http://www.inderscience.com/link.php?id=72341 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:274-281 Template-Type: ReDIF-Article 1.0 Author-Name: Kamel Helali Author-X-Name-First: Kamel Author-X-Name-Last: Helali Author-Name: Maha Kalai Author-X-Name-First: Maha Author-X-Name-Last: Kalai Title: Exchange rate pass-through to domestic prices in Tunisia: a short- and long-run analysis Abstract: This study analyses the impact of the exchange rate fluctuations in the short and long-run in Tunisia under a pure commitment policy through two channels. The first is the structural vector autoregression (SVAR) used to analyse the short run effects of the exchange rate on the industrial production index and on the consumer and import price indexes. The second is the vector error correction model (VECM) used to examine the long-run dynamic effects of the exchange rate upon the same variables relying on Tunisian monthly data during the period from January 1993 to June 2011. Unlike several empirical studies, the exchange rate is found to be a potential source not only of production but also of inflation reduction in Tunisia. Indeed, the direct channel of the exchange rate seems to have a significant impact on production and inflation in the long-run, whereas the indirect one has no effect on the money supply. Journal: Int. J. of Monetary Economics and Finance Pages: 282-301 Issue: 3 Volume: 8 Year: 2015 Keywords: exchange rate pass-through; domestic prices; short-run analysis; long-run analysis; Tunisia; exchange rates; exchange rate fluctuations; structural VAR; vector autoregression; SVAR; vector error correction model; VECM; production; inflation reduction; money supply. File-URL: http://www.inderscience.com/link.php?id=72342 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:282-301 Template-Type: ReDIF-Article 1.0 Author-Name: George Li Author-X-Name-First: George Author-X-Name-Last: Li Title: A maximum likelihood estimator for information precision in the financial market Abstract: We present a continuous-time model of corporate earnings to study how to estimate the precision of information that investors receive from analyst earnings forecasts about firms' expected earnings growth rates in the real financial world. Based on the model, we develop a maximum likelihood estimator, which is then applied to estimate information precision about the expected earnings growth rate for the S%P 500 index. Journal: Int. J. of Monetary Economics and Finance Pages: 318-329 Issue: 3 Volume: 8 Year: 2015 Keywords: information precision; maximum likelihood estimation; MLE; financial markets; continuous time modelling; corporate earnings; earnings forecasting; expected earnings; earnings growth rates; S%P 500. File-URL: http://www.inderscience.com/link.php?id=72343 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:318-329 Template-Type: ReDIF-Article 1.0 Author-Name: Sunghee Choi Author-X-Name-First: Sunghee Author-X-Name-Last: Choi Author-Name: Woohyung Lee Author-X-Name-First: Woohyung Author-X-Name-Last: Lee Title: Features of Korean SMEs exchange exposure Abstract: By making use of a new case study of Korean small and medium sized enterprises (SMEs), I document three remarkable features of exchange exposure of Koran SMEs during 2007∼2011. First, about 19% of the total 351 sample SMEs is significantly exposed to exchange rate changes, which is a higher percentage than prior common results. Second, exchange exposure of Korean SMEs with lower R%D expenditure is more likely to be significantly estimated. Third, the degree of exchange exposure increases as export dependency per employee increases, which shows the situation that Korean SMEs are lack of exchange risk hedging although they highly depend on export. Journal: Int. J. of Monetary Economics and Finance Pages: 302-317 Issue: 3 Volume: 8 Year: 2015 Keywords: SME exchange exposure; South Korea; small and medium-sized enterprises; SMEs; exposure degree; exchange rate changes; R%D expenditure; research and development; export dependency; exchange risk hedging; exports; exchange rates. File-URL: http://www.inderscience.com/link.php?id=72345 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:3:p:302-317 Template-Type: ReDIF-Article 1.0 Author-Name: Anna Purwaningsih Author-X-Name-First: Anna Author-X-Name-Last: Purwaningsih Title: Analysis of customer mindset change and accounting practice of garbage bank as medium of edupreneurship Abstract: This study aims to determine: (1) whether there is a change in individuals' mindset associated with the existence of garbage bank and (2) the accounting practices in Garbage Bank of Badegan (GBB). Garbage bank is the manifestation of public awareness to actively address the issue of garbage management. Thus, garbage bank is a medium for communal education and entrepreneurship. Its concept basically adopts the banking concept. It is not the money which is saved but garbage. This research was conducted at the Gemah Ripah GBB in Bantul, Indonesia by distributing questionnaires to customers. Change of mindset is viewed from environmental and the economic standpoint. Data processing employed the pair sample t-test. The results showed that there was a change in the public mindset before and after joining GBB. Garbage is no longer burned or thrown into the river, but it is managed into value added products. Journal: Int. J. of Monetary Economics and Finance Pages: 332-344 Issue: 4 Volume: 8 Year: 2015 Keywords: garbage banks; information systems; accounting systems; edupreneurship; customer mindset; mindset change; garbage management; communal education; entrepreneurship; Indonesia; waste management; public mindset; value added products; recycling. File-URL: http://www.inderscience.com/link.php?id=73228 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:4:p:332-344 Template-Type: ReDIF-Article 1.0 Author-Name: Angella Faith Lapukeni Author-X-Name-First: Angella Faith Author-X-Name-Last: Lapukeni Title: The impact of financial inclusion on monetary policy effectiveness: the case of Malawi Abstract: Financial inclusion is critical as it leads to an improved reach and effectiveness of monetary policy. The paper used quarterly data for Malawi to conduct empirical analysis of the impact of financial inclusion on monetary policy effectiveness. Using vector autoregression model (VAR), granger causality tests, and basic trend analyses, the study revealed consistent trends and some causality between financial inclusion indicators and inflation: the indicator for monetary policy effectiveness. The results further showed that money supply had an inverse relationship with inflation contrary to economic theory. The findings suggest that this is because the accounting of monetary aggregates does not include the activities of those outside the banking system. With this in view, the study concludes that financial inclusion will enable monetary policy to extend its reach to the financially excluded and aid policy makers to make better predictions of movements in inflation using monetary statistics. Journal: Int. J. of Monetary Economics and Finance Pages: 360-384 Issue: 4 Volume: 8 Year: 2015 Keywords: financial inclusion; financial exclusion; monetary policy; VAR model; vector autoregression model; inflation; Malawi; monetary aggregates; formal financial services; policy effectiveness; monetary statistics. File-URL: http://www.inderscience.com/link.php?id=73229 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:4:p:360-384 Template-Type: ReDIF-Article 1.0 Author-Name: Zaidirina Author-X-Name-First: Author-X-Name-Last: Zaidirina Author-Name: Lindrianasari Author-X-Name-First: Author-X-Name-Last: Lindrianasari Title: Corporate governance perception index, performance and value of the firm in Indonesia Abstract: This study aims to analyse the relationship between corporate governance perception index (CGPI), value and firm performance in Indonesia, based on agency and signalling theory. Analysed data are secondary data obtained by purposive sampling method. Multiple regression analysis instruments are used to test the hypothesis that there is any relationship between CGPI on one hand and firm value and performance on the other. CGPI data used in this study is the result of Indonesian Institute for Corporate Governance rating in 2007-2011. Accounting data used is the firm's value and performances (ROE and ROA). The result of this study shows that CGPI, industry type and firm's age affect ROE. CGPI affects ROE negatively while industry type and firm's age affect ROE positively. Unfortunately, CGPI, industry type and firm age do not affect ROA, and the result of Tobin's Q regression analysis shows that both CGPI variable and control variable do not statistically affect firm value. Journal: Int. J. of Monetary Economics and Finance Pages: 385-397 Issue: 4 Volume: 8 Year: 2015 Keywords: corporate governance perception index; CGPI; firm value; return on assets; ROA; return on equity; ROE; firm performance; Indonesia; agency theory; signalling theory; industry type; firm age. File-URL: http://www.inderscience.com/link.php?id=73230 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:4:p:385-397 Template-Type: ReDIF-Article 1.0 Author-Name: Leliana Maria Angela Author-X-Name-First: Leliana Maria Author-X-Name-Last: Angela Author-Name: Fitria Husnatarina Author-X-Name-First: Fitria Author-X-Name-Last: Husnatarina Title: Effect of auditor and client negotiation experience on audit results: an experimental test Abstract: This study examines the effect of auditor and client negotiation experience in terms of asset valuation cases. The research background is the fact that negotiations become an important part of the audit process and experience is thought to be an important factor in negotiation processes. We conduct 2 × 2 between subject the experiment setting. We use 40 students majoring in Accounting and Management as a surrogate of auditor and client. Our result shows that negotiation experience affects the outcome of negotiations. Auditor with higher negotiation experience will provide more conservative asset value at the end of the negotiation process. Our result also argues that negotiation experience will enable auditor to withstand the pressures of the client. This study contributes to audit practise that public accounting firms who need to prepare their auditors with good negotiation skills when dealing with the management. Journal: Int. J. of Monetary Economics and Finance Pages: 345-359 Issue: 4 Volume: 8 Year: 2015 Keywords: auditor-client negotiation; auditor experience; client experience; negotiation skills; negotiation outcome; asset valuation; conservative asset value; management pressure; public accounting; audit process. File-URL: http://www.inderscience.com/link.php?id=73231 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:4:p:345-359 Template-Type: ReDIF-Article 1.0 Author-Name: Junnosuke Shino Author-X-Name-First: Junnosuke Author-X-Name-Last: Shino Title: A global game analysis of the LLR: the role of creditors' behaviour and penalty rate lending Abstract: We construct a global-game LLR model in which the policy maker to provide LLR is an explicit player that cannot distinguish solvent from insolvent banks ex ante. We first show that creditors' aggregate behaviour to withdraw their funds operates as a signal to the policy maker about banks' solvency. Then it is shown that the policy maker optimally helps only illiquid but solvent banks and the lending rates are strictly positive whenever LLR is utilised. The rates can be seen as 'conditionally punitive' in the sense that they take the highest level under the restriction that the solvent borrowers survive. Journal: Int. J. of Monetary Economics and Finance Pages: 398-421 Issue: 4 Volume: 8 Year: 2015 Keywords: LLR; lender of last resort; global games; Bagehot Doctrine; penalty rate lending; game analysis; creditor behaviour; fund withdrawals; bank solvency; lending rates; solvent banks; insolvent banks; banking industry. File-URL: http://www.inderscience.com/link.php?id=73232 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:8:y:2015:i:4:p:398-421