Template-Type: ReDIF-Article 1.0 Author-Name: Michail Filippidis Author-X-Name-First: Michail Author-X-Name-Last: Filippidis Author-Name: Renatas Kizys Author-X-Name-First: Renatas Author-X-Name-Last: Kizys Author-Name: George Filis Author-X-Name-First: George Author-X-Name-Last: Filis Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Title: The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis Abstract: This study examines the globalisation-regionalisation hypothesis in the WTI/Brent crude oil futures price differential by considering a set of potential crude oil-market specific and oil futures market specific determinants at 1, 3 and 6 months to maturity contracts. We employ monthly data over the period 1993:1-2016:12. Our results show that different determinants explain the spread between the WTI and Brent futures prices at different maturities. In the shorter-run maturities (1-month and 3-month) we find that spreads of the convenience yield, oil production, open interest and trading volume exercise significant effects in the WTI/Brent futures price differential. By contrast, for longer-run maturities (6-month), spreads of the oil production, oil consumption and open interest seem to exercise the most significant effects. We further provide evidence of a regionalised oil futures market over the short-run. The findings of this study provide valuable information to energy investors, traders and hedgers. Journal: Int. J. of Banking, Accounting and Finance Pages: 3-38 Issue: 1 Volume: 10 Year: 2019 Keywords: Brent; convenience yield; globalisation-regionalisation hypothesis; oil futures differential; WTI. File-URL: http://www.inderscience.com/link.php?id=99309 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:1:p:3-38 Template-Type: ReDIF-Article 1.0 Author-Name: Dimitrios I. Vortelinos Author-X-Name-First: Dimitrios I. Author-X-Name-Last: Vortelinos Author-Name: Konstantinos Gkillas Author-X-Name-First: Konstantinos Author-X-Name-Last: Gkillas Title: Reaction of EU stock markets to ECB policy interventions Abstract: This paper investigates the significance and impact of ECB policy interventions on European stock markets. We conducted an event study and a regression analysis. Our data is drawn from the stock indices of the countries of all 28 members of the European Union (Euro members and non-euro members). Our dataset begins on 1 January 2001 and ends on 31 December 2014, for a total of 3,906 trading days. During the sample period, 394 policy interventions are considered as significant dates. Our results provide strong evidence in favour of a positive and statistically significant reaction to most of the ECB's policy interventions. The most important category of events is the financial sector (FSE). Journal: Int. J. of Banking, Accounting and Finance Pages: 39-66 Issue: 1 Volume: 10 Year: 2019 Keywords: abnormal returns; policy interventions; event study; financial crisis. File-URL: http://www.inderscience.com/link.php?id=99310 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:1:p:39-66 Template-Type: ReDIF-Article 1.0 Author-Name: Erwinna Chendra Author-X-Name-First: Erwinna Author-X-Name-Last: Chendra Author-Name: Kuntjoro Adji Sidarto Author-X-Name-First: Kuntjoro Adji Author-X-Name-Last: Sidarto Author-Name: Muhammad Syamsuddin Author-X-Name-First: Muhammad Author-X-Name-Last: Syamsuddin Author-Name: Dila Puspita Author-X-Name-First: Dila Author-X-Name-Last: Puspita Title: Pricing 'partial-average' Asian options with the binomial method Abstract: An Asian option is path-dependent derivatives whose payoff depends on the average of the underlying asset price over a certain pre-specified period of time. There is no simple closed-form solution for arithmetic Asian option hence the development of efficient and accurate numerical methods has become critical. In this paper, a modified binomial method is presented for pricing a more common arithmetic Asian option, by averaging the asset between two time periods in the life span of the option. This option is called the 'partial-average' Asian option. Subsequently, the representative averages are used instead of the actual ones for pricing the option. The set of representative averages is constructed first by determining the maximum and the minimum averages, where other averages are calculated by dividing equally the distance between the maximum and the minimum averages. For Asian option with average strike, if the distance between two time periods is widened by shifting the second time period to the right then the price becomes lower. But if the distance is widened by shifting the first time period to the left then the price becomes higher. The algorithm is not only simple but also easy to implement. Journal: Int. J. of Banking, Accounting and Finance Pages: 101-116 Issue: 1 Volume: 10 Year: 2019 Keywords: Asian option; partial-average; binomial method. File-URL: http://www.inderscience.com/link.php?id=99311 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:1:p:101-116 Template-Type: ReDIF-Article 1.0 Author-Name: Taufiq Choudhry Author-X-Name-First: Taufiq Author-X-Name-Last: Choudhry Author-Name: Mohammad Hasan Author-X-Name-First: Mohammad Author-X-Name-Last: Hasan Author-Name: Yuanyuan Zhang Author-X-Name-First: Yuanyuan Author-X-Name-Last: Zhang Title: Forecasting the daily dynamic hedge ratios in emerging European stock futures markets: evidence from GARCH models Abstract: This paper empirically estimates and forecasts the hedge ratios of three emerging European and one developed stock futures markets by means of seven different versions of GARCH model. The seven GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-DCC, GARCH-X, GARCH-GJR and GARCH-JUMP. Daily data during January 2000-July 2014 from Greece, Hungary, Poland and the UK are applied. Forecast errors based on these four stock futures portfolio return forecasts (based on forecasted hedge ratios) are employed to evaluate out-of-sample forecasting ability of the seven GARCH models. The comparison is done by means of model confidence set (MCS) and modified Diebold-Mariano tests. Forecasts are conducted over two non-overlapping out-of-sample periods, a two-year period and a one-year period. MCS results indicate that the GARCH model provides the most accurate forecasts in five cases, while each of the GARCH-ECM, GARCH-X and GARCH-GJR models constitutes model confidence set in four cases at a reasonable confidence level. Models selection based on modified Diebold-Mariano tests further corroborate results of the MCS tests. Differences between the portfolio returns also indicate the high forecasting ability of GARCH-BEKK and GARCH-GJR models. Journal: Int. J. of Banking, Accounting and Finance Pages: 67-100 Issue: 1 Volume: 10 Year: 2019 Keywords: forecasting; hedge ratio; generalised autoregressive conditional heteroscedastic; GARCH; emerging market; volatility. File-URL: http://www.inderscience.com/link.php?id=99316 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:1:p:67-100 Template-Type: ReDIF-Article 1.0 Author-Name: Yong Tan Author-X-Name-First: Yong Author-X-Name-Last: Tan Author-Name: Christos Floros Author-X-Name-First: Christos Author-X-Name-Last: Floros Title: Risk, competition and cost efficiency in the Chinese banking industry Abstract: Using a sample of Chinese commercial banks over the period 2003-2013, this paper tests the interrelationships between credit risk, competition and cost efficiency in the Chinese banking industry under a three-stage least square estimator. The findings suggest that a higher level of competition leads to higher credit risk of Chinese commercial banks and a higher level of efficiency leads to lower credit risk. In addition, it is found that higher level of efficiency results in higher level of competition in the Chinese banking industry and higher levels of credit risk precede an increase in the level of competition. Finally, the results show that Chinese commercial banks with higher levels of credit risk have lower levels of cost efficiency and competition-efficiency hypothesis holds in the Chinese banking industry. The results provide policy implications to the Chinese Government and banking regulatory authorities. Journal: Int. J. of Banking, Accounting and Finance Pages: 144-161 Issue: 2 Volume: 10 Year: 2019 Keywords: credit risk; competition; cost efficiency; Chinese banking; three-stage least square. File-URL: http://www.inderscience.com/link.php?id=99424 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:2:p:144-161 Template-Type: ReDIF-Article 1.0 Author-Name: Samer A.M. Al-Rjoub Author-X-Name-First: Samer A.M. Author-X-Name-Last: Al-Rjoub Author-Name: Hussam Q. Al-Azzam Author-X-Name-First: Hussam Q. Author-X-Name-Last: Al-Azzam Title: Time varying volatility and asymmetric news effect during financial crises evidence from DJIA, S%P 500, NASDAQ and FTSE 100 indices Abstract: We look at historical episodes in the USA over the last 100 years of major stock market crashes in the Dow Jones industrial average (DJIA), the S%P 500 and the NASDAQ indices to examine the effect of financial crises on stock returns and the news effect. Our main results are: 1) crises affect stock market returns negatively; 2) the monotonic relationship between risk and return is more obvious during crises than without crises; 3) volatility of stock returns is high during crises; 4) the asymmetric news effect (leverage effect) is negative and statistically different from zero for the three indices in all scenarios; 5) the asymmetric news effect is more obvious for the weekly stocks returns. Based on these results, we believe that people's reaction is homogenous and recurs. Psychological factors affect invertors' behaviour during crises where panic magnifies the effect of crises and is reflected in the form of increased volatility and overreaction to bad news. In addition, we replicate the same tests on the FTSE 100 of UK and results coincide. Journal: Int. J. of Banking, Accounting and Finance Pages: 117-143 Issue: 2 Volume: 10 Year: 2019 Keywords: crises; volatility; news effect; psychological factors. File-URL: http://www.inderscience.com/link.php?id=99425 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:2:p:117-143 Template-Type: ReDIF-Article 1.0 Author-Name: Thi Phuong Thao Hoang Author-X-Name-First: Thi Phuong Thao Author-X-Name-Last: Hoang Author-Name: Duc Nam Phung Author-X-Name-First: Duc Nam Author-X-Name-Last: Phung Title: Leverage and investment: a view of prominent role of state ownership Abstract: The study investigates the relationship between leverage and investment in the presence of state ownership in an emerging market. The paper finds that leverage is negatively correlated to corporate investment. This negative relationship is different among firms with different growth opportunities in which the negative relation is significantly larger for low growth companies than high growth ones. Furthermore, when the role of state ownership at both bank and firm levels is taken into account, we find that state ownership tends to attenuate the negative relationship between leverage and investment. The results imply a biased and less-constrained lending policy of a banking system wherein state-owned banks dominate. This bias, in turn, causes over-and-inefficient investments in state-owned firms. Journal: Int. J. of Banking, Accounting and Finance Pages: 181-212 Issue: 2 Volume: 10 Year: 2019 Keywords: corporate governance; leverage; investment; state ownership; finance; emerging markets. File-URL: http://www.inderscience.com/link.php?id=99430 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:2:p:181-212 Template-Type: ReDIF-Article 1.0 Author-Name: Nektarios A. Michail Author-X-Name-First: Nektarios A. Author-X-Name-Last: Michail Title: Stock market predictability 2000-2014: the effect of the great recession Abstract: The return predictability of 242 companies with continuous daily trading in the Standard and Poor's index during the 2000-2014 period is examined using rolling variance ratio tests. The results indicate that predictability is time-varying and stock-specific, a finding which is in accordance to the adaptive market hypothesis. During the great recession the number of stocks whose returns were found to be predictable increased substantially, especially during the period of Lehman Brothers bankruptcy. Importantly, predictability is found to be driven by changing market conditions, such as stock market volatility and economic fundamentals. Journal: Int. J. of Banking, Accounting and Finance Pages: 162-180 Issue: 2 Volume: 10 Year: 2019 Keywords: stock market predictability; adaptive markets; great recession; mean reversion. File-URL: http://www.inderscience.com/link.php?id=99431 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:2:p:162-180 Template-Type: ReDIF-Article 1.0 Author-Name: Kenneth A. Tah Author-X-Name-First: Kenneth A. Author-X-Name-Last: Tah Title: Securitisation, loan specialisation and bank risk Abstract: This study examines the effect of securitisation on the loan portfolio, investigating its impact on bank loan specialisation. Using US bank holding company data from 2001: Q2 to 2014: Q1, I find a positive relation between securitisation and bank loan specialisation, driven primarily by securitised mortgages. This study in addition examines securitisation's effect on the negative relationship (as observed in previous studies) between loan specialisation and bank risk, finding that within the period of our studies, securitisation weakens that relationship. Such results suggest that within the focus period of this study, mortgage backed securitisation in particular resulted in an overall specialisation of credit, in ways that weakens the risk benefit associated with loan specialisation. Journal: Int. J. of Banking, Accounting and Finance Pages: 213-229 Issue: 2 Volume: 10 Year: 2019 Keywords: securitisation; loan specialisation; bank risk; bank holding company; BHC; mortgage backed securitisation. File-URL: http://www.inderscience.com/link.php?id=99432 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:injbaf:v:10:y:2019:i:2:p:213-229