Forthcoming articles


Afro-Asian Journal of Finance and Accounting


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Afro-Asian J. of Finance and Accounting (12 papers in press)


Regular Issues


  • Foreign ownership and stock market liquidity: evidence from Vietnam   Order a copy of this article
    by Xuan Vinh Vo 
    Abstract: This paper investigates the relationship between the level of foreign ownership in a firm and the liquidity of the firm stock in the Vietnam stock markets. We employ a rich and detailed dataset representing foreign portfolio investment, liquidity and other firm attributes in the Vietnamese context. Our dataset ranges from 2006 to 2012, covering most of non-financial firms listed on Ho Chi Minh City stock exchange. Using a wide number of econometric techniques for panel data analysis, the results from our analysis indicate that increased foreign investment in firms is not associated with higher liquidity. The results also confirm the long-term buy and hold strategy of foreign investors in Vietnam stock market.
    Keywords: foreign ownership, liquidity, Vietnam stock market
  • Does family group affiliation matter in CSR reporting? Evidence from Yemen   Order a copy of this article
    by Nahg Abdul Majid Alawi, Azhar Abdul Rahman, Azlan Amran, Mehran Nejati 
    Abstract: While earlier studies have shown the role of family affiliation on increased social responsibility of firms, there is a dearth of literature on how family group affiliation moderates the link between companys characteristics and social responsibility disclosure. This study aimed to investigate this moderating effect through performing a moderated multiple regression analysis on empirical data gathered from the 73 most active shareholding companies in Yemen. Findings from the study indicated that family group affiliation has a significant moderating effect on the relationships between a companys characteristics and corporate social responsibility disclosure: the relationship was found to be stronger for family group affiliated companies compared with the non-family group affiliated ones. The study has bridged the literature gaps by offering empirical evidence and new insights on the significant moderating effects of family group affiliation in the relationships between a companys characteristics and corporate social responsibility disclosure using the Yemeni samples.
    Keywords: family group affiliation, corporate social responsibility disclosure, company characteristics, CSR, Yemen
  • Quality of corporate reporting: case studies from an emerging capital market   Order a copy of this article
    by Nelson Waweru, George Riro, Enrico Uliana 
    Abstract: The main objective of this study was to establish the quality of information reported by Kenyan listed companies from a financial analysts perspective. In addition, the study sought to investigate the main sources of information for financial analysts, whether a reporting gap existed, and the challenges encountered by financial analysts when seeking information. The research design used multiple case studies to investigate the analysts perceptions, and face-to-face interviews and questionnaires were used in data collection. This study concluded that the quality of information reported by Kenyan listed companies is high, and a reporting gap existed. Furthermore, that the information reported was considered to be more comparable was attributed to the adoption of the International Financial Reporting Standards. This study is significant to investors who rely on accounting information to make investment decisions.
    Keywords: financial analysts, quality of reporting, reporting gap, emerging markets, Kenya
  • Performance analysis of institutional shareholdings: an empirical study of top-fifty non-financial listed firms in Sri Lanka   Order a copy of this article
    by Nadarajah Sivathaasan, Kosgolla Anura Udaya Kumara 
    Abstract: In this paper, we examine the impact of institutional shareholdings on the financial performance of the top-fifty non-financial firms in Sri Lanka by analysing 215 firm-year observations over the five-year period from 2009 to 2013. We find evidence of a higher proportion of institutional ownership on total shareholdings, leading to a negative impact on both measure of accounting (ROA) and market performance (Tobins Q), which strongly fit into goodness of the given model at 1% level of significance. Also, we report the adjusted R2 of accounting performance significantly higher than that of market performance. Further, we document a positive and significant impact of leverage and liquidity on accounting and market performance respectively, whereas firm size shows a negative and significant influence on both performance measures. The findings of this study assist policy makers, financial managers and investors in making investment decisions.
    Keywords: institutional shareholdings; accounting performance; market performance; firm size; leverage; liquidity.
  • Market efficiency in developed and emerging markets   Order a copy of this article
    by Ankit Sharma, Keyur Thaker 
    Abstract: Weekly and monthly returns of stock indices and portfolios of stock indices were analysed to investigate the weak form of market efficiency in developed and emerging capital markets, using standard tests of market efficiency. Our results, based on an analysis of 13 years of data, shows mixed results for different indices. However, portfolio returns of developed and emerging markets indicate the absence of market efficiency. Developed markets show inefficiency for monthly returns, which is contrary to the conventional perception that developed markets are efficient in comparison with emerging markets owing to their longer existence, better maturity, depth and technological development.
    Keywords: augmented Dickey-Fuller test; autocorrelation; efficient market hypothesis; Johansen cointegration test; market efficiency; Phillips-Perron test; runs test; unit root test
  • A new proxy for investor sentiment: evidence from an emerging market   Order a copy of this article
    by Dima Alrabadi 
    Abstract: This study proposes order imbalance as a proxy for investor (market) sentiment. Using daily data from the Amman Stock Exchange over the period 2004-2013, we find that the daily aggregate order imbalance measures and specifically the value of buyer-initiated shares less the value of seller initiated shares serves as an excellent proxy for investor sentiment. Thus, it shows a highly significant effect on the daily aggregate market returns even after controlling for the effects of lagged market returns and liquidity. Order imbalance proxies convey more information about market returns than trading activity measures. The Granger causality tests illustrate a bi-directional causality between investor sentiment and aggregate market returns.
    Keywords: investor sentiment, order imbalance, market returns, behavioral finance, Amman Stock Exchange.
  • Foreign direct investment and economic growth: empirical evidence from India   Order a copy of this article
    by Mohanasundaram Thangamuthu, Karthikeyan Thangamuthu Parthasarathy 
    Abstract: Foreign Direct Investment (FDI) inflows are considered to be one of the key factors in determining economic growth. As a fast developing economy, India has attracted a lot of FDI in the recent past. The country, which enjoys a higher economic growth, is in a great position to attract larger FDI as it has the ability to generate higher return on the foreign investments. The study discusses the relationship between FDI flows into the country and economic growth during the period January 2000 to December 2014 using the quarterly data. The purpose of the study is to find the interrelationship between FDI and Gross Domestic Product (GDP) in India. The study uses correlation, the Granger causality test, the Johansen cointegration test and Vector Autoregression (VAR) for studying the interrelationship between the variables. This study explores a positive association between the FDI inflows and GDP in the Indian economy. The study explores the unidirectional relationship flowing from FDI to GDP.
    Keywords: economy, FDI, GDP, correlation, Granger causality, cointegration, VAR.
  • Impact of ownership structure on dividend smoothing: a comparison of family and nonfamily firms   Order a copy of this article
    by Ejaz Hussain, Attaullah Shah 
    Abstract: In this paper, we use unique features of Pakistans corporate environment to test information asymmetry and agency theories in explaining dividend smoothing behaviour of firms. Based on a sample of 150 non-financial firms listed at the Karachi Stock Exchange over the period of 1999 to 2012, we find evidence that the degree of dividend smoothing in family firms is lower than the degree of dividend smoothing in non−family firms. Our findings are more in line with the implications of information asymmetry theory. Moreover, our findings suggest that firms in Pakistan follow more flexible dividend policies as compared to developed markets, despite the fact that Pakistan is in classical tax system.
    Keywords: dividend smoothing, ownership structure, family firms, KSE, Pakistan, signalling theory, agency theory
  • The determinants of exchange rate risk management in developing countries: evidence from Indonesia   Order a copy of this article
    by Nevi Danila, Chia-Hsing Huang 
    Abstract: Studies on exchange-rate risk management have been conducted in developed countries. However, such issues in the context of developing countries are still very rarely addressed. The study is important owing to the negative impact of foreign exchange exposure for not only a country but also a region. This study investigates determinants of exchange-rate risk management (hedging) in Indonesian firms. Using 276 samples of listed firms in the Indonesia Stock Exchange and employing a Logit regression model, we found that only firm size is associated with a hedging in the listed companies. Other variables such as growth, a substitute of hedging, profitability and agency cost are not significant. The findings are not consistent with the study proposed in developed countries. It suggests that most of the large Indonesian companies are conglomerates with controlling shareholders who have the authority for hedging and making financing decisions. The finding also suggests that the hedging market in Indonesia is not yet mature. Furthermore, firms are either not familiar with the hedging instruments or may not be big enough to hire professionals to deal with the complicated and costly hedging instruments.
    Keywords: derivatives, firm size, market to book asset ratio, risk management, hedging
  • Signalling by IPO grading: an empirical investigation   Order a copy of this article
    by Seshadev Sahoo 
    Abstract: This paper investigates the efficacy of IPO grading as certification. We find that subscription rate varies across grades (i.e. Grade = 1, 2, 3, 4, and 5). Using a dataset of 116 IPOs issued during 2007-2011, we find higher graded IPOs are lesser underpriced, and invite more subscription across different investor groups. However, grading has little impact on post listing price volatility. Hence, the role of IPO grading in providing an objective assessment of the quality of the issue from the viewpoint of controlling after market volatility is doubtful. Further, distribution of penultimate subscription rate of different investor groups across grades suggests that non-institutional retail investors are poor at reading different grade values. This study contributes to the growing body of certification hypothesis for IPOs. This study provides a new direction to the study of underpricing, subscription rate and volatility for the Indian IPOs when grading of IPOs was made binding.
    Keywords: IPO, grading, underpricing, volatility, subscription rate, venture capital, parent group, investment bank prestige.
  • An empirical study on index changes on the Indonesia Stock Exchange   Order a copy of this article
    by Abdur Rafik, I Wayan Nuka Lantara 
    Abstract: The presence of a positive (negative) price response to stock additions (deletions) to (from) an index has been getting attention owing to its deviation from the perfectly elastic demand curve of stocks. This study sheds light on this issue in the Indonesian context, using various index categories. The results intriguingly differ from prior research in most developed countries that have confirmed a positive (negative) price response to stocks added (removed) to (from) an index. Price response patterns are even opposite, which are negative (positive) for some additions (deletions), and they seem to reject the prediction of information-based hypotheses. The positive(negative) price response to (added) deleted stocks is associated with (low) high liquidity, (low) high leverage, and (high) low growth opportunity. These results seem to confirm the advantage of value premium strategy in the Indonesian capital market.
    Keywords: demand-based hypothesis, index changes, index rebalancing, index revisions, information-based hypothesis, price responses, price pressure hypothesis, stock additions, stock deletions

Special Issue on: "Recent Financial Developments in Vietnam,"

  • Key determinants of inflation and monetary policy in the emerging markets: evidence from Vietnam   Order a copy of this article
    by Mohammed Elgammal, Mohamed Eissa 
    Abstract: The study explores the key determinants of inflation in Vietnam for a period of ten year (2000-2011) using the explanatory variables: past inflation, real income, money supply, exchange rate, interest rate and world oil price. This study uses the vector error correction model to investigate the relationship among inflation and the above variables. We found a significant relationship among inflation and three variables, past inflation, real income and exchange rate. Moreover, the past inflation variable plays the most important role in explaining the current inflation in Vietnam. The exchange rate passthrough is found to have a remarkable influence on inflation in the short run; in particular, a reduction in exchange rate will lead to higher prices. Real income has a negative and small impact relationship with inflation, while the other explanatory variables have insignificant impact on inflation.
    Keywords: inflation; Vietnam; emerging markets; vector error correction model; monetary policy