Afro-Asian J. of Finance and Accounting (7 papers in press)
- An empirical study on index changes on the Indonesia Stock Exchange
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
- Impacts of the US monetary policy on the Vietnamese stock market
by Xuan Vinh Vo, Phuc Canh Nguyen
Abstract: Understanding the impacts of the US monetary policy on the Vietnamese stock market is important for many stakeholders since Vietnam has been gradually integrated into the global economy. There have been increased relationships in trade, investment and other activities between Vietnam and the USA in the last few decades. Employing dynamic panel data techniques, we find that the US monetary policy has strong impacts on the Vietnamese stock market. Moreover, we document that these impacts are affected by the Vietnamese firms' characteristics, including firm size, market-to-book ratio and financial leverage. The estimation results also confirm the impacts of firm size and market-to-book equity on stock returns as suggested by the Fama-French model. Vietnamese stock returns are also driven by the countrys macroeconomic condition, monetary policy, inflation, and stock market performance.
Keywords: US monetary policy, stock market, Vietnamese firm stocks.
- Determinants of Compliance and Disclosure Requirements by Top Listed Companies under Malaysian Code of Corporate Governance (2012)
by Prem Lal Joshi, Nik Mohammed Zaki Sallah, Hamsatulazura. .Hamzah, Shaista Wasiuzamman,, Anbalagan Krishnan
Abstract: This study examines the compliance and disclosure levels of corporate governance practices of Malaysian firms under the Malaysian Code of Corporate Governance (MCCG) 2012. Additionally, the study aims to deepen our understanding of the main drivers of corporate governance reporting in one of the fast developing countries in Asia. The study consists of 84 top companies listed with Bursa Malaysia by extracting data from their 2013 annual reports. The study uses 64 corporate governance disclosure items to develop a disclosure index which is taken as the dependent variable. The overall voluntary compliance and disclosure in Malaysias top listed companies is good with an average of 77.1%, with minimum compliance level being 50% and maximum being 90%. Firm characteristics and corporate governance mechanisms are taken as the independent variables. Using OLS regression, the study finds that board size, institutional ownership, foreign ownership, profitability, and auditor size are the main determinants of corporate governance disclosure in Malaysia under MCCG 2012. The paper contributes to the literature on disclosure, and the reported findings are broadly consistent with the notion that good corporate governance generally leads to better corporate disclosure and transparency in developing capital markets.
Keywords: corporate governance, disclosure, ownership, profitability, auditor size, MCCG (2012), board size.
- Financial instruments disclosure: the case of Qatari listed banks
by Abdolvahid Mohammadi, Ghassan H. Mardini
Abstract: The main aim of this study is to investigate determinants of International Financial Reporting Standard (IFRS) 7 disclosures and the impact of the standards implementation on Qatari listed banks. An un-weighted disclosure index (DI) and multiple regression analysis were employed. The sample includes data for only Qatari listed banks (eight banks) over the years from 2007 (the first year of IFRS 7s implementation) to 2012. The banks characteristics employed are company size, the existence of a Risk Management Committee (RMC), Net Assets Value (NAV), the Cost to Income ratio (CTI), Earning per Share (EPS) and the Price Earning (PE) ratio. The study documents that quite high levels of disclosure about financial instruments are provided by Qatari banks; in 2007, the level was 52% and by the end of 2012 it had reached 71%. Moreover, the study finds that the level of financial instruments disclosure is significantly and positively associated with a banks size and the presence of an RMC. This study contributes to our knowledge in a number of ways: for example, it provides a great deal of insight about the current level of compliance with IFRS 7 in Qatar. It indicates how IFRS 7s implementation has impacted on banks financial instruments disclosures. In addition, it provides evidence about some of the factors that may influence the level of financial instruments disclosure among financial institutions in a developing country such as Qatar.
Keywords: IFRS 7, IAS 30, IAS 32, IAS 39, financial instruments disclosure, Qatari banks.
Special Issue on: "Recent Financial Developments in Vietnam,"
- Key determinants of inflation and monetary policy in the emerging markets: evidence from Vietnam
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
- Testing the existence of transfer pricing in Vietnam
by Nguyen Khac Quoc Bao, Nguyen Huu Huy Nhut, Tri Nguyen Dinh
Abstract: Transfer pricing or the manipulation of transfer prices is to set the price of intra-firm transactions different from market prices in order to shift incomes from high-tax locations to low-tax ones. Hence, a multinational corporation can decrease its global tax burden. This study applies the model of transfer pricing incentive of Swenson (2001) by employing the Generalized Method of Moments (GMM) to consider the effect of income tax rate and tariff rates on the setting of transfer prices in ten commodity groups of multinationals operating in Vietnam from 2008 to 2013. The study concludes a positive correlation between changes of transfer pricing incentives and changes of reported transfer prices. Furthermore, the findings also show that when the Vietnamese income tax rate increases, the income tax rate in the headquarters country of parent firms decreases, or when the Vietnamese tariff rate decreases, the level of reported transfer prices of imports from the parent firm to its affiliates in Vietnam increases, for the majority of investigated commodity groups (except motor vehicles).
Keywords: transfer pricing, tariff rate, income tax rate, GMM
Special Issue on: "Recent financial developments in Vietnam"
- Accessibility to credit of small and medium size enterprises in Vietnam
by Thieu Dao Ha Thi, Mai Nguyen Thi, Kim Nguyen Thien
Abstract: The growing prospect of a SME highly depends on its potential to invest in restructuring and innovating, which in turn, needs capital. Accessibility to financial resources, therefore, becomes a significant factor in the growth of a SME as well as economic growth in developing countries. This paper examines determinants of credit accessibility of SMEs in Vietnam. Both quantitative and qualitative approaches are applied, in which a logit model is employed to investigate the possibility of credit accessibility of 756 SMEs in Vietnam. Also, a semi-structured questionnaire is used to investigate the causes of the lack of connections between SMEs and banks in Ben Tre province. The results indicate that the factors that will increase the probability of credit accessibility of SMEs include education of the enterprises managers, collaterals and asset values of enterprises, loans of enterprises taken from the Vietnam Bank for Social Policies (VBSP), State Banks or even private banks, and the differences between enterprises and credit institutions. A number of recommendations are introduced to promote the credit accessibility of SMEs, such as providing unsecured loans and cooperating loans, improving the roles of State Banks of Vietnam, and decreasing the regional differences.
Keywords: accessibility to credit, small and medium enterprises, lack of financing.