Forthcoming articles


Afro-Asian Journal of Finance and Accounting


These articles have been peer-reviewed and accepted for publication in AAJFA, but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.


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Afro-Asian J. of Finance and Accounting (13 papers in press)


Regular Issues


  • Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework   Order a copy of this article
    by Chaker Aloui 
    Abstract: In this paper, we estimate the value-at-risk (VaR) for some Middle East and North African emerging stock markets (Egypt, Israel, Turkey and Morocco) for the short and long trading positions. We check whether considering for LM, asymmetries, and fat-tails in the stock returns behaviour offers more accurate VaR forecasts. We compute the VaR for two ARCH/GARCH-type models including FIGARCH, and FIAPARCH under two density functions: Student and skewed Student. The obtained results point out that that accounting for long dependence in return and volatility, fat-tails and asymmetry provides better one-day-ahead VaR forecasts. Furthermore, the FIAPARCH model out-performs the other models in the VaR forecasts. Finally, the FIAPARCH model provides for all the stock market indexes the lowest number of violations under the Basel II rules, given a risk exposure at the 99% confidence level. Our results offer potential implications for MENA stock markets risk quantifications, policy regulations and hedging strategies.
    Keywords: value-at-risk; expected shortfall, dual long memory, GARCH-type models; MENA stock markets
  • The day of the week effect: evidence from India   Order a copy of this article
    by Tariq Aziz, Valeed Ansari 
    Abstract: The day of the week effect is a well-documented calendar anomaly. This study investigates the presence of this effect in the Indian stock market during 1990-2013, using the GARCH framework with three distribution assumptions. The results indicate that the traditional Monday effect is non-existent in the two leading market indices. In contrast, a positive Monday effect in Sensex and a positive Wednesday effect in Nifty are present in the entire sample period. The results remain robust to the distribution assumptions and sub-periods.
    Keywords: day of the week effect, Monday effect, calendar anomalies
  • Liquidity and bank profitability in WAEMU zone: a panel data analysis   Order a copy of this article
    by T. Guy Crescent Mebounou, Mehmet Baha Karan, Hodonou Dannon 
    Abstract: This paper examines the impact of liquid assets on bank profitability by using panel data regression through an eleven year period (2001-2011) for 38 banks in WAEMU. Bank profitability was assessed by both ROE and ROA while liquidity was rated by the share of liquid assets in total assets. Our findings revealed a concave parabolic functional form regarding the relationship between profitability and liquidity by confirming the nonlinear relationship and the assumption that both excess and lack of liquidity may be harmful to banks profitability. The robustness was tested by resorting to control variables such as size, age and gearing. This led to the revelation of the adverse effects leverage can have on profitability as opposed to how favourable size could impact it. However, age does not influence bank profitability in the WAEMU area. The estimated results also showed that the recent financial crisis has not fundamentally impacted the relationship between profitability and liquidity in WAEMU.
    Keywords: liquidity, profitability, return on assets, return on equity.
  • The detection of real earnings management in MENA countries: the case of Tunisia   Order a copy of this article
    by Sarra Elleuch Hamza, Sondos Bannouri 
    Abstract: This paper examines the real earnings management activities of 76 Tunisian public offering firms before and after the implementation of the financial security law, over the ten-year period (2003 to 2012). We measure real earnings management through sales manipulation and sales investments and assets following Rowchowdhury (2006) and Zang (2012). The results show that after the implementation of the Financial System Reform Act in 2005, Tunisian managers started using sales manipulation as tools of real earnings management. The sale of assets or investment has no effect on their behaviour. These results suggest that Tunisian firms tend to use real activities manipulation in a tightened regulatory environment.
    Keywords: real earnings management, Tunisian public offering companies, Financial System Reform Act.
  • 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
  • Demand-Following or Supply-Leading : An Examination of the Finance-Growth Nexus in Selected Sub-Sahara African Countries
    by Mohamed Jalloh 
    Abstract: This study assesses the extent to which economic growth has been influenced by financial sector development in Sub-Sahara Africa. In order to empirically determine the flow of causation between financial sector development and economic growth, country specific time series data on key financial development indicators was utilize to implement various tests for causality. The results from causality tests reveal that, whilst causation flows purely from growth to financial development for Benin, Congo, Nigeria and Zambia, the reverse holds for Chad, Cote d’Ivoire, Mauritania and Kenya. The study also reveals bilateral causation between financial sector development and growth for countries like Burkina Faso, Cameroon, Malawi, Mali, Sierra Leone and South Africa; it however fails to establish significant causal effects between financial development and growth for Ghana, The Gambia, Senegal, Swaziland and Uganda.
    Keywords: Financial sector, development, economic growth, causality, bilateral, Sub-Sahara Africa
  • Equity capital and bank profitability: evidence from the United Arab Emirates   Order a copy of this article
    by Reza H. Chowdhury 
    Abstract: The objective of this paper is to understand the effect of increasing equity capital in domestic banks of the United Arab Emirates (UAE). The paper also examines whether the relationship differs by bank size particularly at the time of financial crisis. We apply three different approaches including: 1) ordinary least squares; 2) fixed-effect regression; 3) system generalised method of moments to examine the research questions. The results exhibit that increasing equity capital improves bank profitability in the UAE, and thus high equity capital is a critical value-driver for UAE banks. The evidence also shows that the Dubai debt crisis had an insignificant effect on bank performance. We however do not find significant evidence that high equity capital of domestic banks is used as a buffer to absorb financial shock. This finding holds regardless of individual bank sizes.
    Keywords: equity capital; bank profitability; financial crisis; domestic banks; United Arab Emirates; UAE; bank size; banking industry.
  • Price and volume effects associated with scheduled changes in constituents of index: study of NIFTY index in India   Order a copy of this article
    by Mayank Joshipura, Sundaram Janakiramanan 
    Abstract: This paper examines price and liquidity effects associated with scheduled index reorganisation in NIFTY surrounding its announcement and effective days. The results show that there are no significant abnormal positive returns associated with index inclusion surrounding announcement day. Significant positive abnormal returns associated with inclusion are present on effective day but fails to sustain. Significant negative price effect associated with exclusion of stocks is observed through the announcement window and indicates that exclusion from index is treated as negative. Negative price effect is observed for exclusion closer to and on effective day but that also does not sustain. No significant and sustainable change in trading volume is associated with index reorganisation. Increase in volume associated with inclusion and exclusion of securities is found on effective day, which can be attributed to index funds and ETF activity. Results of this study offers evidence for price pressure and against liquidity hypothesis.
    Keywords: market efficiency; event studies; index reorganisation; price effect; volume effect; liquidity effect; NIFTY index; India; positive abnormal returns; price pressure.
  • Do rated firms outperform non-rated peers in the Gulf Co-operation Council region?   Order a copy of this article
    by Etumudon Ndidi Asien 
    Abstract: This paper examines the financial performance of rated and non-rated listed firms in the Gulf Co-operation Council (GCC) region. It also examines the relationship between financial performance and leverage of rated and non-rated firms. We expect a difference in the financial performance of rated and non-rated firms. The sample consists of 105 rated and an equally-matched sample of non-rated firms in the GCC region. Our parametric t-tests indicate that there are statistically significant differences in leverage and equity multiplier of rated and non-rated firms; but there are no differences in capital intensity, profit margin, earnings per share, and fixed assets intensity of the two groups. Results from multiple cross-sectional panel regression tests indicate that there is a statistically significant relationship between leverage and all the financial performance measures, except for profit margin.
    Keywords: credit rating agencies; CRAs; GCC region; Gulf Co-operation Council; leverage; capital intensity; profit margin; earnings per share; fixed assets intensity; equity multiplier; financial performance.
  • Assessing the efficiency of Malaysian banks: a data envelopment analysis approach   Order a copy of this article
    by Abdelghani Echchabi, Oladokun Nafiu Olaniyi, Abdullah Mohammed Ayedh 
    Abstract: The purposes of this study are two-fold: firstly, to evaluate the efficiency of the Malaysian banks and secondly to examine the factors that influence the efficiency levels of those banks. Accordingly, 23 Malaysian banks covering the period between 2006 and 2010 are considered in this study. The findings of the DEA approach indicate that in general the Malaysian banks are efficient over the studied period. Furthermore, exchange rate, GDP, and inflation rate are found to be significant determinants of Malaysian banks' efficiency. As such, the present study contributes to the existing literatures on banks efficiency. The finding might be useful to the regulators as well as the practitioners.
    Keywords: bank efficiency; banking industry; DEA; Malaysia; envelopment analysis; exchange rate; GDP; gross domestic product; inflation rate.
  • Does accounting conservatism measure what it is required to measure? An empirical study of construct validity perspective   Order a copy of this article
    by Saif-Ur-Rehman Khan, Azlan Ali, Misbah Sadiq 
    Abstract: Accounting conservatism principle plays an important role in producing fair view of financial statements and has appeared as one of the most prominent research topics over the last 15 years. This mechanism relies significantly on conservatism proxies, but there remain considerable differences of opinion regarding their ability to accurately measure the degree of conservatism. To address this issue, the current study uses a sample of Malaysian listed firms for the period 2002 to 2011. Findings indicate that three of the seven conservatism proxies exhibit higher degrees of construct validity. This in itself is an important conclusion that three alternative proxies can be considered substitutes among themselves.
    Keywords: accounting conservatism; conservatism proxies; construct validity; Malaysia; fair view; financial statements.