Forthcoming and Online First Articles

Afro-Asian Journal of Finance and Accounting

Afro-Asian Journal of Finance and Accounting (AAJFA)

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Afro-Asian J. of Finance and Accounting (56 papers in press)

Regular Issues

  • Link between diversification strategies and earnings management: An empirical investigation of manufacturing firms   Order a copy of this article
    by Ranjitha Ajay 
    Abstract: This study investigates the relationship between diversification strategy and earning management activities for a listed manufacturing firms in India. We examine the applicability of two conflicting hypotheses: the agency cost hypothesis and the earnings volatility hypothesis to explore the impact of corporate diversification strategies namely international market diversification and product diversification on earnings management. The study explores two types of earnings management namely accrual manipulation (Dechow et al., 1995) and real activities management (Roychowdhury, 2006) on a sample of 1417 manufacturing firms listed in the National stock exchange (NSE) and Bombay stock exchange (BSE) for the period between 2004 to 2013. The final sample consists of 14170 firm-year observations. We use fixed effect panel data regression methodology for the empirical analysis. Consistent with the earnings volatility hypothesis, we find that earnings management (both accrual management and real activities management) reduces as the extent of international diversification increases. Firms diversified across product segments are likely to have higher level of real activities manipulation. Business affiliates with a higher degree of international market diversification have a lower level of discretionary accruals. The findings are robust to alternative measures of earnings management and additional analysis. The study provides useful insights to investors, analysts and regulators to make an informed decision on investments, forecasting earnings and policymaking respectively.
    Keywords: accrual management; real activities management; diversification strategy; agency cost hypothesis; earnings volatility hypothesis.

  • Human resource disclosure practices: a comparative analysis of public and private sector manufacturing companies of the Indian corporate sector   Order a copy of this article
    by Kirti Aggarwal 
    Abstract: The aim of the study is to identify the effect of company characteristics on human resource disclosure index in public and private sector manufacturing companies listed in India. The present study has been conducted on 195 manufacturing companies listed on NSE-500 Index. It consists of 33 public and 162 private sector companies for the time period of six years (2012-13 to 2017-18). The outcome of the one-way LSDV regression model depicts that in the case of public sector manufacturing companies, some hypotheses such as company size, type of auditor, total number of pages of an annual report have significant and profitability, liquidity have partly effect on HRDI. In case of private sector manufacturing companies, some hypotheses such as company age, ownership concentration, liquidity, total number of pages of an annual report have significant and company size, profitability have partly effect on the level of HR disclosure. Further, the outcome of the Mann-Whitney U-test shows that there are significance variations of HR disclosure practices between public and private sector manufacturing companies listed in India. And public sector manufacturing companies disclose more HR information in comparison to private sector manufacturing companies listed in India. The findings of the present study give the insights to regulatory bodies such as The Institute of Chartered Accountants of India (ICAI) about the company characteristics that impact the HR disclosure practices of the listed companies. So that, regulatory bodies make some standards regarding HR disclosure practices accordingly.
    Keywords: human resources; public sector; private sector; manufacturing companies; annual reports; content analysis; human resources disclosure index; India.

  • Valuation effect of the extent and quality of corporate sustainability disclosure across sectors in Nigeria   Order a copy of this article
    by Nwakanma Nwaigwe 
    Abstract: This paper examines the value impact of the extent and quality of CSP disclosure across industries in Nigeria. Results reveal that the value effect of the scope and quality of Corporate Sustainability Performance (CSP) disclosure vary among industries, indicating that the investing public in various industries see this information differently. Some investors see these data favourably and reward reporting entities with higher share prices, while others see superior quality reporting as a rationale for immoderate investment in a costly project, which has an adverse value impact on these industries. Nevertheless, other investors see no value in such information. The value impact also varies among CSP dimensions. The study has implications for managers, for the investing public, and for policy makers in strengthening policies that promote more socially responsible investment among sectors.
    Keywords: sustainability reporting; disclosure extent; reporting quality; value effect; firm value; sustainable development; sustainability dimensions.
    DOI: 10.1504/AAJFA.2022.10061745
  • CEO compensation, firm performance, board structure and financial constraints: evidence from an emerging economy   Order a copy of this article
    by Pankaj Chaudhary 
    Abstract: This paper explores the relationship between CEO compensation and firm performance. In addition, the paper analyses board structure to understand its influence on the CEO compensation. Further, it is also examined that how the financial constraint affects these relationships. The paper finds that the accounting-based measures of firm performance are positively related to the contemporaneous CEO compensation. The future CEO compensation is positively associated with accounting-based and market-based measures of firm performance. It indicates that the reward of market-based performances is derived in the future by the CEOs. It is interesting to note that board independence has a negative effect on the present and future CEO compensation under a financially constrained scenario. Investors need to be especially careful in a financially constrained scenario, as the CEO with dual power can extract higher compensation at the expense of the interest of the shareholders.
    Keywords: CEO compensation; ROA; ROE; board structure; financial constraint.

    by Mahesh Chand Garg, KHUSHBOO Tanwer 
    Abstract: This paper empirically evaluates the combined impact of board characteristics and capital structure on company performance of 116 Indian firms listed on BSE Dollex for a period ranging from 200910 to 20182019. Both Random Effects Models and Fixed Effects Models are used for analysis. As a proxy of firm value, the study uses both accounting-based (ROA and ROE) and market-based (TQ) performance indicators. The findings show that board meetings are insignificant for organisational performance. Independent directors have an adverse, whereas CEO dualism and female directors have a favourable impact on firm performance. Board size and board attendance show positive associations with ROA and ROE, whereas negative associations with Tobins Q. The debt to equity ratio is negatively related to ROA and ROE, but positively related to Tobins Q. This research will assist corporations, policymakers, society, and academia in general in making well-informed judgments regarding board characteristics and capital structure.
    Keywords: board characteristics; capital structure; firm value; Tobin’s Q; India.

  • The efficiency and the stability of efficiency rankings of Vietnamese commercial banks through mergers and acquisitions from 2008 to 2018   Order a copy of this article
    by Mai Lan Phung, Khac Minh Nguyen, Van Khanh Pham, Thien Luan Nguyen 
    Abstract: This study applied DEA window analysis in combination with non-parametric testing to evaluate the efficiency of the Vietnamese commercial banks pre- and post-mergers and acquisitions (M&A) as well as test the stability of the banking efficiency during M&A period. The results showed that the average technical efficiency calculated from the window analysis model ranged from 81% to 99%. Many banks carrying out M&As have grown in all aspects such as increasing in scale, improving technology capabilities, success management. However, there were also some banks that showed weakness through M&As. The reasons for the inefficiency of those banks were mainly the excess of customer deposits in balance sheet of the banks and their bad debts.
    Keywords: DEA window analysis; banks; ranking statistics; mergers and acquisitions; Vietnam.

  • A causal analysis of fear index and stock indices: evidence from India   Order a copy of this article
    by Ankit Sharma, Vivek Sharma 
    Abstract: This study investigates the causal relationship between the Fear Index (VIX) and stock indices. This study is based in the Indian context and uses sectoral stock indices, in contrast to earlier studies that were based in the US or European context and used the broad market index. The correlation analysis reveals that the VIX and sectoral stock returns are negatively correlated. Unit Root tests show that four sectors are stationary at level data and that all the time series become stationary at the first difference. The Autoregressive Distributed Lag (ARDL) method is used in the study to investigate the relationship. The purpose of ARDL, a specific type of co-integration analysis, is to investigate the relationship between time series that become stationary at different orders. The ARDL test confirms the unidirectional causal relationship that flows from stock indices to the VIX. In addition, we discovered that two stock indices exhibit bi-directional causality.
    Keywords: Nifty 50; Nifty sectoral indices; VIX; India VIX; ARDL test.

  • Dividend announcements, share returns and trading volumes on the Johannesburg Stock Exchange   Order a copy of this article
    by Andile Nyandeni, Alastair Marais, Kerry McCullough 
    Abstract: Dividend decisions are known to relate to firm value; however, empirical literature has found both positive and negative impacts on value. These impacts indicate that local context is a relevant consideration. Firm value is typically considered with share prices, however, trading volume offers additional nuance to the understanding of dividend decisions. This article analyses dividend announcements of firms listed on the Johannesburg Stock Exchange (JSE) under a Market Model and Event Study approach. We consider 869 dividend events between 01 January 2010 and 31 December 2018. Findings show support for the information content of dividends hypothesis on the JSE, revealing that dividends convey price and volume sensitive information to the market. Share prices reacted positively to dividend increases and the no change in dividend announcements. The dividend decrease category showed a negative share price reaction. Trading volumes increase around the announcement of all three dividend events.
    Keywords: dividend policy; share returns; trading volume; market model; event study; Johannesburg Stock Exchange.

  • Risk profiling of Indian commercial banks: a clustering approach   Order a copy of this article
    by Shailja Vashisht, Mahesh Sarva 
    Abstract: Banks face multiple risks owing to the nature of their operations, so various stakeholders need to understand their risk profile to avoid any systemic risk in the economy. The present study aims to track the risk profile of Indian commercial banks in the last decade using the k-means clustering approach. The analysis is performed on selected financial variables indicative of prominent banking risks. 30 Indian banks were studied from 2009-2020 and classified into high and low risk clusters. Analysis of variance is performed to identify variables crucial for the risk profile of Indian banks. The key findings of the study indicate that profitability and credit risk variables are crucial for the risk profile of banks. The overall performance of the Indian banking scenario has improved since the last financial crisis. The main contribution of the current study is to identify the characteristics of high and low risk banks on the basis of the data mining clustering approach, along with identifying crucial variables for banks' risk profiles. The study used the most exhaustive data set and a list of variables to understand the risk profile. As a result, the findings will help stakeholders to study the risk profile with the help of these variables. Also, this approach will be very useful for the government and regulators while merging the banks. Since the current geopolitical crisis and pandemic have created additional pressure for banks, the findings of the current study will be useful for managing risk profiles during such turbulent times.
    Keywords: risk profiling; cluster analysis; Indian banks; k-means clustering; banking risk.
    DOI: 10.1504/AAJFA.2022.10059420
  • Price clustering and the panic trading hypothesis: evidence from an African coup d   Order a copy of this article
    by Julio Lobao, Ricardo Correia 
    Abstract: This paper investigates price clustering in the stock market of Egypt in the context of the coup d
    Keywords: stock market efficiency; price clustering; Egypt; coup d’état; political uncertainty; panic trading hypothesis.

  • Poverty reduction and donor funds: comparative appraisal of MFIs   Order a copy of this article
    by Kishor Chandra Meher, Henok Yeshaw Getaneh 
    Abstract: The study investigates the critical appraisal of poverty reduction and donor funds for mature, middle-aged, and young MFIs. The research adopts a quantitative approach with balanced panel data of 29 Ethiopian MFIs for ten years from 2010 to 2019. The Hausman test was applied in the OLS regression model to analyse the relationship between poverty reduction indicators and donor funds. The findings reveal that the young MFIs top the list where poverty reduction indicators influence donor funds. Mature MFIs top the list in terms of willingness to pay the loan. Young MFIs have clients making maximum savings contributing to the donor funds. The mature MFIs contribute towards increasing the donor funds in terms of increasing portfolio size. The study concludes that young MFIs top the list of maximising donor funds while achieving poverty reduction goals, followed by middle-aged and mature MFIs.
    Keywords: donor funds; poverty reduction; savings habit; portfolio size; client’s willingness to pay.
    DOI: 10.1504/AAJFA.2022.10054884
  • Stress testing of households using micro-data: evidence from a developing country   Order a copy of this article
    by Liaqat Ali, Muhammad Kamran Naqi Khan, Habib Ahmad 
    Abstract: We assess the impact of income, consumption, and asset price shocks on the financial vulnerability of Pakistani households. We find 47.4% and 58.5% of households as financially vulnerable under basic living costs (BLC) and consumption-based criteria respectively. We note greater changes in the proportion of household financial vulnerability in the consumption-based approach as compared with BLC even for the same magnitude of the shock. We also note the severer impact of income rather than consumption shocks and add new dimensions to the financial vulnerability analysis by reporting results against various socio-economic characteristics of the households. Our stress testing results can be used for the development of targeted, community-specific social safety net programs and emergency cash support initiatives taken under a macroeconomic policy framework aiming at mitigating the effects of the COVID-19 external shocks. We recommend the use of household-level actual consumption expenditures in the analysis of household financial vulnerability instead of BLCs in developing countries such as Pakistan.
    Keywords: credit risk indicators; household financial vulnerability; stress testing; Pakistan.

  • When does board share ownership matter? Evidence from across firm life cycle in sub-Saharan Africa   Order a copy of this article
    by Ebenezer Agyemang Badu 
    Abstract: The purpose of this paper is to investigate the relationship between board share ownership and firm value, as well as to determine when in the firm's life cycle board share ownership is value relevant in Sub-Saharan Africa (SSA). The paper uses dividend pay-out and the ratio of retained earnings to total assets to distinguish between mature and immature firms and estimate board share ownership and firm value for each set of firms using system-generalised methods of moments. The findings broadly suggest that board share ownership is value-relevant for non-financial firms in SSA. The paper further finds that board share ownership matters for immature firms, not mature firms. The findings imply that differences in requirements for financing, monitoring, and investment result in differences in board share ownership and firm value between mature and immature firms. The findings suggest that board share ownership is not valued at all stages of a firm's life cycle.
    Keywords: board ownership; value relevance; mature firms; immature firms; firm’s life cycle; sub-Saharan Africa; share value; generalized method of moment.
    DOI: 10.1504/AAJFA.2023.10056734
  • The impact of behavioural biases on the behaviours of informed and uninformed individual stock investors: the case of the Egyptian Stock Exchange.   Order a copy of this article
    by Laila Gamal, Hayam Wahba 
    Abstract: Behavioural finance theories study human psychological and emotional biases. Behavioural finance explains the effect of psychological and emotional biases on the financial behaviour of both investors and financial markets. These biases, often lead people to make irrational investment decisions. Understanding these biases can help investors spend their money more rationally and make better-informed decisions. This paper examines the influence of a full array of behavioural biases on Egyptian stock investors' behaviour in the Egyptian Stock Market. Our research sample is composed of 407 stock investors in Egypt. The research sample was divided into two classes (informed and uninformed stock investors) based on their financial knowledge and skills. Based on the analysis done to the responses collected from an online questionnaire. The findings show that both classes of investors are affected by emotional, cognitive, and behavioural biases. These biases adversely affect their behaviour, leading to irrational stock investment decisions. However, the level of impact varies significantly by the level of financial knowledge.
    Keywords: behavioural finance; heuristics; prospect theory; regret aversion bias; loss aversion bias; mental accounting bias; biased; investor decision; behaviour; Egyptian Stock Exchange; Egypt.
    DOI: 10.1504/AAJFA.2023.10056971
  • On the nexus between exchange rate volatility and trade flows: panel data evidence from African economies   Order a copy of this article
    by Rana Hosni 
    Abstract: The current paper explores the relationship between real exchange rate volatility and international trade flows in a sample of thirteen African countries over the period from 1993 to 2020. To achieve this purpose, a separate trade equation for both exports and imports flows is examined using dynamic heterogeneous and panel cointegration techniques. Specifically, using the pooled-mean group estimator, the paper finds empirical evidence of a negative and statistically significant impact on exports flows in the long-run. Furthermore, exchange rate volatility is found to have no statistically significant impact on imports flows. Based on these findings, the paper suggests that if African economies want to reap the benefits from further integration into the global market, a careful design of macroeconomic imbalances, pertaining in particular to the trade policies and exchange rate management should be motivated.
    Keywords: exchange rate volatility; trade flows; panel data cointegration models; African countries; GARCH models.

  • Impact of liquidity and leverage on the profitability of Indian Manufacturing firms   Order a copy of this article
    by Shilpa Jain, Vijay Kumar Gupta 
    Abstract: The purpose of this study is to provide fresh evidence on the impact of liquidity and leverage on profitability, as well as the impact of liquidity on leverage, in Indian manufacturing enterprises. The research also investigates the role of leverage in mediating the relationship between liquidity and profitability. The researchers studied 124 Indian manufacturing businesses included on the S&P BSE Industrial Index from 2011 to 2019. The technique of analysis is structural equation modelling. The empirical findings indicate that the direct influence of liquidity on profitability is positive, implying that enterprises must practice careful working capital management in order to achieve a healthy liquidity profitability trade-off. The indirect impact of liquidity on profitability is also positive, meaning that liquidity allows enterprises to take advantage of favourable financing offers. The second result demonstrates that liquidity has a negative influence on leverage, leading to the conclusion that efficient management of current assets lowers the cost of debt for high liquid enterprises. The final conclusion suggests that leverage has a detrimental influence on profitability, lending credence to the pecking order idea. The study makes advantage of current data and contributes to the existing literature by presenting management implications.
    Keywords: leverage; liquidity; manufacturing firms; profitability; structural equation modelling.

  • A comparative analysis of determinants of foreign institutional flows to Indian equity and debt markets   Order a copy of this article
    by Rajeev Matha, Raghavendra , Geetha E, Shivaprasad SP 
    Abstract: The volatile foreign institutional investment (FII) flow has an implicit effect on the stability of forex rates, stock prices, fiscal and monetary policies. Understanding the drivers of the FII flow to the equity and debt market is essential to manage future capital flows and prevent imbalances. The study examines determinants of FII flows to Indian equity and debt markets for the period 2011 to 2021 using Autoregressive Distributed Lag Model (ARDL) approach. The results indicated that the estimated coefficient of domestic stock returns positively impacted FII debt outflow. Stock returns of other emerging markets negatively impacted FII debt outflow and positively influenced FII equity inflow. US stock returns were negatively impacted FII debt outflow and equity inflow in the long run. The study findings have useful implications not only for investors but also for regulators and policy makers to regulate capital flows and prevent imbalances through credible investment policies.
    Keywords: FII flow; equity returns; Forex rates; ARDL approach; cointegration; bond yields.
    DOI: 10.1504/AAJFA.2023.10058618
  • Market timing and capital structure: a comparative study between the USA and China   Order a copy of this article
    by Dereje Asrat, Lukas Timbate 
    Abstract: The present study is a replication and expansion of the well-known paper by Baker and Wurgler (2002), which examined the effect of equity market timing on firm capital structure in the US stock market between 1968 and 1999. This paper begins by replicating Baker and Wurgler, extending the sample period to the last 30 years (19902019), and comparing the results with data from China for the same time-period. This study concludes that Baker and Wurgler's findings are still valid for the most recent sample period in the United States and that the results for the Chinese markets are comparable, despite the numerous differences between the two markets. Specifically, firms' historical equity market timing activities have substantial and lasting effects on the capital structure of the US and Chinese markets. Consistent results across the world's two largest economies, despite their institutional differences, will strengthen our faith in Baker and Wurgler's market timing theory of capital structure.
    Keywords: market timing; capital structure; USA; China.

  • Loan repayment and female borrowers in African microfinance institutions   Order a copy of this article
    by Imen Khanchel, Dorsaf Bentaleb, Cyrine Khiari 
    Abstract: The purpose of this study is to investigate whether female borrowers exhibit higher loan repayment in African microfinance institutions (MFIs). The empirical study uses unbalanced panel data of 120 MFIs from 2006 to 2019. The results reveal that female borrower have a positive impact on repayment performance. The presence of women reduces the portfolio at risk and the probability of default payment. We conclude that targeting female clients, who are generally risk-averse, improves the repayment performance of MFIs. We conclude that microfinance can lead to the feminization of debt, as women are reliable in repayment.
    Keywords: microfinance institutions; repayment performance; women borrowers; Africa.

  • The role of audit committee and corporate attributes in KAMs reporting: Malaysian evidence   Order a copy of this article
    by Ummi Junaidda Hashim, Norsiah Ahmad 
    Abstract: ISA 701 [Communicating Key Audit Matters (KAMs) in the Independent Auditors Report] has been introduced to address the importance of communicating information to users. To understand the role of audit committee and corporate attributes in issuing the KAMs, this study examines a total of 976 annual reports of companies listed in Bursa Malaysia from period of 2016 to 2018. The extent of KAMs practices and disclosure in the independent auditors report of Malaysian context has been further investigated using content analysis approach. Pooled OLS regression is employed to examine the objective. The findings show that audit committee independence and audit committee meeting, size and profitability are significantly influenced KAMs reporting in Malaysian market. The role of the audit committee holds the interrelated value of resource-based theory where the member of the committee as the resources, possesses dynamic capabilities that are useful in enhancing the reporting of KAMs.
    Keywords: key audit matters; corporate attributes; audit committee; auditor’s report.

  • Existence of lead-lag relationship among sectoral indices: evidence from the Indian capital market   Order a copy of this article
    by Satyaban Sahoo, Sanjay Kumar 
    Abstract: The study examines the lead-lag relationship among six sectoral indices of the Indian capital market. The Granger causality test reveals that unidirectional causality originates from Oil & Gas sector index to the Auto, IT, Financial Service, and Bank sector indices; similarly, the FMCG sector index causes variation in the Auto, Financial Services and Banking sector indices. The IRF and VDC analysis also confirm these findings of the Granger causality test. Among all six sectoral indices, Oil & Gas index is leading, and the Financial Services index is lagging in the Indian capital market. Investors should study the behaviour of the Oil & Gas index to maximise return and decrease risk, as it is dominating the other indices. The evident lead-lag relationship among the sectoral indices would assist the investors in portfolio diversification considering different sectors.
    Keywords: Granger causality test; impulse response function; lead-lag relationship; sectoral index; variance decomposition.

  • An empirical analysis of the relationship between capital adequacy and performance optimisation through a comparative standpoint among banking sectors in India   Order a copy of this article
    by Shakeeb Mohammad Mir, Mariya Mushtaq Malik, Farooq Ahmad Shah 
    Abstract: This study aims to assess the impact of capital adequacy on the performance optimization of the Indian banking industry across and among the banking sectors. The study employs a balanced panel data regression model to examine the firm-level balanced panel data of 78 banks from the public and private sectors over 15 years (2007-2022). The findings confirm that capital adequacy significantly impacts bank profitability across the industry, but there is also a sector-specific impact. This study provides the most recent information on the differences in tactics used by public and private sector banks to maintain capital adequacy standards. Furthermore, using two-step system GMM analyses, the possibility of heteroscedasticity, autocorrelation, and endogeneity was considered.
    Keywords: banks' performance; capital adequacy ratio; panel data; Indian banking industry.
    DOI: 10.1504/AAJFA.2023.10060095
  • The value relevance of goodwill: evidence from South Africa   Order a copy of this article
    by Elmarie Louw, John Hall, Leon Brummer 
    Abstract: The value relevance of goodwill is a topic of ongoing debate in the financial literature, because of numerous changes in the accounting treatment of this asset class over the years. The aim of this paper is to determine the value relevance of goodwill after the introduction of IFRS 3 in a specific setting, namely South Africa, using firms listed on the Johannesburg Stock Exchange as a sample for the period from 2006 to 2017. The modified Ohlson (1995) model, a well-known accounting-based valuation model, was applied to 1272 firm years to determine the value relevance of goodwill. The study contributes to the existing literature by presenting evidence that goodwill is indeed value relevant in the South African setting after the introduction of IFRS 3, and it confirms that the goodwill impairment model is associated with firm value.
    Keywords: goodwill; goodwill impairment; IFRS 3; South African firms; value relevance.

  • Composite indicator of systemic integration for the Southern African Development Community   Order a copy of this article
    by Girash Gungaram, Sunil Kumar Bundoo 
    Abstract: The aim of this paper is to provide a comprehensive overview of the level of integration of the financial markets of the Southern African Development Community (SADC). This paper contributes to the literature by developing a new index to measure the degree and evolution of financial integration of SADC. The index is calculated by weighting together a set of indicators for financial integration from four financial market segments namely the banking, money, Treasury-bill and equity markets. The results displayed high volatility during the period under review. This volatility gives an indication that prices react quickly to new information. The results also indicate a time changing pattern of integration among the member countries and is also influenced by both internal and external factors influencing the financial system of SADC. Integration scores have increased for those countries that have implemented financial reforms. We recommend policymakers to formulate a proper framework for regional financial integration to guide the integration process smoothly and contain key realistic milestones.
    Keywords: composite indicators of financial integration; Southern African Development Community; integration index; financial integration; financial economics.

  • Commodity sectors and emerging stock markets: Is there any risk transmission?   Order a copy of this article
    by Fahmi Ghallabi, Ahmed Ghorbel 
    Abstract: The present work aimed to examine the risk spillover between three commodity sectors, namely energy, precious metals, and agriculture, and emerging stock markets. Asymmetric Dynamic Conditional Correlation (ADCC) and Conditional Value at Risk (CoVaR) were used to measure downside and upside risk spillovers between the studied markets. Our empirical results reveal that the downside and upside risk spillovers are significant. We also found an asymmetric two-way risk spillover in most cases, but the degree of asymmetry differs according to the application of the entire cumulative distributions or distribution tails. Downside and upside risk spillover magnitudes between precious metals and emerging stock markets are not significantly larger following the global financial crisis (GFC) compared with the pre-crisis period, except for the downside risk spillover below the 25th quantile. However, for the other pairs, downside and upside risk spillovers are significantly higher after GFC than before it. Our empirical findings have important implications for risk management among investors and policymakers, as they emphasise the prevalence of tail behaviour and the persistent asymmetric nature of both downside and upside risk spillovers. The originality of the work is that we used CoVaR and two-sample Kolmogorov-Smirnov (KS) tests to evaluate the downside and upside spillovers between three commodity sectors and emerging stock markets.
    Keywords: commodity sectors; emerging stock markets; risk spillover; ADCC-CoVaR approach.

  • Dynamic effects of foreign remittance volatility in low income SADC countries   Order a copy of this article
    by Kuziva Mamvura, Mabutho Sibanda, Ragendra Rajaram 
    Abstract: This study investigates the impact of remittance volatility in low-income countries in the Southern African Development Community (SADC) bloc. Employing a Panel Vector Autoregressive (P-VAR) model with quarterly data that spans 2000Q1 to 2019Q4, the findings reveal that global shocks are rapidly transmitted to the domestic economy and not vice versa. Shocks in remittance volatility significantly impact domestic interest rates and consumer prices. The study further reveals that net remittance volatility impacts positively on real Gross Domestic Product (GDP) and money supply in these countries. Therefore, in order to achieve stable and constant remittance flows, policymakers should adopt effective programs that lead to financial growth, and price and interest rate stability to encourage remittances through formal channels. Given the scarcity of macro-financial studies on the region, this article provides meaningful empirical evidence on the dynamic effects of foreign remittance volatility in low-income SADC countries.
    Keywords: foreign remittances; volatility; panel data analysis; VAR; impulse response functions and variance decomposition; low-income SADC countries.

  • The impact of the Russia-Ukraine invasion on market reaction across various industries: an event study on the ASEAN market   Order a copy of this article
    by Dadang Lesmana, Rizky Yudaruddin 
    Abstract: The purpose of this study is to investigate the market reaction of ASEAN countries to the Russia-Ukraine invasion. This study used a sample of 2,755 listed companies in ASEAN countries. This research uses the event study method. We use cumulative abnormal return (CAR) as a measure of market reaction. Then, we use 24 February 2022, as the event day Russia announces the invasion of Ukraine our paper finds significantly negative reactions to the invasion of Ukraine in ASEAN-5 countries before and after the announcement. However, the Philippine market had a positive reaction which was driven by the positive trend before the invasion and the entry of renewable energy companies into market. We also showed that most of the industrial sectors in ASEAN countries reacted negatively to the invasion before and after the announcement. However, the energy industry reacted positively owing to the acceleration of the renewable energy transition.
    Keywords: market reaction; Russia-Ukraine invasion; various industries; ASEAN; event study.
    DOI: 10.1504/AAJFA.2023.10057770
  • Determinants of interest rate spreads in the banking industry: an empirical study in an emerging country   Order a copy of this article
    by Xuan Ngo, Huong Le, Linh Bui 
    Abstract: This study explores the factors affecting the interest rate spread (IRS) using a secondary data set collected from 27 Vietnamese commercial banks' audited financial statements. The findings indicate that the return on average assets (ROAA), operating expenses on total assets (OPERAT), and market concentration (HHI) variables all contribute significantly to the development of the IRS as assessed by IRS1 and IRS2. Specifically, ROAA and OPERAT positively correlate with both IRS1 and IRS2 at the 5% and 1% significance levels, respectively. However, an increased HHI is associated with a decreased IRS1 but an increased IRS2. Additionally, the capital on total assets (CAP) and bank size (SIZE) variables are essential only for IRS1. By contrast, the non-interest income ratio (NII) and the liquidity ratio (LIQ) have a considerably negative effect on IRS2. Regarding macroeconomic variables, GDP growth rate and inflation have a statistically significant positive effect on IRS1 but no significant effect on IRS2.
    Keywords: commercial bank; banking system; interest rate spread; emerging country.
    DOI: 10.1504/AAJFA.2023.10063091
  • The impact of an emerging markets microstructure legislations on market efficiency: evidence from Iran   Order a copy of this article
    by Alireza Rahrovi Dastjerdi, Eman Momeni 
    Abstract: The role and significance of legislation in emerging capital markets have changed over time, considering the characteristics of such markets. The changing circumstances in these markets have prompted legislators to change or update several microstructures in the form of trading regulations. This study aims to investigate how these changes can affect the market efficiency. In this study, data from selected companies listed on the Tehran Stock Exchange (TSE) were generated for a period influenced by four different legislative microstructures: tick size, lot size, the minimum value per order, and base volume. The main market variables and market efficiency were compared between the two six-month regimes, before and after enactment. The data were statistically analysed using correlation analysis, parametric and non-parametric tests, trend analysis, and regression analysis. Results showed the positive effects of changes in microstructures on the efficiency of pricing process.
    Keywords: legislation; trading rules; market microstructure; market efficiency; emerging markets.
    DOI: 10.1504/AAJFA.2023.10063816
  • The symmetric and asymmetric effect of foreign currency reserves and money supply on inflation in The Gambia: a linear and nonlinear ARDL perspective.   Order a copy of this article
    by Mohammad Othman Jamil Rashdan, Abed Allah Abu Wahdan, Foday Joof 
    Abstract: This paper investigated the symmetric and asymmetric impact of international reserves (FCR) and money supply (M2) on inflation in The Gambia. The paper employed the Nonlinear-ARDL (NARDL) for the asymmetric and the ARDL for the symmetric effect, using monthly data (2005M12019M12). The NARDL revealed that a positive shock in foreign reserves is detrimental to inflation, while a negative shock promotes price stability. Similarly, an increase in money supply triggers price instability, while a decline in M2 was found to have a neutral effect. The ARDL results showed that FCR positively affects inflation in the long term but negatively in the short run. However, M2 has a positive relationship with inflation both in the short and long run. The findings indicate that policymakers in The Gambia are faced with a trade-off of either accumulating reserves to protect the economy against external shocks or maintaining price stability.
    Keywords: foreign currency reserve; money supply; inflation; Gambia; linear; nonlinear ARDL.
    DOI: 10.1504/AAJFA.2023.10058793
    by Jamiu Adeniyi Akindele, Asri Marsidi, Shaharudin Jakpar, Akeem Adekunle Adeyemi, Lateef Yunusa 
    Abstract: This study examines the moderating role of financial constraints on the impact of working capital investment on firms performance. The study sample comprises 902 non-financial firms-years registered on the Nigerian Stock Exchange. Using the dynamic panel model over ten years (2009 2018), the empirical evidence indicates a significant impact between the cash conversion cycle, inventory days, and return on assets (non-linear relationship). Contrarily, account receivable days and account payable days show the absence of a non-linear relationship. Similarly, financial constraints proxy cash flow has a moderating effect between working capital investment and performance, while the cost of external financing has no moderating effect. It is thus inferred that managers with specialized skills and competency can support the organization's working capital strategy and mitigate the asymmetric information and agency costs to reduce the effect of financial constraints, thereby increasing firms performance.
    Keywords: working capital investment; financial constraints; cash flows; performance; firm’s value.
    DOI: 10.1504/AAJFA.2023.10060044
  • Default risk modelling for small-to-medium enterprises in the context of stressed conditions in an undeveloped economy   Order a copy of this article
    by Frank Ranganai Matenda, Mabutho Sibanda 
    Abstract: This paper designs stepwise logit models to predict the default probability for small-to-medium enterprises (SMEs) under downturn conditions in an undeveloped economy. The primary focus of this study is to recognize and interpret the determinants of default probability for SMEs. We apply an empirical data set of Zimbabwean defaulted and non-defaulted SMEs for applicability and effectiveness motives. Our experimental results indicate that the ratio of (current assets-current liabilities)/total assets, the earnings before interest and tax/total assets ratio, the book value of total assets, the real GDP growth rate, the inflation rate, the ratio of net sales/net sales last year, the age of the firm and the ratio of bank debt/total assets are all robust determinants of default probability for Zimbabwean SMEs. The implication here is that firm and loan features, accounting ratios and macroeconomic factors should be incorporated when forecasting default probability for SMEs in the context of stressed conditions.
    Keywords: default risk; downturn conditions; small-to-medium enterprises; developing country; covariates; stepwise logit models.

  • The moderating role of diversity of products between the nexus of market concentration toward financial performance: a study in an emerging market   Order a copy of this article
    by Mohannad Almajali, W. Muhammad Zainuddin Wan Abdullah 
    Abstract: This research paper aims to examine the influence of market concentration on the financial performance of Jordanian insurance companies, considering the potential moderating effect of product diversity. The motivation for this study arises from the observation that insurance companies in Jordan operate within a highly concentrated market, with a predominant focus on car insurance. However, the implications of this focused strategy remain unclear. To address this gap, we employed a static panel data analysis technique, utilizing data from twenty insurance companies in Jordan spanning the period from 2005 to 2020. Through fixed-effects regression models, our findings reveal a significant positive relationship between market share and performance. Conversely, we observe a negative association between the concentration ratio and performance. The finding indicates that market concentration could be beneficial or detrimental to the financial performance of insurance companies, contingent on the extent of product diversity of the firm. Increasing product diversification leads to a more pronounced positive effect of market share on financial performance. These results indicate that product diversification serves as a mechanism for insurance companies to mitigate financial risks. Consequently, the study recommends that management prioritize product diversification as a strategic approach to reduce financial risks. the study contributes to the literature by providing empirical evidence and insights into the relationship between market concentration, product diversity, and financial performance in an emerging market context.
    Keywords: insurance company; financial performance; market concentration; diversity of products.

  • Santa Claus rally and American depository receipts: a note   Order a copy of this article
    by Srinivas Nippani, Júlio Lobão 
    Abstract: Recent empirical evidence supports the presence of the Santa Claus rally, an intriguing market anomaly that produces above-average returns during the last five trading days of December and the first two trading days of January. This anomaly, one of the latest that goes against market efficiency, has been found to exist in several countries, including countries where Christmas holds less significance in the calendar year. This paper examines for the first time the existence of the anomaly in the American depository receipts (ADRs) market. By analysing data from four distinct periods spanning nearly 25 years, we demonstrate that the anomaly solely manifests in the long form, encompassing the first two trading days in January. Our findings are robust and carry significant implications for both practitioners and academics.
    Keywords: market efficiency; anomalies; Santa Claus rally; American depository receipts.
    DOI: 10.1504/AAJFA.2023.10059755
  • Do volatility spillover effects vary across stock market crashes? An empirical analysis   Order a copy of this article
    by Lamia Kalai 
    Abstract: The aim of this paper is to compare volatility of nine developed and emerging stock markets, with the US market during the 20052021 period. We use the ICSS algorithm to detect a change point of a stationary structure in a time series and we consider a dynamic conditional correlation specification to model the time-varying feature of volatility. Our findings make two interesting contributions to the relevant literature: first, we show significant bidirectional volatility spillover between the USA and equity markets during crises. Second, the study of dynamic relationships between stock markets shows contagion effects only in periods of high volatility: the impact of shocks from the US market is more substantial during the post-crisis period. Finally, the empirical analysis shows evidence of transmission effects of volatility shocks. Market adjustment processes require regulatory and supervisory government measures that can prevent a systemic crisis.
    Keywords: market crashes; ICSS algorithm; breakpoints analysis; multivariate GARCH; conditional correlation; volatility spillover.
    DOI: 10.1504/AAJFA.2023.10059802
  • Efficiency performance and the insolvency risk for Takaful insurance firms: evidence from the Gulf Cooperation Council countries   Order a copy of this article
    by Ahmad Abu-Alkheil, Ghadeer Khartabiel, Walayet A. Khan, Bhavik Parikh 
    Abstract: We use the data envelopment analysis (DEA) and the distance-to-default concept (Z-score) to examine the efficiency performance and the insolvency risk (IR) of 54 Takaful firms (TFs) in the Gulf Cooperation Council (GCC) countries. We also use the robust regression model to investigate the relationship between IR and its determinants. Results reveal that TFs are not fully efficient, and inefficiencies are large-scale. Poor management, to some extent, is the source of inefficiencies. Low allocative scores contribute to the firms’ cost inefficiency, indicating that input proportions do not guarantee the minimum possible cost. Room for improvement is evident by shrinking the operations and better managing the input resources and output mix. Moreover, efficiency is vital in determining the TFs insolvency risk. Furthermore, we find Takaful firms were significantly and adversely affected by the 2008 global financial crisis but exhibited speedy recovery and an increasing trend in the efficiency scores.
    Keywords: efficiency; Gulf Cooperation Council; GCC; data envelopment analysis; DEA; Takaful insurances; crisis; Solvency II.
    DOI: 10.1504/AAJFA.2023.10060013
  • Challenging the efficient market hypothesis: an investigation of the overconfidence bias betwenn developed and developing African markets   Order a copy of this article
    by Ouael El Jebari, Abdelati Hakmaoui 
    Abstract: This article tests the presence of the overconfidence bias in the financial markets of the USA, Germany, France, Turkey, South Africa and Morocco. It broadens previous studies by implementing an ARMA(p,q)-FIEGARCH(1,d,k,1) parameterisation capable of simultaneously measuring the presence of overconfidence bias and accounting for long memory processes in the volatility series. The data used in this article consists of daily closing prices along with daily trading volumes of S&P 500, DAX, CAC 40, BIST 100, FTSE JSE, ATW, BCP, BMCE and IAM. The results of the study confirm the existence of an overconfidence bias in the data of DAX, CAC 40, FTSE JSE, ATW, BCP and. Similarly, the results also suggest that all of the series in the sample have their volatilities governed by long memory processes, for which the intensity differs from one index to another.
    Keywords: overconfidence; anomalies; Financial markets; FIEGARCH; long memory.

  • Concentrated ownership and corporate social responsibility disclosure: the role of moderation of political connection   Order a copy of this article
    by Miranda Hutapea, Yeterina Nugrahanti, Jean Mattitaputy, Supatmi Supatmi 
    Abstract: This study aims to test empirically the effect of concentrated ownership on the disclosure of corporate social responsibility by adding the variable of moderation of political connection to manufacturing companies listed on the Indonesia Stock Exchange (IDX) in 20182020. This study uses a quantitative approach. 149 companies are studied in this study. Non-probability sampling and purposive sampling methods are used for sampling techniques for 447 samples in this study. Data in this study is processed with the regression analysis technique for panel data which is processed using Eviews 10. The results of the study show that concentrated ownership has a positive effect on CSR disclosure while political connection weakens the effect of concentrated ownership on CSR disclosure.
    Keywords: concentrated ownership; CSR disclosure; political connection.
    DOI: 10.1504/AAJFA.2023.10060096
  • Can issuers contribute to infrastructure development through municipal bonds in India? Evaluation of factors using AHP approach   Order a copy of this article
    by Pali Gaur, Shikha Singh 
    Abstract: This study aims to fill a gap in the literature by identifying, the most significant factors attributing to the slow growth of municipal bonds in India. Nine factors were identified, and then divided into three categories: Proper Governance, Issuers strength, Government support. We used the analytical hierarchy process, a quantitative method of decision-making, to evaluate the importance of the factors presented in the study using data collected from thirteen experts. The results showed that government support, as a category, is the most important. The analysis also indicated that audited reports, incentives to issuers, revenue stability and updated accounting & financial management practices are the most important factors among all nine sub-factors. We confer the propositions of the analysis for policy makers and other regulatory bodies through this paper.
    Keywords: Municipal bonds; issuers; Municipal corporations; governance; AHP; infrastructure development; Urban local body (ULB); bond market.

  • Analysing asset pricing models in the Indian stock market: a comprehensive empirical study   Order a copy of this article
    by Saroj S. Prasad, Ashutosh Verma, Shantanu Prasad 
    Abstract: This study aims to analyse the asset-pricing model in India by using a comprehensive database of companies listed in the BSE 500 Index. The study covers a twenty-year period from July 2000 to June 2020 and focuses on the evaluating the Fama-French three-factor and Fama-French five-factor models. To examine these asset-pricing models, ordinary least-squares multivariate regression analysis is performed for both single-sorted and double-sorted portfolios. The market proxy is selected by assessing its robustness among three potential proxies. The results suggest that return patterns are influenced by firm characteristics, specifically size, as well as fundamentals such as profitability and investments. These factors play a significant role in shaping portfolio returns. The empirical results suggest that both the Fama-French three-factor model and the Fama-French five-factor model are statistically suitable for capturing portfolio returns. However, the Fama-French five-factor model shows better performance compared to the three-factor model. Notably, the factors of size, profitability, and investment have an impact on most portfolios. These results support the adoption of Fama-French multifactor models to determine the cost of capital in the Indian stock market and emphasize the factors that fund managers, asset managers and investors should consider when constructing portfolios.
    Keywords: five factor model; three factor model; efficient market hypothesis; market anomalies; investments; portfolio.

  • The effect of audit opinion on debt characteristics: the moderating effect of the type of auditor and the Tunisian Revolution   Order a copy of this article
    by Hanen Moalla 
    Abstract: The aim of this research is to investigate the impact of the audit opinion on debt characteristics (i.e., debt amount, maturity structure, and cost of debt) and analyze the moderating effect of both the type of auditor and the Tunisian Revolution. We were interested in the going-concern opinion and the qualified opinion. We analyzed 573 year-firms observations and pre-and post-revolution periods (respectively 2008-2010 and 2011-2017). The sample is composed of companies audited either by Big 4 or non-Big 4 auditors. The main results underline the importance of the effect of the going-concern opinion on debt characteristics. The influence of the qualified audit opinion and especially the going-concern opinion issued by a Big 4 auditor on the characteristics of the debt is important. These modified opinions expressed by a reputable auditor are associated with unfavorable debt conditions. A negative impact of the going-concern opinion after the Tunisian Revolution is highlighted.
    Keywords: going-concern opinion; qualified audit opinion; debt characteristics; debt amount; debt maturity structure; cost of debt; Big 4/non-Big 4; Tunisian Revolution.

  • Mediating role of research and development and financial leverage on the relationship between corporate board characteristics and dividend payout policy   Order a copy of this article
    by Md. Harun Ur Rashid 
    Abstract: The study investigates the mediating effect of research and development (R&D) and financial leverage on the relationship between corporate board characteristics (diversity, size, tenure) and dividend payout. The study uses structural equation modeling to analyze data collected from 203 non-financial firms listed on the Bursa Malaysia between 2005 and 2018. The findings revealed a serial partial arbitration effect of R&D and financial leverage on the relationship between board characteristics (board size and board diversity) and dividend payout. Though the outcomes show that financial leverage partially mediates the association between the board of directors tenure and dividend, R&D fully mediates between board tenure, board diversity, and financial leverage. The findings imply that board characteristics influence the declaration of a sound payout policy which attracts more investment to the stock exchange. The study also offers the policymakers of developing countries valuable insights into how creditors pressure and investment in R&D influence the board attribute toward dividend payout policy.
    Keywords: dividend payout; corporate board characteristics; Bursa Malaysia; financial leverage.

  • Investment and leverage: the moderating effect of financial constraints   Order a copy of this article
    by Quynh Trang Phan 
    Abstract: This study investigates how financial constraints affect the linkage between investment and leverage. Using the panel dataset of Vietnamese listed firms from 2007 to 2021, we found that the increase in firm investment is associated with the increase in debt use. It implies that an abundant supply of external debt will encourage firms to boost their investments. In addition, financial constraints weaken the relationship between financial leverage and firm investment. In other words, financial constraints hinder firms from increasing investment by reducing their debt levels and being more careful in selecting investment projects. The different techniques and proxies of financial constraints are employed to challenge these results.
    Keywords: corporate investment; financial leverage; financial constraints; emerging market.
    DOI: 10.1504/AAJFA.2023.10061573
  • Do corporate ownership attributes impact timely financial reporting? Empirical evidence from Nigeria   Order a copy of this article
    by Edosa Aronmwan, Osariemen Asiriuwa, Alex Adegboye, Adeyemi Sam Sopekan 
    Abstract: This study assesses the impact of ownership attributes on the timeliness of financial reporting by corporate entities in Nigeria. It uses a quantitative research methodology and data from 50 financial service companies listed on the Nigerian Stock Exchange (NGX) for the period 2012 to 2018. The findings of the study provide evidence in line with the convergence of interest hypothesis to support a nonlinear significant relationship between managerial ownership and timely financial reporting. Government ownership was also found to have a statistically significant positive association with the timely release of financial statements. Overall, the study has implications for policy formulation as it provides evidence that indicates the timely release of financial reports in Nigeria is driven by the type of ownership structure ceteris paribus. Our findings contribute to the literature on the nexus between ownership attributes and timely reporting within the context of an emerging African country with a less developed exchange market. The study recommends that those charged with governance should subscribe to well-designed equity-based compensation for executives of not more than 20% holdings as this would increase managerial ownership and align the interests of managers and owners as regards timely reporting.
    Keywords: timeliness; corporate reporting; government ownership; institutional ownership; managerial ownership; convergence of interest; Nigeria.
    DOI: 10.1504/AAJFA.2023.10061720
  • An analysis of the effect of asset securitization on the credit risk of Chinese commercial banks   Order a copy of this article
    by Nizar Baklouti 
    Abstract: As a tool of financial innovation, securitisation of credit assets affects the credit risk level of banks. In the context of the increasing scale of securitisation activities, this paper selects annual data from 27 listed Chinese commercial banks from 2012 to 2022 by applying the system generalised method of moments (SYS-GMM) by dynamic panel to analyse the impact of credit asset securitisation activities on the credit risk of Chinese commercial banks. The study shows that the leverage ratio of commercial banks is positively correlated with credit risk. Asset securitisation can reduce risk-weighted assets by moving high-risk assets off the balance sheet to improve the capital adequacy ratio, inhibit liquidity creation, and reduce unsecured interbank borrowing based on capital.
    Keywords: asset securitisation; banks; credit risk; dynamic panel; capital adequacy.
    DOI: 10.1504/AAJFA.2024.10062637
  • Corporate governance and bank performance in Vietnam: the role of the board of directors   Order a copy of this article
    by Nam Hai Pham, Le Ha Diem Chi 
    Abstract: This study examines the impact of board characteristics on 30 Vietnamese commercial banks’ performance from 2012 to 2020. Variables representing the characteristics of the board of directors include state shareholders, the board size, independent members, the duality of the CEO, and female members of the board of directors. The variables that represent the performance of commercial banks are ROA and ROE By regression of balanced panel data according to the SGMM method, research results show that independent and female members of the board of directors positively impact the performance of Vietnamese commercial banks. In contrast, state shareholders, board size, and CEO duality have a negative impact on bank performance.
    Keywords: board characteristics; bank performance; commercial bank.
    DOI: 10.1504/AAJFA.2024.10062778
  • Bank-specific determinants of deposit banks profitability in a highly dollarised economy: evidence from Turkey   Order a copy of this article
    by Haşmet Sarıgül 
    Abstract: The purpose of this study is to explore banks profitability determinants in highly dollarised Turkish economy. A panel autoregressive distributed lag model with quarterly data on Turkish deposit banks for the period 2005Q12021Q4 is used to analyse long- and short-run relationships between the variables. All the dollarisation-related variables in the estimation model deposit dollarisation, foreign currency open position, and foreign currency financial derivatives appear to be statistically significant factors that adversely impact the profitability of Turkish deposit banks in the long-run. The estimation model also includes a set of other bank specific variables, among which the off-balance engagements, overhead rate, market share, and capital-to-asset ratio are significantly associated with the profitability of Turkish deposit banks. The changes in the net total loans/assets, loan loss provisions/loans, and loan loss provisions/assets variables have insignificant impacts on the profitability.
    Keywords: dollarisation; profitability; deposit banks; panel data.
    DOI: 10.1504/AAJFA.2024.10062835
  • Do CEO characteristics influence Indian Banks performance and vice versa?   Order a copy of this article
    by Rekha Handa, Priyanka Mahajan 
    Abstract: The purpose of this study is to analyse the impact of chief executive officer (CEO) traits on bank performance The analysis is based on second-hand data collected from 36 banks during a fifteen-year period, from 2005 to 2019 On the final sample, which consists of 540 observations, panel regressions model technique is run to examine the association between CEO (demographic and professional) traits on market valuation and financial performance of banks The results, in particular, demonstrate that CEO-Chairman duality and the CEO's remuneration have a beneficial impact on bank performance Moreover, the study discover that CEO age has a negative relationship with Tobin’s Q of the firm While CEO ownership and CEO Tenure seem to be positively correlated with firm performance It's interesting to note that a CEO or chairperson having regular attendance at board meeting enhanced firm performance measured by Tobin's Q.
    Keywords: bank performance; public sector bank; private sector bank; CEO characteristics; CEO duality; CEO traits ; CEO tenure; Tobin’s Q.
    DOI: 10.1504/AAJFA.2024.10063104
  • Examining a moderated-mediation model of the impact of contextual factors on costing system design: new insights from the Saudi manufacturing sector   Order a copy of this article
    by Abdulrahman Aljabr 
    Abstract: An optimal costing system design (CSD), which aligns with business and production environments, contributes towards achieving optimal performance levels and enhancing sustainability. Prior research adopted contingency theory to understand the impacts on optimal CSD, yet produced inconsistent findings, possibly due to the employment of simple models. Hence, this paper aims to examine a moderated-mediation model that combines mediation and moderation analysis to investigate the effect of key contingency factors on CSD. Using questionnaire data collected from 200 Saudi manufacturing business units and analysed using partial least squares structural equation modelling (PLS-SEM), this paper provides interesting direct, mediation, moderation, and moderated-mediation effects of contingency factors on CSD. It contributes towards lessening the inconsistencies found in the prior literature regarding the effect of the level of competition (COMP), production complexity (PC), and indirect costs (INDIRECT-COSTS) on CSD.
    Keywords: costing system design; costing system complexity; CSC; activity-based costing; ABC; contingency factors; moderated-mediation; partial least squares.
    DOI: 10.1504/AAJFA.2024.10063222
  • Unveiling key factors influencing corporate ESG reporting adoption: a TISM and MICMAC analysis   Order a copy of this article
    by Paridhi -, Ritika Aneja 
    Abstract: Environmental, social, and governance (ESG) reporting, which goes beyond a mere compliance tool, can potentially become an effective instrument for driving sustainable business practices. This study explores the factors and their complexities utilising the total interpretive structural modelling (TISM) systematic method. It constructs an empirical model revealing hierarchical interrelatedness among critical factors. Further, Matrice dImpacts Crois
    Keywords: corporate ESG reporting adoption; sustainability reporting; ESG disclosures; total interpretative structural modelling; TISM; MICMAC analysis; corporate sustainable practices.
    DOI: 10.1504/AAJFA.2024.10063449
  • Whistleblowing framework and financial statement fraud: empirical evidence from Nigeria   Order a copy of this article
    by Olayinka Erin, Oluwafunmilayo Ajibola, Olajide Dahunsi 
    Abstract: Whistleblowing activities have increased globally due to corporate fraud in recent times. The study examined the impact of whistleblowing framework on financial statement fraud of listed firms in Nigeria. We adopted the following to measure whistleblowing framework: size of audit committee, independence of audit committee, risk committee independence, size of external audit, international ownership and firm size. In the same vein, financial statement fraud was measured through Beneish M-score Model, taking into consideration the eight (8) parameters of the model. We analyzed the data using Weighted Exogenous Sample Maximum Likelihood (WESML), content analysis and Fixed Effect Regression Model. The findings reveal that most Nigerian listed firms have increased the pace toward transparent disclosure of whistleblowing practices which has significant effect on financial statement fraud. These empirical findings place a new direction for inclusive corporate disclosure of whistleblowing in Nigeria, and also for best practices in emerging economies.
    Keywords: Beneish M-score; financial statement fraud; legitimacy theory; Nigerian listed firms; whistleblowing framework; whistleblowing index.

  • Momentum explains the growth effect: the case of the Vietnamese stock market   Order a copy of this article
    by Le Quy Duong 
    Abstract: While there is empirical evidence of the value effect in various developed stock markets, the growth effect has been documented in Vietnam. The CAPM and Fama-French models cannot capture Vietnamese growth and value stock returns. Three of the four mimic factors do not contain incremental information on expected returns. However, a three-factor model with a momentum factor provides an appropriate explanation of the growth effect. Both robustness tests demonstrate the explanatory power of the three-factor model. Furthermore, delayed overreaction is likely to be a key source of momentum in Vietnam. Taken together, the superior return on the growth portfolio arises from the momentum effect, whereby investors tend to overreact to information about past returns. This is consistent with behavioural explanations.
    Keywords: value and growth stocks; momentum; overreaction; asset-pricing models.
    DOI: 10.1504/AAJFA.2024.10063839
  • The effect of liquidity creation on bank profitability and credit risk: evidence from BRICS countries   Order a copy of this article
    by Rosy Chauhan, Anil K. Sharma 
    Abstract: In this study, we empirically investigate whether liquidity creation after the implementation of liquidity regulations can help boost profitability and reduce credit risk for emerging economies. This study analyses a sample of 499 commercial banks from the BRICS countries between 2013 and 2021 and applies the two-step system generalised method of moments (GMM). Further, results are confirmed through robustness tests. The study's findings indicate a positive impact of liquidity creation on bank profitability, but this doesn't hold true for small banks. Also, findings indicate that more liquidity creation leads to an increase in credit risk. Thus, the results suggest that regulators should devise measures to restrict excessive liquidity creation and call for combined regulation of liquidity and credit risk.
    Keywords: liquidity creation; profitability; credit risk; BRICS; Basel III.
    DOI: 10.1504/AAJFA.2024.10064158
  • Impact of financial reporting quality on labour investment efficiency for Indian firms   Order a copy of this article
    by Leela Joshi, Soma Dey 
    Abstract: This paper discusses the potential role of financial reporting quality (FRQ) in affecting investments in labour, an important factor of production that has been largely overlooked in the literature, especially for Indian firms. Using a dataset consisting of 366 non-financial Indian companies listed on the BSE500 Index, we find that higher FRQ is associated with higher labour investment efficiency (LIE). Further, we find that FRQ is strongly associated with overinvestment by firms, which suggests that FRQ mitigates moral hazard problems arising from information asymmetries. On the other hand, FRQ is found to have no significant effect on underinvestment for firms facing financing constraints. We also find that high-quality financial reporting mitigates abnormal net hiring by smaller firms while the effect is insignificant for larger firms. The results indicate that FRQ can play a significant role in mitigating investment inefficiencies arising out of informational asymmetry for emerging markets like India.
    Keywords: financial reporting quality; FRQ; labour investment efficiency; LIE; information asymmetry; overinvestment; underinvestment.
    DOI: 10.1504/AAJFA.2024.10064186
  • ESG and Pakistan: the good and the bad   Order a copy of this article
    by Olan Naz, Muhammad Zubair Mumtaz 
    Abstract: The world is more susceptible to extreme natural disasters and environmental issues; therefore, the business landscape in Pakistan must evolve while remaining environmentally conscious. Firms must incorporate sustainability strategies into their planning and instil actions that make them more economically and environmentally resilient. This study aims to conduct a sector-wise analysis of the environmental, social, and governance (ESG) measures and their effect on the stock performance of 101 firms listed on the Pakistan Stock Exchange from 2009 to 2019. For this purpose, the study constructs an ESG index and employs the GMM technique to examine the effect of ESG factors on the firm's stock performance. Using profitability measures, ESG combined and separate scores with a period lag show a positive but weak significant coefficient. Considering the firm value, the ESG combined and separate scores with a period lag positively influence Tobin's Q, except for environmental factors. Considering the weighted average cost of capital (WACC) and ESG linkages, the ESG combined and separate scores with a period lag influence WACC negatively except for social factors. The study's findings are consistent with the previous literature, which supports the catalyst effect of ESG compliance on the performance of firms.
    Keywords: sustainability; environmental; social and governance measures; ESG; Tobin's Q; GHG emissions; Pakistan.
    DOI: 10.1504/AAJFA.2024.10064552
  • Portfolio diversification opportunities in Indian stock and commodity markets using TVP VAR extended joint connectedness approach   Order a copy of this article
    by Ishwar Sharma, Meera Bamba, Bhawana Verma, Bharti Verma 
    Abstract: The study investigates the connectedness in stock and commodity markets of India and its implication for portfolio diversification using the TVP-VAR extended joint connectedness approach. According to the study’s findings, there is low spillover between the stock and commodity markets, suggesting that diversification benefits can be taken by building a stock-commodity portfolio. The study discovers a time-varying relationship between stocks and the commodity market. Total connectedness was high during covid and Russia-Ukraine war, but the connectedness during the Russia-Ukraine war was lower than the covid. Most of the time, however, all commodities are negatively connected with stocks. Still, because the magnitude of the negative connectedness of gold and crude oil with stock is substantial, it can be concluded that a portfolio of stocks with gold and crude oil may provide better diversification benefits than other commodities. This research provides valuable information for portfolio managers, investors, financial advisors, policymakers and regulators.
    Keywords: stock market; commodity market; time-varying parameters vector autoregression; TVP VAR extended joint connectedness approach; portfolio diversification; Nifty; MCX.
    DOI: 10.1504/AAJFA.2024.10064637