Afro-Asian J. of Finance and Accounting (62 papers in press)

Regular Issues

• Market reaction to the annual cash dividend changes in Pakistan  
  by Sana Tauseef 
  Abstract: This study examines the investors response to the announcement of cash dividend changes made by firms listed on Pakistan Stock Exchange. It also investigates the factors contributing to the investors behaviour surrounding the annual dividend announcements over the years 2011 to 2017. Results of event study analysis show that investors respond negatively to the announcement of dividend decrease; however, there is no evidence of positive investor response following dividend increase. The regression results show that the stocks abnormal returns earned on and after the announcement of dividends are positively impacted by dividend change and dividend yield. Our findings contribute to the literature on market inefficiency through providing a partial support for the signalling hypothesis and have significant implications for investors and firm managers.
  Keywords: dividend change; abnormal return; panel data; event study; Pakistan.
  
  
• Impact of institutional quality on firms debt maturity in developing nations  
  by Bolaji Tunde Matemilola, A.N. Bany-Ariffin, Gbemisola Adeoye 
  Abstract: This article investigates the impacts of institutional quality on debt maturity using 3885 listed firms from 22 developing nations. This study specifies the dynamic panel models and applies the two-step system generalised method of moments estimation that reduces the reverse-causality problem. The findings reveal that the average institutional quality index has positive impacts on debt maturity in developing nations. Furthermore, regulatory quality, rule of law, and control of corruption have positive impacts on debt maturity, separately. Moreover, institutional quality has positive impacts on debt maturity of listed firms in developing nations where legal enforcement quality is high, but it has negative impacts on the debt maturity of firms in developing nations where legal enforcement quality is low. The overall findings suggest that strong institutional quality and legal enforcement reduce bankruptcy costs; these encourage lenders to provide firms debt capital with long-term maturity.
  Keywords: debt maturity; institutional quality; legal enforcement; system-GMM; developing nations.
  
  
• How COVID-19 pandemic and oil prices drive the Saudi sectors over investment horizons: a wavelet sector-based view  
  by Chaker Aloui, Sharif Arshian, Noshaba Aziz 
  Abstract: The Saudi economy has been severely shackled by the combined shocks inherent to the sharp fall of prices of oil as well as the tremendous propagation of the newly infectious disease (COVID-19). In this study, the focus is given to the assessment of COVID-19 impact on the leading Saudi industrial sectors over the investors investment horizons. We are resorted to three variants of the wavelet methods to achieve the study objective. The main advantage of the wavelet is to isolate the effect of oil price shocks and to account for the Saudi investors perceptions of the uncertainty inherent in response to the COVID-19 propagation in Saudi Arabia. Moreover, we check the robustness of our results using the non-linear ARDL (NARDL) model, which is restricted to timescales. Our findings reveal a varying pattern of oil and COVID-19 over timescales and frequency bands across sectors. When isolating the oil impact, the COVID-19 effect is relatively low as compared to oil. These results are also supported by the NARDL outcomes. The results of our study propose operational implications for portfolio managers and policy makers and also pave the way for new research avenues.
  Keywords: Saudi market; industrial sectors; COVID-19; wavelets; NARDL model.
  
  
• Adherence level to materiality in stand-alone GRI sustainability reporting in Arab nations: does listing status matter?  
  by Krayyem Al-Hajaya 
  Abstract: The purpose of this study is twofold: firstly, to show the status quo of stand-alone sustainability reporting and the level of adherence to materiality according to the Global Reporting Initiative (GRI) classification in Arab nations between 2014 and 2018; and secondly, to identify the impact of firms listing status on the level of adherence to materiality in stand-alone GRI sustainability reporting. Based on data derived from the GRI Sustainability Disclosure Database, corporate websites and other commercial websites, binary and multinomial logistic regressions are performed to ascertain whether firms listing status might affect their level of adherence to materiality in GRI sustainability reporting, controlling for size, sector and organisation type. The findings of the study support its initial proposition that listed firms in the Arab region have greater motives to perform better than unlisted companies in adhering to advanced levels of materiality in GRI sustainability reporting, and thereby enhance their international comparability, accountability and transparency on sustainability issues. As Arab nations, generally, are facing severe economic, environmental and social challenges, this study may shed light on sustainable development issues in this region and motivate policy-makers to encourage companies to voluntarily disclose their material contributions toward green economy and sustainable development activities. There is currently no investigation into the impact of firms listing status, as a proxy for the corporate burden of agency and political costs, on the level of compliance with materiality in GRI stand-alone sustainability reporting. Thus, the current study is an attempt to fill this gap in the literature.
  Keywords: CSR; GRI; Arab nations; stand-alone sustainability reporting; GRI adherence level.
  
  
• Drivers of shareholder value: evidence from an emerging market  
  by Samuel Buertey 
  Abstract: In the ever-competitive capital market, value creation is vital to a firms ability to attract and maintain investment funds. To this end, it is important that the factors that drive shareholder value are identified and consistently emphasised. Drawing from the shareholder theory, this paper attempts to identify factors that strongly drive shareholder value of non-financial firms listed on the Ghana Stock Exchange during the period 2007 to 2017. A fixed-effect regression model is used in the study to estimate the relationship between various drivers identified in the extant literature and shareholder returns. The empirical result shows fixed capital investment, earnings per share, and return on equity are the main drivers of shareholder value among the sampled firms. They have a statistically significant and positive effect on shareholder value. Sales growth, operating margin, and free cash flow are not significantly associated with shareholder value. The study control for interest expenses, firm size, and age. This study is the first to examine the main drivers of shareholder returns on the GSE. In relevance, the study provides both managers and investors with useful signals about the factors that matter most in shareholder value creation, especially from the perspective of an emerging market.
  Keywords: shareholder value; value drivers; Ghana Stock Exchange; shareholder theory; market value added.
  
  
• Impact of cash conversion cycle on financial performance: an empirical study of listed companies in Botswana  
  by C.R. Sathyamoorthi, Christian Mbekomize, Lame Bakwenabatsile 
  Abstract: The study examines the impact of cash conversion cycle on the financial performance of selected listed companies in Botswana Stock Exchange for the period 2012-2018. Financial statements of the listed companies are used as the main source of data. Return on assets and return on equity are used as the dependent variable to measure financial performance. The data is analysed using descriptive statistics, correlation analysis, and a multiple regression analysis to measure the impact of cash conversion cycle on profitability. Correlation analysis reveals a non-significant negative relationship between cash conversion cycle and profitability, whereas the control variables of size and debt exhibit a significant negative relationship with firm profitability. The regression results show that cash conversion cycle has an insignificant positive effect on return on assets, but has a significant impact on return on equity. Both size and debt have a significant impact on return on assets and return on equity. The findings highlight the need for the firms to focus on policies and strategies that will reduce the length of cash conversion cycle by minimizing the inventory turnover period and accounts receivable collection days, while negotiating for extension of accounts payable payment days. This will enhance profitability and firm value.
  Keywords: cash conversion cycle; return on assets; return on equity; profitability; Botswana.
  
  
• The relationship between tax revenue and economic growth: an empirical study in Vietnam  
  by My-Linh Thi Nguyen, Nga Phan Thi Hang, Toan Ngoc Bui, Hoai Thu Ho, Tung Duy Thai 
  Abstract: This paper focuses on examining the impact of tax revenue on economic growth in Vietnam. In particular, tax revenue is measured through tax revenue ratio or the Governments total tax revenue to GDP. The research data were collected on a yearly basis in the period 1990-2019. Through the Vector Autoregressive (VAR) model, the paper has achieved great success when finding the positive impact of tax revenue (TAX) on economic growth in Vietnam; however, this impact is negative in the long term. Conversely, economic growth has a positive impact on tax revenue with one lag and three lags. In addition, economic growth in Vietnam is affected by domestic savings (SAV), trade openness (OP), Government spending (GOV), and domestic investment (CAP); meanwhile, tax revenue is affected by domestic savings (SAV), trade openness (OP), and Government spending (GOV). The paper is the first empirical evidence in Vietnam for the relationship between tax revenue and economic growth. Therefore, the research results have important implications for the Government of Vietnam to have a basis to administer tax policies in order to stimulate economic growth in a sustainable way.
  Keywords: economic growth; tax policy; tax revenue; Vietnam.
  DOI: 10.1504/AAJFA.2022.10051806
   
  
• Seasonality in Gulf Cooperation Council stock markets  
  by Turki Alshammari 
  Abstract: This study strives to model the seasonality and the cyclicality of the Gulf Cooperation Council (GCC) stock markets returns. The study documents that the stock markets of Kuwait, Bahrain, the Emirates, and Oman all show weekday seasonality, but the effect of that seasonality on stock returns is trifling, especially after considering the transaction cost. Besides, all GCC stock markets, except the Saudi market, show monthly seasonality. Furthermore, all GCC stock markets returns exhibit cyclicality. The results are robust to the employed econometric method. These results could be ascribed to country-specific investors attitudes that might be employed to frame distinct investment strategies
  Keywords: GCC; seasonality; cyclicality; Box-Jenkins; stock returns; market efficiency.
  
  
• Mean reversals and stock market overreactions: further evidence from India  
  by T.G. Saji 
  Abstract: This research investigates the price reversals and stock market overreactions in the Indian stock market over the period 2008-2016. Our test procedures follow the US evidence offered by De Bondt and Thaler (1985, 1987) and Zarowin (1990). Fama's decomposition and Jensen's alpha measures that compute excess returns from the monthly price data on Nifty-included stocks of the National Stock Exchange (NSE) provide the primary inputs for our search process. Consistent with the US evidence, the study finds that the prior losers outperform prior winners in the subsequent one to two years of portfolio formation. The research finds convergences in investor overreactions to price trends prevailing in upside and downside market conditions in India.
  Keywords: overreactions; winner-loser effects; CAPM Beta; excess returns.
  
  
• Evaluating the sources of productivity of insurance firms in Arab Gulf Countries and Jordan: Malmquist Productivity Index  
  by Abderrazak Bakhouche, Eman Zabalawi, Mohamed Lotfi Boulkeroua 
  Abstract: In recent years, the adoption of technological advances in finance may have impacted the efficiency and productivity of financial institutions, through lower transaction costs and reduced information asymmetries. This paper employs the Malmquist productivity index to measure productivity and identify its main drivers for 98 conventional and Sharia-compliant insurance firms operating in the GCC and Jordan over the period from 2009 to 2017. The results show that insurance firms in the countries under study experienced productivity progress, primarily brought about by technological change. The study reveals the existence of a scope to enhance productivity by exploring both pure and scale efficiencies, with the continuous integration of advanced technology
  Keywords: insurance; productivity; Malmquist productivity index; efficiency change; technological change; takaful; GCC; Jordan;.
  
  
• Sentiment and stock returns: aggregate and cross-sectional analysis from Pakistan  
  by Sana Tauseef, Hira Suman 
  Abstract: This study examines the impact of investor sentiment on aggregate stock market returns and on a cross-section of stock returns for the emerging market of Pakistan. We constructed an investor sentiment index using principal component analysis based on seven proxies: advances-to-decline ratio, share turnover rate, money flow index, relative strength index, price-to-earnings ratio, dividend premium and interest rate. Results of vector auto-regression suggest that one-month lagged sentiment index is a strong predictor of itself and aggregate stock market return with a positive sign, showing persistence and providing evidence of herd behaviour. Our two-dimensional sorts of stock returns indicate disproportionate effect of sentiment on the stock returns as suggested in literature on developed markets; however, the time series regressions of arbitrage portfolios fail to confirm the significance of these cross-sectional patterns.
  Keywords: investor sentiment; stock returns; arbitrage portfolios; emerging market; Pakistan.
  
  
• Earnings management and ownership type in microfinance institutions: international evidence  
  by Naima Lassoued 
  Abstract: The purpose of this paper is to examine whether earnings management in MFIs is motivated by opportunistic behaviour and whether ownership structure could explain this practice. This study is conducted on a sample of 581 MFIs observed over the 2007 to 2015 period. It tests the effect of discretionary provision for loan impairment on future profitability by distinguishing different types of MFIs ownership. The results show that earnings management in MFIs tends to be opportunistic rather than efficient. The type of earnings management differs depending on ownership structure. Indeed, while cooperatives tend more to choose opportunistic earnings management, privately-owned MFIs manage their earnings efficiently. Furthermore, we found inconsistent evidence about earnings management in NGOs.
  Keywords: microfinance institutions; provision for loan impairment; emerging economies; earnings managment; ownership type.
  
  
• Branch banking variability and rural banks' performance: a GMM approach  
  by Haruna Maama, Emmanuel Okofo-Dartey 
  Abstract: The study employed the resource-based view theory to investigate the impact of the number of branches and city branches on the financial performance of rural banks in Ghana. The study used 492 annual reports of 76 rural banks in Ghana for the analysis. Both return on capital employed (ROCE) and loan recovery rate (LRR) were used as proxies for financial performance. A dynamic model based on Generalised Methods of Moment (GMM) was developed for the regression analysis. The evidence showed that the number of branches of rural banks has a positive impact on their ROCE but negatively impacts their LRR. Consistent with the resource-based view theory, the study further found that the establishment of rural banks in cities has a positive impact on their ROCE. It is concluded that the number and location of branches of rural banks have an impact on their financial performance. The results imply that the rural banks are better off establishing most of their branches in the cities. Nonetheless, it is recommended that rural banks should not concentrate more on the cities but also in the rural areas since evidence also showed that the number of branches positively impacts on their profitability. The study contributes to the body of knowledge by advancing the current sphere of descriptive studies on this subject matter. This study will perhaps help firms to empirically test the relationship between branch variability and the performance of banks.
  Keywords: branch banking; rural banks; resource-based view theory; profitability; Ghana.
  
  
• Modelling the real exchange rate misalignment in the presence of outliers for developing countries  
  by Ridha Ettbib, Mansour Eddaly 
  Abstract: Persistent real exchange rate misalignment is sometimes explained by the presence of a nonlinear adjustment process towards the long-run equilibrium. However, although the nonlinearity may be a feature for some real exchange rates, outliers and nonlinearity may be easily confused. The main purpose of this paper is to make the distinction between nonlinearity and outliers using robust estimation methods of maximum likelihood. Also, the nature of the real exchange rate misalignment is specified, based on the value of fundamentals, for a sample of African countries during the period from 1960 to 2015. According to the robust estimation procedures, the results of linearity tests are particularly interesting. Indeed, the apparent nonlinearity is significantly reduced when considering outliers, especially for South Africa, Ghana, Madagascar and Morocco. We can conclude that the source of the nonlinearity of the real exchange misalignment rate for the countries already mentioned is the existence of outliers in the considered series.
  Keywords: real exchange rate; outliers; smooth transition autoregressive; robust estimation.
  
  
• Volatility dynamics of Tunisian stock market before and during COVID-19 outbreak: Evidence from the GARCH family model  
  by Mohamed Fakhfekh, Ahmed Jeribi, Marwa Ben Salem 
  Abstract: The aim of this paper is to choose the appropriate GARCH model to analyse the volatility dynamics of Tunisian sectorial stock market indices during the COVID-19 outbreak period. We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to these sectorial indices. In particular, we propose four models (EGARCH, FIGARCH, FIEGARCH, and TGARCH) to measure asymmetric and persistence volatility. Our findings point to three interesting results. First, following the COVID-19 outbreak, volatility is more persistent in all series. Second, the results show that building construction materials, construction and food and beverage sector returns volatilities have insignificant asymmetric effect, while consumer service, financials and distribution, industrials, basic materials and banks sector return volatilities have relatively high positive and significant asymmetric effect compared with those during the pre-COVID period. Finally, the findings show that financial services, automobiles and parts, insurance and TUNINDEX 20 sectors have insignificant leverage effect. Our results can thus be useful to investors when accounting for future volatility and implementing hedging strategies under COVID-19 crisis.
  Keywords: Tunisian sectorial stock market indices; GARCH models; COVID-19 outbreak.
  
  
• Loan loss provision practices during economic crises: evidence from banks listed on the Damascus Securities Exchange  
  by Layla Ashoor, Linda Ismaiel, Zeina Al-ahmad 
  Abstract: This study aims to examine loan loss provision (LLP) practices exercised by banks listed on the Damascus Securities Exchange during the Syrian crisis, the incentives behind such practices, and whether those practices differ between Islamic and conventional banks. A sample of 11 conventional and three Islamic banks was used during the period 2011-2018. Applying a random effect panel data model revealed that banks engaged in income smoothing activities to decrease their income when their earnings were high but not to increase their income when their earnings were low. In addition, banks that reported losses in the previous year engaged in fewer income-decreasing activities than banks that reported a profit; however, no evidence was detected of their engagement in income-increasing activities. As per the use of LLP to manage regulatory capital or to signal future value, the findings did not support such practices. Moreover, Islamic banks do not appear to exercise different LLP practices or to have different incentives to manipulate LLP compared with conventional banks.
  Keywords: discretionary loan loss provision; income smoothing; capital management; signalling; Islamic banks; conventional banks; economic crisis.
  
  
• Factors affecting CEO compensation: an empirical investigation from emerging markets  
  by Gehan Mousa 
  Abstract: This study examines determinants of the CEO compensation using a sample of 1044 firm-year observations from six emerging markets covering the period from 2015-2018. The study has employed a backward regression analysis to examine the effect of some governance structure variables and firm attributes on the total cash of CEO compensation. The findings of the study show that governance structure variables such as, blockholder ownership and CEO duality have a significant effect on total cash of CEO compensation while, board size and board independence are insignificant factors. Companies with blockholder ownership pay more CEO compensation, suggesting that blockholder ownership is not a good governance mechanism to monitor corporate boards decisions. Furthermore, companies with CEO duality tend to pay more compensation. This result suggests that the presence of the CEO in corporate boards reduces the efficiency of the board in monitoring managerial decisions, such as CEO compensation, which agrees with the agency view. Finally, firm performance and firm size are influential factors in determining the CEO compensation. The results report that board independence and board size variables as governance mechanisms are not effective in monitoring CEO compensation. Shareholders should avoid CEO duality in their business to pay less CEO compensation. The study contributes to the limited studies on determinants of the CEO compensation in emerging markets.
  Keywords: CEO compensation; board features; financial performance; governance structure.
  
  
• Internecine interrelations among liquidity risk, market risk and credit risk in the Indian banking system  
  by Satya Krishna Sharma, Girish Jain, Pratap Biswal 
  Abstract: Events such as the 2008 financial crisis have highlighted the need to consider the complicated interrelations between liquidity risk, credit risk, and market risk for better and integrated financial risk management of banks, This work uses autoregression with distributed lag, considering demonetisation as a dummy variable, to study these interrelationships in the context of the Indian banking system. It is found that liquidity deficit and credit risk have a tendency to exacerbate each other irrespective of demonetisation. The work finds that funding the liquidity deficit faced by the banks increases interest rate volatility. Indications of debt rollover to alleviate proxies and indicators credit risk are there too. All in all, the work shows that demonetisation had reduced liquidity problems but increased credit risk issues.
  Keywords: liquidity risk; credit risk; market risk; interest rate risk; demonetisation; systemic risk.
  DOI: 10.1504/AAJFA.2022.10044067
   
  
• Predictive ability of operating cash flow and earnings on future cash flow of NSE-listed firms  
  by Mwila Mulenga, Meena Bhatia 
  Abstract: The study examines the predictive ability of current operating cash flow and earnings on the future operating cash flow of the National Stock Exchange -100 listed firms in India. It is a 15 years (2001 to 2015) study and has 1120 firm-year observations. The Ordinary Least Square method is used to improve the accuracy fixed-effect model and a Random effect model are used. Evidence suggests that the current operating cash flows explain future cash flow better than current earnings, which contrasts with the Financial Accounting Standards Board assertion (FASB, Statement of Financial Accounting Concepts No.1 1978) and International Accounting Standards Board (IASB,1989). Current operating cash flow's predictive ability on future cash flow is more powerful in profit-making firms than the loss-making firms and for all industries. Further, the disaggregated earnings model significantly enhances predictive ability. These findings will enable the users of financial statements to understand the role of current operating cash flow and earnings in predicting future operating cash flows.
  Keywords: operating cash flow; earnings; predictive ability; accruals; loss-making firms; profit-making firms; disaggregated earnings.
  DOI: 10.1504/AAJFA.2023.10054373
   
  
• Cross-border merger impact on wealth of acquirers: evidence from an emerging nation  
  by Sweta Agarwal, Anubhav Jain 
  Abstract: The paper tries to assess the impact of cross-border mergers and acquisitions announcements on the Indian acquiring firm's shareholder wealth. A total of 110 CBMA deals announced by Indian acquirers between 2013-2018 comprise the data set. Value effects were determined using event study methodology. The study reveals positive abnormal returns on the announcement day consistent with other similar Indian studies. It also reports higher positive wealth effects in post-announcement windows compared with pre-announcement windows. The results highlight increasing informational efficiency in Indian stock markets and shrinkage of wealth-creating windows in CBMA deals for an acquiring firm's shareholders.
  Keywords: cross-border mergers and acquisitions; abnormal returns; event study methodology; emerging economy.
  DOI: 10.1504/AAJFA.2022.10045990
   
  
• Use of information sources, annual reports and other corporate announcements: the case of large and small investors of India  
  by Meena Bhatia 
  Abstract: This study investigates the perceptions towards corporate annual reports, its sections, information sources, and other announcements used for equity investing by large and small individual investors, and studies the differences in perceptions between the two groups. The data gathered from 276 completed surveys is analysed using descriptive statistics and Mann-Whitney tests. The findings show that, in comparison with developed markets and other developing markets, Indian investors (both large and small) rely more on personal knowledge of the firm and analysis of the company in relation to annual reports. Investors find annual reports too long, and large investors reported that there is a delay in publishing them. The financial statements are the most important and understandable section. Announcements on stock exchanges are deemed the most crucial because they are related to their choices. There is no prior research on this feature of Indian investors in the literature.
  Keywords: corporate reports; emerging markets; investment decisions; Ind AS; investors; financial statements; India; announcements.
  DOI: 10.1504/AAJFA.2022.10045585
   
  
• Extending the theory of planned behaviour for predicting investment intention of millennials by including risk-taking propensity  
  by Shikha Bhatia, Nidhi Singh 
  Abstract: The study aims to review the theory of planned behaviour (TPB) and extend it with a risk-taking propensity to examine the influence on investor's behavioural intention to invest in the stock market in the context of a developing nation. The study uses a cross-sectional sampling process and a quantitative approach. PLS-SEM approach was applied to determine the suggested relationship between the constructs. The study's findings suggest that TPB variables are highly significant to measure the behavioural intention of an individual. The study helps to identify the factors which predict the intention to invest. The findings point towards the need for improving financial attitude, financial self-efficacy, subjective norms, and the risk-taking propensity of millennials to increase their investment intention in the long run. The financial institutions, policymakers, and other related agencies must take concrete steps to enhance individuals' awareness and risk ability towards financial products and investment options
  Keywords: theory of planned behaviour; risk-taking propensity; investment intention; millennials.
  
  
• Forecasting the volatility of the Saudi stock market and sectoral indices  
  by Sunitha Kumaran 
  Abstract: Volatility can be regarded as a coercing factor through its effect on consumer expenditure. It is a key input in investment decisions and portfolio creation. As volatility is not directly observable, a good forecast of the volatility of asset prices over the investment holding period is a good starting point for assessing an investment risk. Several models have been developed, of which the most well-known are the conditional heteroscedastic models. In the present study, the volatility clustering behaviour, volatility persistence and leverage effect of the daily returns in the Saudi Stock Market Composite Index (TASI) and the 16 sectoral indices of Saudi Stock Market were analysed using the asymmetry GARCH models for a period of 3 years. The long-term volatility forecast was done for an out-of-sample period of one year. The results provide strong evidence of the existence of conditional heteroscedasticity in the stock market returns. They further suggest that past news about volatility and lagged conditional variance has a significant impact on the daily volatility. The high degree of persistence in the conditional volatility of the stock indicates explosive volatility. The leverage effect coefficient signals that bad news impacts heavily on the current period of volatility rather than the goods news of the same magnitude in the Saudi stock market. The forecast long-term daily volatility is expected to be high for Media & Entertainment and Capital Goods sectors and low long-term daily volatility is observed in Material, Transportation and Real Estate sectors.
  Keywords: volatility clustering; persistence; leverage effect; GARCH; Saudi Stock Market Composite Index (TASI).
  
  
• Auditors choice, audit partner busyness, and sustainability reporting quality  
  by Elaigwu Moses, Ayoib Che-Ahmad, Salau Abdulmalik 
  Abstract: While past investigations have examined the role of the corporate board as a determinant of the quality of sustainability disclosures, there is a dearth of empirical evidence as regards the influence of auditors choice and auditor busyness. This paper, therefore, investigates the effect of auditors choice and audit partner busyness on Sustainability Reporting Quality (SRQ). This study uses a longitudinal sample of 594 firm-year observations of non-financial companies listed on the main board of Bursa Malaysia for the periods 2015 to 2017. The results of the panel regression reveal that the choice of big 4 as an external auditor positively and significantly influences the quality of sustainability disclosures. Likewise, audit partner busyness has a positive and significant relationship with the sustainability reporting quality explained by the knowledge spillover effect. Though, the positive relationships indicate a slight improvement in the SRQ of listed firms but, do not amount to a high SRQ as the disclosure is more qualitative and general than quantitative. The improvement might be as a result of some regulatory changes e.g. the revised MCCG within this period. Meanwhile, this has policy implications for regulators in terms of strengthening the compliance with the sustainability reporting guide; the companies regarding the role of the boards in ensuring credible disclosure; and the government, and other stakeholders as it has to do with maintaining or increasing the pressure to improve SRQ. The study bridged literature gaps by offering new insights and empirical evidence on the role of external board governance mechanisms in SRQ that have received no empirical attention in the Malaysian context.
  Keywords: sustainability reporting quality; auditor’s choice; big 4; audit partner busyness; Legitimacy theory; Stakeholder theory.
  
  
• Explanatory power of realised moments  
  by Seema Rehman, Saqib Sharif, Wali Ullah 
  Abstract: This study decomposes realised moments into high and low components and examines if the high minus low realised moment factors are helpful in explaining future stock returns. Tick-by-tick data is used to generate five-minute returns for computing daily estimates of realised moments. Daily measures of realised moments are averaged for each firm to obtain weekly values, resulting in 157,000 firm-week observations. Realised moments factors are incorporated as extensions to basic asset pricing models. Evidence of this paper suggests the role of realised moments in enhancing the stepwise model development. To the best of authors knowledge, this is the first study to analyse the role of realised moments using high frequency data in the emerging stock market of Pakistan. This study may help investors and fund managers to employ best strategies to gain maximum return on their investment.
  Keywords: equity returns; emerging market; intraday data; realised volatility; skewness; kurtosis.
  
  
• Financial frictions and stabilisation policies  
  by Saira Tufail, Ather Maqsood Ahmed 
  Abstract: This research examines the implications of price and quantity based financial frictions for the macroeconomic dynamics and effectiveness of stabilisation policies in Pakistan. Price and quantity based financial frictions are captured through external finance premium and collateral constraint, respectively. Results from calibrating a New Keynesian Dynamic Stochastic General Equilibrium Model showed that quantity based frictions generate a strong financial accelerator mechanism and impede the stabilisation through monetary, fiscal and macroprudential policies. On the basis of findings of this research, we conjecture that, along with switching to rule based policy and effective management of nominal rigidities, quantitative controls in credit markets should be monitored very vigilantly for the effective working of stabilisation policies.
  Keywords: external finance premium; collateral constraint; financial accelerator mechanism; fiscal policy; macroprudential policy; monetary policy.
  
  
• The relationship between implied volatility and equity returns in South Africa.  
  by Faeezah Peerbhai, Damien Kunjal, Delane Naidu, Camiel Singh, Fabian Moodley 
  Abstract: This study investigates the relationship between implied volatility and stock market returns. Although previous studies on this topic only exist from an international context, this paper presents evidence from South Africa by examining the effect of the South African Volatility Index (SAVI) on different Johannesburg Stock Exchange (JSE) listed stock indices. The objectives of this study are to determine which GARCH model is most appropriate for modelling volatility in South Africa and whether the SAVI displays any relationship with the returns on equity indices. The study finds that the TGARCH model is the most suitable model for modelling volatility on the JSE. Thereafter, using an TGARCH model, it is observed that the SAVI is significantly positively related to the returns of all the chosen indices and that a leverage effect exists between them. The results provide important insight for investors, risk managers and policy makers.
  Keywords: GARCH; implied volatility; returns; South African Volatility Index; volatility modelling.
  DOI: 10.1504/AAJFA.2022.10047523
   
  
• THE EFFECT OF CORPORATE SOCIAL RESPONSIBILITY DISCLOSURE ON FINANCIAL PERFORMANCE: EVIDENCE FROM PALESTINIAN BANKS AND INSURANCE PUBLIC LISTED COMPANIES  
  by Hanna'a Shehada, Mohammed Alashi, Hisham Madi, Maher Durgham 
  Abstract: This study aims at investigating the effect of corporate social responsibility (CSR) disclosure on the financial performance of Palestinian financial listed firms. Content analysis of 13 financial firms annual reports from the period 2010 to 2016 is assessed based on the existence and comprehension of CSR disclosure. Findings of Pooled OLS regression reveal that the mean value of CSR disclosure is low. The results reveal that CSR disclosure is insignificantly affected by financial performance measured by ROA and Tobins Q. This study contributes to the existing CSR disclosure literature by extending the prior research to provide additional empirical results from emerging economies, including Palestine, which rarely has been studied through investigating the effect of CSR disclosure on financial performance.
  Keywords: CSR disclosure; financial performance; Palestine Exchange; stakeholder theory.
  
  
• Developing of an asset/liability allocation model for banks  
  by Mohsen Mohammadloo, Nasser Motahari Farimani, Mehdi Feizi, Mohammadali Pirayesh 
  Abstract: Asset/liability management is one of the ways that leading banks use in the implementation of banking policies. In this research, we tried to present a model that introduces new constraints and objectives as a mathematical model of asset/liability management in accordance with Iranian banking rules. The final programming model was obtained as a linear multi-objective, which was solved by lexicography. Before solving the model, the goal ranks were determined by the Cook and Seiford techniques, which are based on the views of 20 bank experts obtained by the Delphi method. In the end, by solving the model, the values of balance sheet variables were calculated for an Iranian bank.
  Keywords: bank; asset/liability management; multi-objective linear model; lexicography method; Cook and Seiford ranking.
  
  
• The long-run performance of initial public offerings: evidence from a transition economy  
  by Tan Nguyen, Trang Ninh 
  Abstract: This study provides empirical evidence on the long-run performance of initial public offerings (IPOs), along with identifying factors affecting the long-run performance of IPOs in Vietnam. By selecting 183 IPOs in Vietnam from 2005 to 2019, the authors conclude that the long-run performance measures of IPOs (ARt and CAR1,t) change over time after listing. In particular, these IPOs tend to underperform from the fourteenth month considering ARt. IPO underperformance occurs when there are negative cumulative abnormal returns in the long run. This study adopts the Bayesian model averaging method, and the results show that factors affecting the long-run performance of the IPOs include initial returns and offer size.
  Keywords: equitisation; initial public offerings; Bayesian model averaging method; long-run performance; state-owned enterprises.
  DOI: 10.1504/AAJFA.2023.10054197
   
  
• Credit risk and bank performance: a sub-Saharan African perspective  
  by Adamu Yahaya, Fauziah Mahat, Aliyu Mamman 
  Abstract: Credit risk is one of the dominant risks that pose a great threat to the performance of banks. This study examines the effect of credit risk on the performance of banks in Sub-Saharan Africa (SSA). A total sample of 50 banks was drawn from six SSA countries, including Nigeria, Ghana, South Africa, Zambia, Kenya, and Tanzania, from 2010-2018. A two-step system GMM is applied and the findings reveal a significant negative relationship between credit risk and bank performance in the SSA region. The risk committee has a significant positive impact on the performance of banks in the SSA region. Bank management is encouraged to embrace a modern and efficient credit risk management technique to have better control of the rate of credit risk experienced in banks.
  Keywords: credit risk; return on assets; earnings per share; two-step system GMM; sub-Saharan Africa.
  
  
• Islamic religiosity and corporate capital structure: evidence from Malaysia  
  by Yee Peng Chow 
  Abstract: This paper examines the relationship between Islamic religiosity and capital structure and how firm-specific factors, managerial characteristics and corporate governance measures moderate this relationship. This study employs the pooled ordinary least squares estimation procedure, drawing on a panel of non-financial listed firms in Malaysia. The results reveal that Islamic religiosity is positively associated with leverage as proxied by short-term, long-term and total debt ratios. Further investigation confirms that there are certain firm-specific factors (e.g., firm size and age), managerial characteristics (e.g., founder status and excessive shareholdings) and corporate governance measures (e.g., board independence and separation between the CEO and chair) which moderate the positive effects of Islamic religiosity. Several important policy implications can be drawn regarding the selection process of the firms top executives which should consider certain managerial characteristics, the formulation of appropriate financing strategies according to the firms characteristics and the implementation of good corporate governance measures.
  Keywords: Islamic religiosity; capital structure; leverage; religion; Malaysia.
  
  
• Do data mining techniques assist auditors in predicting high-risk accounts in MENA region countries?  
  by Wafaa Salah, Lamiaa Fattouh, Moid Uddin Ahmad 
  Abstract: This study aims to construct a model that increases the accuracy of forecasting qualified audit opinions using publicly available measures and artificial intelligence. Additionally, the study probes the financial variables affecting an auditor's propensity to issue a qualified audit report. This study investigated the predictive abilities of three models: Binary Logistic Regression, Random Forest, and Decision Tree. The study examined 564 audit reports (282 qualified reports) from nine MENA region countries from 2012 to 2018. The Random Forest technique produces the most accurate audit prediction. The study found that the significant firm-level variables that affect auditor opinion are book value per share, client size, and leverage ratio. The study's findings will bolster auditors, policymakers, and managers in effective decision-making.
  Keywords: audit reports; decision tree; random forest; logistic regression; qualified audit opinion.
  DOI: 10.1504/AAJFA.2022.10048523
   
  
• Downside deviation quadratic programming for stock portfolio optimisation: an empirical study of Shariah and conventional indices in Indonesia  
  by Noor Saif Muhammad Mussafi, Zuhaimy Ismail, Nur Arina Bazilah Aziz 
  Abstract: Quadratic Programming (QP) for portfolio optimisation may yet be improved to generate better results on the risk. This study presents the Downside Deviation Quadratic Programming (DDQP) to optimise the risk of portfolio as a refinement of QP. The data deals with the price of stocks listed in Jakarta Islamic Index and IDX30 Indonesia for a definite interval. The selection of portfolio for all the stocks considered the sectoral approach. Upon selection, the DDQP model was constructed and applied to the selected portfolio before benchmarking to QP. The results showed that the portfolio group 1 had the best risk on the shariah platform, while the portfolio group 7 was superior to conventional. Additionally, the empirical analysis revealed that ten scenarios can be inferred based on the DDQP as it is consistently stable in producing a lower risk portfolio than the QP. Lastly, heuristic pattern search also verified the results of DDQP.
  Keywords: portfolio selection; portfolio optimisation; risk; quadratic programming; downside deviation quadratic programming; pattern search.
  DOI: 10.1504/AAJFA.2022.10053241
   
  
• Deposits and financial sustainability of deposit-taking microfinance institutions: evidence from low income sub-Saharan Africa  
  by Moyo Zibusiso, Sophia Mukorera, Phocenah Nyatanga 
  Abstract: This study examined the relationship between deposits and financial sustainability of Deposit-taking Microfinance Institutions (DTMFIs) due to a number of such institutions having collapsed previously in Africa. Panel data spanning 2006 to 2017 from the Microfinance Information Exchange of 64 DTMFIs sampled across 18 Low Income Sub-Saharan Africa (LISSA) countries was utilised. Through probit regression, the study found that the likelihood of attaining financial sustainability by the LISSA DTMFIs is negatively affected by small scale deposits, unfavourable loan loss provisions, deteriorating loan portfolio quality and costly branch coverage. The study recommends low cost, large scale deposit operations, efficiency in managing operating expenses, credit enhancements and restrictive deposit-taking licencing.
  Keywords: scales of deposits; financial sustainability; DTMFIs; deposit-taking microfinance institutions; low income sub-Saharan Africa; LISSA.
  DOI: 10.1504/AAJFA.2022.10050516
   
  
• Systemic risk, contagion and risk factors in the Tunisian banking system context: measures and determinants  
  by Mohamed Amin Chakroun, Mohamed Imen Gallali 
  Abstract: This research paper investigated the systemic risk in the Tunisian bank sector. The researchers paid a special attention to the variable accountings and macroeconomics in the explanation of the systemic risk. The results pointed out that the three first banks with an important systemic ranking are public banks (STB, BNA, and BH). The empirical validations revealed the presence of a positive dependence connection between the public and private banks and that the generation probability of a systemic situation is getting more important during the distress periods. The results of the determinants analysis explored that the liquidity risk, the credit risk and the financial institutions inefficient level represent the main trigger factors of a systemic risk, along with an expansionist monetary policy that may lead to an accumulation of a systemic risk.
  Keywords: systemic risk; contagion risk; Copula; marginal expected shortfall; DCC-GARCH.
  
  
• The nexus between free cash flow, audit committee characteristics, and earnings management practices  
  by Deaa Al-Sraheen, Nofan Al-Olimat, Mohammad Hamdan 
  Abstract: The purpose of this paper is to analyse the moderating effect of audit committee effectiveness in lessening earnings management practices. Research models are developed to address firstly the relationship between free cash flow, audit committee independence, audit committee meeting, and audit committee expertise and earnings management. The second research model is developed to examine the moderating role of audit committee effectiveness in the relationship between free cash flow and earnings management. Based on a sample of 255 Jordanian listed companies belonging to the Amman Stock Exchange index from 2016 to 2020. The results highlight the opportunistic behaviour of corporate managers in presence of free cash flows. Particularly, corporate managers engage in practicing earnings management that increase reported earnings. The results of this paper also show that the audit committee's independence and expertise are significant in the monitoring role of managers behaviour to reduce earnings management. In addition, the findings of the moderating regression indicate also that the audit committee effectiveness affected positively the relationships between free cash flow and earnings management. This means that the presence of such a committee restricts the space for the corporate managers to practice their opportunistic behaviours in presence of a free cash flow problem.
  Keywords: free cash flow; audit committee meeting; audit committee independence; audit committee expertise; earnings management; and Jordan.
  
  
• Firm attributes and discretionary disclosures of financial institutions in Nigeria  
  by Tunji Siyanbola, Appolos Nwaobia, Wasiu Sanyaolu, Festus Adegbie, Lateef Yunusa 
  Abstract: Investors and other stakeholders require corporate reports that are comprehensive and informative in order to make sound economic decisions. However, few entities voluntarily disclose information about their performance and activities beyond mandatory reporting frameworks. This study examined the influence of firm attributes on discretionary disclosure of listed financial services firms in Nigeria. The study adopted an ex-post facto research design. The analysis revealed that the selected firm attributes jointly exerted a positive and significant effect on discretionary disclosure. The isolated effects were mixed. The study concluded that firm attributes affect the extent of discretionary disclosure of information by the financial firms in Nigeria and recommends that the management of firms should be intentional in disclosing non-mandatory information to meet the need of users and possibly enhance the reputation and brand value of their firms.
  Keywords: discretionary disclosure; firm attributes; firm size; leverage; liquidity; ROE.
  
  
• Reported risk categories in the prospectus and IPO valuation in the Indian stock market: an empirical investigation  
  by Krishan Lal Grover, Pritpal Singh Bhullar, Seshadev Sahoo 
  Abstract: The current study aims to identify the risk categories that may impact initial public offering (IPO) performance. It also investigates the impact of selected mutually exclusive risk categories on IPO performance. The current analysis examined 131 IPOs from 2011 to 2020 on the main board of the NSE in India. We gathered all the risk statements from the issuers IPO prospectuses and analysed their substance. To standardise and accept these categories across the research fraternity, a five-point Likert scale was established. Using principal component analysis, we find six broad categories of risk factors have been disclosed by the IPO firms, i.e., operational, compliance, management, equity, investment, technology, and innovation risk. The results suggest that corporations prioritised financial soundness (liquidity position) over equity risk when disclosing investment risk. We also find that IPO firms with higher operational risk are more under-priced than firms with lower operational risk.
  Keywords: Indian IPO prospectus; mutually exclusive risk categories; factor analysis; regression; IPO under-pricing.
  
  
• Firm size effect and the price and volume reaction to corporate news: evidence from India  
  by Nayanjyoti Bhattacharjee, Anupam De 
  Abstract: We examine the price and volume reaction to corporate news for a sample of firms quoted on the National Stock Exchange of India, an Asian emerging market. We take into account the market capitalization of the firms to examine the firm size effect on market reaction using the standard event study methodology. It is observed that small firms, on average, are associated with 1.12 percent and 0.43% more positive abnormal returns than large and mid-sized firms on the day of the positive news flow. On the other hand, when the news is negative, small firms, on average, are associated with -1.1% and -0.62% more negative abnormal returns than large and mid-sized firms on the day of the news flow. Further, the evidence suggests that the price reaction is consistent while the volume reaction differs according to the type and sentiment of the news in different size groups. The evidence shows the importance of controlling for the firm size in event studies to draw conclusions on the market reaction to corporate news.
  Keywords: corporate news; market capitalisation; firm size; event study; abnormal return; trading volume.
  
  
• Informational content of cash dividends and retained earnings: evidence from South Africa  
  by Atanas Sixpence, Olufemi Patrick Adeyeye, Rajendra Rajaram 
  Abstract: Net profit for the year can either be distributed as dividends or retained by the firm. We examine informational content of both channels of conveying value to shareholders of Johannesburg Stock Exchange-listed companies between 2010 and 2017. Motivated by conflicting dividend policy theories and respective empirical findings, the study is aimed at proffering empirical evidence that assists equity investors investment decisions. Using an autoregressive distributed lag model in System GMM with panel data, both cash dividends and retained earnings exhibited a positive association with market capitalisation but, in both cases, the association lacks statistical significance. This means that both variables do not have information that explicates firm value variations. To forecast firm value, equity investors should therefore not rely on models anchored on either cash dividends or retained earnings. By extension, company executives are advised to avoid making dividend policy changes with the aim of positively influencing firm value. A novel contribution of this study is that investors are not worried about how value created is conveyed to them because they can still enjoy it in either form. We conclude that payment or non-payment of dividends neither creates nor destroys firm value.
  Keywords: information content; cash dividends; retained earnings; market capitalisation; South Africa.
  
  
• Structural change, information asymmetry and volatility in Indian stock markets: evidence from pre- and post-Covid-19 outbreak  
  by T. Mohanasundaram, M. Rizwana, S. Sathyanarayana, Padmalini Singh 
  Abstract: This paper examined the Indian stock markets' interconnection with the stock markets of the top four economies before and after the COVID-19 outbreak. The log-returns of daily data for Sensex, S&P 500, SSE Composite, Nikkei 225 and DAX were used in the study. The log-return series of all stock indices were found to be stationary. The exponential-GARCH model is applied to assess the information asymmetry and to model the volatility spillover on the Indian stock market. The ARCH and GARCH terms were positive and significant during both the pre-COVID and post-COVID outbreak periods representing that market news and previous period variances were significantly increasing the volatility in the market. The ensemble of events during the pre-COVID period confirms the negative significant volatility spillover of bourses on the Indian markets, and continues to be so in the post-COVID period except in case of the US market where there is a positive significant return and volatility spillover. The portfolio managers, regulators, policymakers and other market participants may consider the change in information transmission during the pre-COVID and post-COVID outbreak phases from these foreign markets to India while making investment-related decisions.
  Keywords: COVID-19; market returns; volatility; investment; asymmetry; spillover; EGARCH.
  DOI: 10.1504/AAJFA.2022.10052908
   
  
• Link between diversification strategies and earnings management: An empirical investigation of manufacturing firms  
  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  
  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  
  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.
  
  
• Shareholder identity and real earnings management: empirical evidence from Vietnam  
  by Hien Bui Thu, Huong Le Hoang Nguyen 
  Abstract: The purpose of this article is to investigate the link between shareholder identification and real earnings management. Managerial ownership, foreign ownership, and state ownership are all used in the study to establish shareholder identity. The abnormal discretionary spending, abnormal production cost, and abnormal cash flows from operations are also used to assess real earnings management. The data of 390 Vietnamese listed companies was collected from the FiinPro platform, leading to a sample of 1,170 firm-year observations over the investigation period from 2017 to 2019. The study reveals that foreign and state ownership has a large negative influence on actual profits management, despite the fact that it has the capacity to improve the quality of financial information to a greater level. In contrast, this paper shows no evidence for a relationship between managerial ownership and shareholder identity. Therefore, we suggested that policymakers should create favourable conditions to attract foreign investors as an effective monitoring mechanism and pay attention to the role of state ownership. Our findings also have significant implications for providing a more comprehensive understanding for firm managers and investors about the role of firms sustainable ownership structure in deterring and reducing earnings management.
  Keywords: shareholder identity; real earnings management; managerial ownership; foreign ownership; state ownership.
  
  
• CEO compensation, firm performance, board structure and financial constraints: evidence from an emerging economy  
  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.
  
  
• IMPACT OF BOARD CHARACTERISTICS AND CAPITAL STRUCTURE ON FIRM VALUE: EVIDENCES FROM INDIAN CORPORATE SECTOR  
  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  
  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  
  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  
  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.
  
  
• Investigating accrual and real earnings management of financially troubled Indian firms  
  by Sweta Tiwari, Chanchal Chatterjee 
  Abstract: This paper examines whether financially troubled Indian firms manage earnings (both accrual and real activity-based) in the light of newly adopted financial reporting practices (IND-AS) by considering 208 financially distressed non-financial firms from 2017 to 2021. The study uses multiple regression for analysis. The study reveals a significant linkage between financial distress and earnings management and this association varies across accounting and market-based measures of financial distress. Also, the intensity of financial distress influences the direction (upward or downward) of earnings management. Interestingly, we find a stronger association of financial distress with accrual-based earnings management than real activity-based earnings management. Results also exhibit that the earnings management of financially troubled Indian firms is higher during the Covid 19 pandemic period. The findings can help regulators and policymakers to design suitable policies to improve the quality of earnings reporting and constrain the possibility of earnings management.
  Keywords: earnings management; financial distress; emerging economies; Z score; India; discretionary accruals; accrual earnings management; real earnings management.
  DOI: 10.1504/AAJFA.2022.10052708
   
  
• Impact of efficiency and ownership concentration in Indian banks on its NPAs: a panel data analysis  
  by Jagjeevan Kanoujiya, Shailesh Rastogi 
  Abstract: Non-performing assets (NPAs) in banks is a serious issue and has attracted considerable attention in academic research. This study aims to contribute in banking literature by assessing the technical efficiency (TE) of banks applying DEA (Data Envelope Analysis) and NPAs for the sample of 34 banks in India from 2016 through 2019, and to empirically investigate the impact of technical efficiency and ownership concentration on NPAs of Indian banks applying both static and dynamic model of panel data . Ownership concentration is taken as proportion of the holdings of promotors (promo), the institutional investors (iih) and retail investors(rih). The findings of static model reveal TE has positive association with NPAs, while in dynamic model, TE surprisingly has no impact on NPAs in Indian banks. Both models indicate that ownership concentration has mixed effect on NPAs depending on holdings. This study provides enough insights for bank performance leading to economic growth.
  Keywords: DEA; dynamic panel data; NPA; banks; ownership.
  
  
• Risk profiling of Indian commercial banks: a clustering approach  
  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.
  
  
• Price clustering and the panic trading hypothesis: evidence from an African coup d  
  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  
  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  
  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.
  
  
• The nexus between liquidity and lottery-like features: evidence from Tehran Stock Exchange  
  by Alireza Orangian, Mahdi Saeidi Kousha 
  Abstract: To shed further light on the nexus between the stock liquidity and the lottery-like features, this paper provides evidence from the monthly data of the companies listed in Tehran Stock Exchange from December 21, 2008 to May 21, 2020. Furthermore, we intend to clarify whether having lottery-like features in countries like Iran with religious, social and legal restrictions on gambling leads the stocks to be more liquid or not. Our target variables are illiquidity (the average of four well-established illiquidity benchmarks) and lottery-like (a defined dummy variable that is 1 or 0 for having or not having lottery-like features, respectively) and we define some control variables according to the previous researches. The econometric methods used in this study are GLS, Granger causality test and Vector Auto Regressive model (VAR). The results evince that being lottery-like causes stocks to be more liquid and there is no decisive evidence to the contrary. Moreover, capital market participants perform overreaction to the lottery-like stocks despite the anti-gambling setting.
  Keywords: anti-gambling setting; liquidity; lottery-like stocks; VAR.
  
  
• When does board share ownership matter? Evidence from across firm life cycle in sub-Saharan Africa  
  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.
  
  
• The impact of behavioural biases on the behaviours of informed and uninformed individual stock investors: the case of the Egyptian Stock Exchange.  
  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.
  
  
• On the nexus between exchange rate volatility and trade flows: panel data evidence from African economies  
  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  
  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.