Afro-Asian J. of Finance and Accounting (60 papers in press)

Regular Issues

• 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.
  
  
• 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.
  
  
• 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.
  DOI: 10.1504/AAJFA.2022.10056869
   
  
• 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.
  
  
• 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.
  DOI: 10.1504/AAJFA.2022.10056924
   
  
• 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.
  DOI: 10.1504/AAJFA.2022.10059420
   
  
• 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.
  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.  
  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  
  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.
  
  
• Impact of country-level governance on entrepreneurial performance: a cross-country analysis  
  by Najib Farhan, Faozi A. Almaqtari, Waleed M. Al-Ahdal, Mohd Mohd Yasir Arafat 
  Abstract: The current study aims to investigate the impact of country-level corporate governance and directors' liability on entrepreneurship performance. The study sample consists of 52 European and non-European countries for the period from 2014 to 2021. Factor analysis is used which results in selecting three dimensions out of 20 dimensions of entrepreneurship. The study runs PCSE estimation on balanced panel data. The empirical outcome of the work revealed that R&D transfer is positively impacted by voice and accountability and government effectiveness; negatively affected by quality of regulatory framework, rule of law, and directors' liability. It is also found that aggregate early-stage entrepreneurial activity is negatively associated with rule of law and government effectiveness. Further, aggregate early-stage entrepreneurial activity is positively impacted by regulatory quality, control of corruption, and directors' liability. Moreover, this work includes directors liabilities to examine their impact on entrepreneurship.
  Keywords: country-level corporate governance; entrepreneurship; factor analysis; European and non-European countries.
  
  
• A comparative analysis of determinants of foreign institutional flows to Indian equity and debt markets  
  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  
  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  
  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  
  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  
  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  
  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  
  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  
  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?  
  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  
  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  
  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  
  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.
  
  
• The impact of an emerging markets microstructure legislations on market efficiency: evidence from Iran  
  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.
  
  
• The symmetric and asymmetric effect of foreign currency reserves and money supply on inflation in The Gambia: a linear and nonlinear ARDL perspective.  
  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
   
  
• WORKING CAPITAL INVESTMENT AND FIRM PERFORMANCE: ANALYSIS OF FINANCIAL CONSTRAINT AS MODERATING ROLE  
  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  
  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  
  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  
  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  
  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  
  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  
  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  
  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  
  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  
  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.