International Journal of Monetary Economics and Finance (22 papers in press)

Regular Issues

• US Treasury market liquidity, monetary surprises, and uncertainty  
  by Tarek Chebbi, Ahmed Ben Haj Hammouda, Waleed Hmedat 
  Abstract: This paper studies the effects of the asset purchase program announcements by the Federal Reserve on the liquidity of the US Treasury market between October 2008 and November 2014. The study period comprises the most important Fed interventions in terms of asset sovereign bond purchases which were carried out in different phases. These programs successfully improved the market conditions namely in the five-day window after the announcement. However, our findings indicate that the liquidity condition dynamics do not seem to matter for monetary anticipation effect. Also, the reaction of the liquidity was found to be more sensitive to negative surprises, particularly when purchase activity leads to more stimulative financial environment expressed in terms of lower long-term yields. The results indicate also that uncertainty surrounding the monetary announcements has non-negligible effects on the impact of monetary surprises on liquidity conditions. In particular, as one would expect, the connection between monetary news and liquidity was mostly disturbed in the presence of higher monetary uncertainty.
  Keywords: quantitative easing; liquidity premiums; monetary surprises; uncertainty.
  DOI: 10.1504/IJMEF.2023.10055431
   
  
• Effect of Company Characteristics and Board Structure on Human Resource Disclosure Index in Indian Corporate Sector  
  by Dr. Kirti Aggarwal  
  Abstract: The objective of the present study is to determine the “effect of company characteristics and board structure on human resource disclosure index of the Indian listed companies”. The sample size consists of 63 companies listed on National Stock Exchange (NSE-100). The study includes different statistical techniques for analysis such as “descriptive statistics, Pearson’s Correlation matrix and Two-way Least Square Dummy Variable (LSDV) regression model”. The outcome of “descriptive statistics show that the mean percentage of HRDI” is 47.80. It portrays that companies moderately disclose the information related to HR in their annual reports. Further, the results of “Two-way Least Square Dummy Variable (LSDV) regression model” shows that there is significant positive effect of company age, market capitalisation, pages of an annual report, board size, board meeting, CEO duality and significant negative of earnings per share, quick ratio on “human resource disclosure index of the Indian listed companies”.
  Keywords: Human Resource Disclosure; Annual Report; Content Analysis; Human Resource Disclosure Index; Company Characteristics; Board Structure; India.
  DOI: 10.1504/IJMEF.2023.10055432
   
  
• Understanding the effects of COVID-19 on Regime Switching Behaviour of Asian Stock Markets  
  by Bhaskar Bagchi, RAKTIM GHOSH 
  Abstract: The present study aims to study on the regime switching behaviour of stock indices of Asian emerging economies like China, India, South Korea, Indonesia, Hong Kong and Thailand that have been caused due to outbreak of COVID-19 pandemic. Taking daily stock market returns from January 2019 to May 2021, the study employs Markov Regime Switching Model that identifies switching over of the variables from one regime to another. Wald test is also applied to ascertain the short run relationship. The Wald test verify the existence of short-run unidirectional causality from COVID-19 to selected indices. Markov Switching Model signify the switching over of all the select stock indices from pre-COVID-19 period to COVID-19 period and the magnitude of volatility in COVID-19 period is much more than that of regime pre-COVID-19 period. It is also found that Markov model has highest classification for all the variables and each regime is highly persistent.
  Keywords: COVID-19; Stock Markets; Asian Economies; Markov Regime-Switching Model.
  DOI: 10.1504/IJMEF.2023.10055433
   
  
• The relationship between investor sentiment and stock returns: the case of the S&P 500 companies  
  by Rawya Ben Youssef, Fathi Jouini 
  Abstract: This article investigates the association between stock returns and firm-specific investor sentiment in the U.S. stock market, including 265 firms belonging to the S&P 500 Index on daily data from 2010 to 2018, by using five-factor model, and four sentiment indicators with the aim of creating a firm-level sentiment index and in order to identify the common effect of the four indicators. This research shows that the risk factors MKT, and profitability factor RMW played an important role in assessing expected stock returns. The empirical results suggest that there is a negative relationship between sentiment and stock market performance. However, we also find a positive association between sentiment and short-run stock returns. This result contradicts the long-run relationship results in a developed market. In addition, there is a stronger positive relationship between sentiment and stock returns for companies which are more difficult to evaluate.
  Keywords: excess return; firm-specific investor sentiment; firm characteristics; principal component analysis.
  DOI: 10.1504/IJMEF.2023.10055903
   
  
• Forecasting the Energy Commodities: An evidence of ARIMA and Intervention Analysis  
  by Miklesh Prasad Yadav, Vandana Sehgal, Deepali Ratra, Abdul Wajid 
  Abstract: The objective of this study is to forecast energy commodity and check the intervention effect on energy commodity. Crude oil and natural gas are the proxies of energy commodities. We apply autoregressive integrated moving average (ARIMA) to forecast the daily prices and intervention analysis to check the effect of lockdown on these two commodities. An ARIMA (5,0,5) and ARIMA (5,0,4) are suitable models for forecasting the crude oil and natural gas prices. The result reveals that these commodities are forecastable, and investors can generate returns investing in these commodities. In addition, intervention analysis indicates that first lockdown in India has affected crude oil significantly but not the natural gas. The study provides insights to the investors and policy makers while forecasting the energy commodity.
  Keywords: Energy prices; crude oil; natural gas; autoregressive integrated moving average; Intervention Effect; COVID 19.
  DOI: 10.1504/IJMEF.2023.10055904
   
  

Special Issue on: ACFA2021 Financial Markets and Stabilisation Policies in Turbulent Times

• The effects of COVID-19 pandemic on the exchange rate: an empirical analysis for turkey as an emerging economy  
  by Fatih Ayhan 
  Abstract: The COVID-19 pandemic has deeply affected all economies, especially the macroeconomic indicators of developing countries. There have also been changes in all economic indicators in Turkish economy since COVID-19 cases appeared in March 2020. The USD/TRY exchange rate (EXC) also fluctuated in this period. In this study, the determinants of the USD/TRY exchange rate were empirically tested for 11/03/202006/11/2020 when the cases of COVID-19 increased. This research investigated the relationship between the daily number of COVID-19 cases (COVID), oil prices (OIL), and gold prices (GOLD) in Turkey. The findings of the residual augmented least squares (RALS) regression model showed that COVID, GOLD, and OIL have a statistically significant and negative effect on EXC. According to the regression model results, the increase in the COVID, GOLD, and OIL variables decrease the USD/TRY exchange rate, respectively. The most influential factor in determining the USD/TRY appears to be the rate of oil prices during the pandemic period. The most effective tool for policymakers to control exchange rate volatility seems to seek solutions for oil and energy prices.
  Keywords: exchange rate; oil prices; COVID-19; RALS; residual augmented least squares; Turkish economy.
  DOI: 10.1504/IJMEF.2022.10050901
   
  

Special Issue on: NTSSCEM2021 Emerging Markets The Benefits and Risks of Structural Changes in a Postpandemic World

• ECONOMIC RESILIENCE OF LARGE URBANIZED RUSSIAN REGIONS TO PANDEMIC-INDUCED SHOCKS  
  by Irina Turgel, Olga Chernova 
  Abstract: The aim of this study is to evaluate the level of resistance of large highly urbanized Russian regions to recessionary shocks caused by the pandemic. We calculated the index of adaptivity by using the Mahalanobis distances method. Depending on the changes in the level of regional economic resistance at different stages of the pandemic, we identified six scenarios. We drew up profiles of regional resistance and grouped the regions accordingly. We found that all the regions demonstrated a higher level of resistance during the first wave. The most significant factors that affected the regions' adaptive capacity were the following: the sectoral composition of their economies, population distribution patterns, the share of small businesses, 'systemically important' industrial enterprises, innovative propensity as well as the severity of lockdown restrictions and state support.
  Keywords: COVID-19; pandemic; coronavirus crisis; highly urbanized regions; regional economic; resistance; adaptability; stable development; factors of regional development; stability index; economic potential.
  DOI: 10.1504/IJMEF.2023.10054321
   
  

Special Issue on: SIBR2021 Financial Innovations and Business Analytics

• The impact of forensic auditing techniques on non-government organizations’ fraud risk management in South Africa using a proactive approach  
  by Jean Damascene (J.D) Mvunabandi, Bomi Nomlala, Harold Patrick 
  Abstract: Using the quantitative research method, this study empirically investigated the relationship between forensic auditing and fraud risk management, focusing on financial statement fraud among 30 large non-governmental organisations in the eThekwini region. Data was gathered from 87 participants, knowledgeable individuals in the field of forensic auditing and fraud risk management and used for data analysis. SEM and conventional thematic analysis were used to analyse data. The results may significantly guide NGOs and their funders, auditors, regulators, professional bodies, and academia on the use of proactive forensic audit techniques to proactively prevent, detect and respond to fraud risks in NGO’s context.
  Keywords: Fraud risk management; Proactive forensic auditing techniques; financial statement fraud; Non-Government Organisations.
  DOI: 10.1504/IJMEF.2023.10055195
   
  
• Factors Influencing University to Industry Knowledge Transfer  
  by Lina Anatan 
  Abstract: University-to-industry knowledge transfer is important to overcome the lack of industrial information and knowledge problem, especially within micro, small and medium enterprises (MSME). This study was conducted to examine the influence of knowledge ambiguity, absorptive capacity, and structural dimension on university-to-industry knowledge transfer. This study involved 62 respondents collected through an online survey. The study found that knowledge ambiguity has a negative effect and structural dimension has a positive effect on knowledge transfer activities are not supported. While absorptive capacity has a positive effect on knowledge transfer activities is supported.
  Keywords: knowledge ambiguity; absorptive capacity; structural dimension; knowledge transfer.
  DOI: 10.1504/IJMEF.2023.10055425
   
  
• Financial Impact of COVID-19 Non-Pharmaceutical Interventions in Indonesia.  
  by Ana Noveria, Muhamad Fikri 
  Abstract: The COVID-19 pandemic has adversely influenced everyone’s daily life. The COVID-19 pandemic inevitably has effect on the business sector. To control the spread of the COVID-19 pandemic, the Indonesian government has implemented policies such as large-scale social restrictions, and economic support. This research seeks to investigate how the government policies in response to the COVID-19 pandemic affect the stock returns in the Indonesia Stock Exchange (IDX). The results find that government policies on public places closure negatively affect stock returns. On the other hand, economic supports provided by the government positively affect the stock returns. This research can contribute to the literature on the effect of government response to the COVID-19 pandemic on the stock returns. This research can also be used as a consideration for the government in formulating future policies to prevent the spread of the pandemic while mitigating the adverse impact to business sector.
  Keywords: COVID-19 pandemic; non-pharmaceutical interventions (NPI); OxCGRT; government response; stock returns.
  DOI: 10.1504/IJMEF.2023.10055426
   
  
• Housing regimes and macroeconomy in South Africa: A tripartite analysis  
  by Adefemi A. Obalade, Lusanda Lusanda Mbatha, Nkululeko Radebe, Nosipho Dlamini, Nqobile Dludla, Paul-Francois Muzindutsi 
  Abstract: The basic human needs recognized by the United Nations (UN) include housing. We examine housing regimes and the impact of macroeconomic variables; inflation, interest rates, Gross Domestic Product, exchange rate, money supply, rent and unemployment rate on it. The study used of Markov-switching regression model to examine the effect of selected macroeconomic variables on the three segments of housing, namely small, medium and large house prices (HPI) based on quarterly time series from the first quarter of 1995 to the fourth quarter of 2020. The result shows that the effect of macroeconomic variables depends on the housing segments whether small, medium or large. In addition, the small and medium housing index stays longer in the bear regime while the large housing stays longer in the bull regime. The study concludes that the impact of the key macroeconomic variables on HPI changes with regimes.
  Keywords: real estate; market regimes; macroeconomic factors; housing segments.
  
  
• Islamic Social Reporting Index, Company Performance, and Market Performance  
  by Lindrianasari Lindrianasari, Ira Oktamalia, Widya Rizki Eka Putri 
  Abstract: This study examines the impact of the Islamic Social Reporting disclosure index on company performance and market performance. To provide more in-depth information, this study also compares the performance of Islamic companies in Indonesia and Malaysia. The object of research is food and beverage companies in Indonesia and Malaysia that are registered in the Sharia Securities List (DES) and registered as sharia shares on the Malaysian Stock Exchange for the 2015-2020 period. The sample of this research is 35 food and beverages companies with a purposeful sampling method. Hypothesis testing using independent sample t-test and MANOVA test. The results of the study indicate that there is an effect of the disclosure of the ISR Index on market performance. However, the Islamic Social Reporting Index has no effect on return on assets (ROA). In addition, there are significant differences in the disclosure of the Islamic Social Reporting Index for food and beverage companies in Indonesia and Malaysia.
  Keywords: Islamic Social Reporting Index; Financial Performance; Return on Assets (ROA); Market Performance; Abnormal Return.
  DOI: 10.1504/IJMEF.2023.10055900
   
  
• An application of survival analysis to the impact of the COVID-19 epidemic on Thailand’s stock market volatility  
  by Suchunya Khainsiri, Surachai Chancharat 
  Abstract: This study investigated the probability and time to event of the Thailand stock market’s volatility when the rate of change in COVID-19 confirmed cases daily increased from January 1, 2020, to September 30, 2021, using applied survival analysis. We find that the highest probability is 98.4366 percent, with a volatility period of 1 day. The lowest probability is 9.4252 percent, with a volatility period of 76 days. There is an average of 48 consecutive days of high volatility. The rate of change in COVID-19 confirmed cases increase is statistically significant with the high volatility and correlated in the same direction. The rate of change that increases as much as it has the most at risk of causing high volatility. It represents a response to the exaggerated information on stock prices. Therefore, speculators have a chance to profit in an inefficient market environment. Which, if the market is inefficient.
  Keywords: stock market; survival analysis; volatility; COVID-19; speculators.
  DOI: 10.1504/IJMEF.2023.10055901
   
  
• Corporate Board and Shareholders Structure, Cost of Capital and Performance of Thai Listed Companies: The Application of Path Analysis  
  by Nongnit Chancharat, Boonyarit Kotphootorn 
  Abstract: The objectives of this study were as follows: 1. to develop and validate the coherence of a causal relationship model with empirical data and 2. to study the relationship model and compare the influence of board and shareholders structure on cost of capital and corporate performance using Path Analysis. The data of 156 Thai listed companies were collected throughout 2016-2020, resulting in 780 firm-year observations. The results showed that the percent of free float and board size had a relationship in the same direction as the cost of debt. Meanwhile, percent of outside directors, percent of the audit committee in financial or accounting expertise, and percent of director meetings had a relationship in the opposite direction as cost of debt. Furthermore, the cost of debt had a relationship in the opposite direction as return on assets.
  Keywords: Corporate Governance; Board and Shareholders Structure; Cost of Capital; Performance.
  DOI: 10.1504/IJMEF.2023.10055902
   
  
• Analysis of the implications of role stress towards innovative behaviour and the success of womenpreneurs in Banten Province, Indonesia  
  by Sam’un Jaja Raharja, Rusdin Tahir, Sitti Ma’ani Nina 
  Abstract: Womenpreneurs play an important role in development, innovation and economic growth. This study aims to analyse the role of stress on innovation behaviour and its effect on the success of womenpreneurs. This study uses an explanatory survey method. Data collection is conducted by a questionnaire distributed to 312 womenpreneurs. Research results showed that womenpreneurs can play multiple roles, manage stress and draw creativity from stress triggers. The relationship amongst role stress, innovative behaviour and success positively and significantly affects success and innovative behaviour, and innovative behaviour positively and significantly affects the success of womenpreneurs.
  Keywords: role stress level; innovative behaviour; emotional intelligence; womenpreneur; success.
  DOI: 10.1504/IJMEF.2022.10047830
   
  
• The impact of government subsidies on the innovation of new energy vehicle companies  
  by Zhilin Ding, Jianing Zhang 
  Abstract: In recent years, the public has gradually paid more attention to the new energy industry, where the new energy vehicle plays a key role but still suffers the problem of slow growth. The government uses fiscal subsidies to help enterprises develop. The research takes China’s new energy vehicle listed companies from 2006 to 2020 as a sample to empirically test the impact of financial subsidies on the innovation intensity of new energy vehicle companies. The results show that the financial subsidies can significantly enhance the strength of innovation and development investment of new energy vehicle enterprises, and the impact is linear instead of nonlinear structure. Moreover, the impact of financial subsidies on the intensity of innovation investment of new energy enterprises is more significant for state-owned enterprises. The present study sheds light on the effect of financial subsidies on the innovation of new energy vehicle enterprises in the international markets.
  Keywords: new energy vehicle; government subsidies; research and development; innovation intensity; state-owned enterprise; China.
  DOI: 10.1504/IJMEF.2023.10054437
   
  
• The impact of continuous tightening policies on China’s real estate industry  
  by Tuo Han, Jianing Zhang 
  Abstract: This study investigates whether China’s real estate industry is limited when facing tightening policies and the impact of government regulation on the real estate industry. We employed comprehensive indicators related to Chinese real estate from 2000 to 2019. The empirical results show that the land purchase area, social financing scale of the real estate industry, and real estate taxation negatively impact real estate prices. Further research shows that the land policy plays a dominating role in alleviating the rapid development of the real estate industry, which suggests that a centralized land policy could be beneficial for Chinese households. Consistent with empirical findings in international real estate markets, we find that social financing scale and tax policy have modest correlations with housing prices in China. The variance decomposition results show that explanatory powers of housing prices by the land area, social financing scale, and taxation are 26.8%, 5.9%, and 4.2%, respectively.
  Keywords: housing price; real estate; tightening policies; government regulation; land policy; social financing scale; tax policy; China.
  DOI: 10.1504/IJMEF.2023.10054438
   
  
• Effect of the Audit Hours Regulation on Audit Fees and Scale Efficiency in Audit Firms: Korean Evidence  
  by Jayoun Won, Sang-Lyul Ryu 
  Abstract: Many countries have increased accounting transparency by imposing rules on external auditors. Korea amended the Act on External Audit of Stock Companies (EAA), which has been in effect since 2019. The amendments to the EAA have included the standard audit hours (SAH) rule that mandates auditors to spend a certain amount of audit hours determined by the regulation. Korea expected that the SAH rule would secure sufficient audit hours and improve audit quality. However, audit practitioners argued that the SAH hugely increased audit hours resulted in significantly raised audit fees. Our findings showed that though audit hours and fees increased, audit firms’ scale efficiency improved from 2018 to 2019. Moreover, auditors spent more hours on skilled audit professionals than unskilled ones, which led to high audit quality. This paper’s results may interest policymakers in other countries that reformed audit regulations to ameliorate audit quality.
  Keywords: standard audit rule; scale efficiency; mix variance; yield variance; translog production function.
  DOI: 10.1504/IJMEF.2023.10054732
   
  
• Artificial Neural Network to Develop Loan Default Predicting Model with Social Media Data: A Case Study of Online Peer to Peer Lending  
  by Taufik Faturohman, Muhammad Abdullah Hamzah Syaiful Mukminin, Sudarso Kaderi Wiryono, Gun Gun Indrayana, Raden Aswin Rahadi, Kurnia Fajar Afgani 
  Abstract: Online Peer-to-Peer Lending is currently developing in the world, including in Indonesia. For peer-to-peer lending companies, credit risk is very important, delineated by a high non-performing financing indicator. A system called credit scoring is mainly used by financial institution to address the concern and evaluate loan applicants. To enhance credit scoring model, social media is added to increase the predictability rate on credit scoring model. This paper builds several credit scoring models using Artificial Neural Networks method as loan prediction with Multilayer Perceptron (MLP) approach. We find that the inclusion of social media data increases the model predictability rate by 15.8%, to 98.3%.
  Keywords: Artificial Neural Network; loan default predicting model; social media; online peer-to-peer lending.
  DOI: 10.1504/IJMEF.2023.10054733
   
  
• Factors Influencing the Acceptance of Fintech Lending Platform in Indonesia  
  by Maretta Arninda Dianty, Taufik Faturohman 
  Abstract: Fintech lending has grown significantly in Indonesia. However, previous studies found that approximately 50.9% of Indonesia population remain underbanked. It shows that there is still untapped financing capacity; hence, the fintech lending industry still has an excellent opportunity to grow. This research investigates factors that can influence Indonesian people in adopting fintech lending using a modified Technology Acceptance Model (TAM). The survey was conducted using a questionnaire and gathered 200 responses processed quantitatively using PLS-SEM. This research found that perceived usefulness, trust, brand image, perceived risk, and government/regulator support influence user attitude, while user attitude has positively influenced users’ intention to use fintech lending platforms. Trust is found to have an essential role in fintech lending adoption that acts as a mediator for the relationship between perceived risk, government/regulator support, and brand image with user attitude.
  Keywords: fintech; fintech lending; acceptance; technology acceptance model (TAM); PLS-SEM.
  DOI: 10.1504/IJMEF.2023.10054734
   
  
• Ownership Structure and Earnings Management: Studies on Banking Companies Before and During the Covid-19 Pandemic  
  by Anna Purwaningsih, Anggreni Dian Kurniawati, Yohanes Mario Pratama 
  Abstract: This study has been conducted to obtain empirical evidence regarding earnings management in the banking industry before and during the Covid-19 pandemic and the effect of ownership structure on earnings management The sample is banking companies listed on the IDX in 2019 and 2020 The dependent variable is accrual earnings management (AEM) and real earnings management (REM) AEM is proxied by the modified Jones model which was later developed by Lassoued et al, (2017), while REM is proxied by the modified Roychowdhury model developed by Chou & Chan (2018) which is specifically for banking companies The independent variable is ownership structure This research uses a t test and a multiple regression test as analytical tools to test the hypotheses The results show that ownership structure affect REM, but ownership structure had no effect on AEM; REM and AEM do not differ between before and during the new the new normal.
  Keywords: banking; accrual earnings management; real earnings management; AEM; REM; ownership structure; covid-19 pandemic; new normal; pandemic.
  DOI: 10.1504/IJMEF.2023.10054735
   
  

Special Issue on: SIBR2022 SMEs New Financial and Operational Strategies in the Post Pandemic Global Markets

• Effect of organisational agility and competitive action on competitive advantage study on small businesses in Banten Province, Indonesia  
  by Sitti Ma’ani Nina, Sam’un Jaja Raharja, Rusdin Tahir, Margo Purnomo 
  Abstract: Women entrepreneurs play important role in economic growth, domestically and internationally. The purpose of this study is to test the influence of organisational agility and competitive action on competitive advantage in small businesses managed by women entrepreneurs in Banten Province, Indonesia. This research method used explanatory survey with a quantitative approach. The data were collected by surveying using instruments in the form of questionnaires. The data were analysed descriptivelyinferentially by using partial least squares structural equation modelling (SEM). Results showed that organisational agility and competitive action simultaneously and partially had a positive and significant effect on competitive advantage. The research contribution provides a new look at the field of strategic entrepreneurship because capability-building processes and entrepreneurial action processes at the typical organisational level build the creation theory of entrepreneurial action.
  Keywords: organisational agility; competitive action; women’s entrepreneurial action; competitive advantage; entrepreneurial action; Banten Province.
  DOI: 10.1504/IJMEF.2022.10053175