Journal articles on the topic 'Banks stock indices'
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1
Arı, Yakup. "The CARR-volatility connectedness between USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR." Applied Econometrics 67, no. 3 (2022): 5–26. http://dx.doi.org/10.22394/1993-7601-2022-67-5-26.
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This study focuses on the volatility spillover between the stock prices of foreign banks having business in Turkey and the exchange rate. More particularly, it analyzes the connectedness between the USD-TRY exchange rate volatility and the foreign banks’ stock price volatility in their own country’s stock markets. We select ten foreign banks with the biggest total assets and divide them into two panels: eastern and western capitalized banks. The dataset contains weekly data from 2016-01-04 to 2022-01-17. We estimate volatilities utilizing the Conditional Autoregressive Range (CARR) model and then apply the Time-Varying Parameter- Vector Autoregressive (TVP-VAR) based Diebold–Yilmaz Connectedness Index to reveal the transition and connectedness of volatility. The total connectedness indices show that 26.72 and 54.75% of the forecast error variance originate from other assets included in the spillover analysis for eastern and western panels, respectively. We also explore net pairwise comovements and find that shocks in USD-TRY have dominated on the forecast error variance of bank stocks in the eastern panel, while it is a net volatility receiver in the western panel.
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Javeed, Laila. "Effect of Corporate Governance on Islamic Banking: Evidence from Listed Firms of Pakistani Stock Exchange." International Journal of Accounting and Financial Reporting 9, no. 1 (January 3, 2019): 170. http://dx.doi.org/10.5296/ijafr.v9i1.14260.
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The Purpose of this study is to analyze the influence of corporate governance on firm performance (Islamic Banks) in Pakistan. The study presents a longitudinal assessment of the compliance and implications of the revised code on firm performance. This study uses data from listed firms of Pakistan Stock Exchange (PSE) for the years 2007-2016 to investigate the effect of corporate governance, indices the performance of Islamic Banks. The study uses panel data analysis and random effect model. We used board size, CEO duality, board independence, director ownership, and frequency of meeting as corporate governance indices, ROE, and ROA as performance of Islamic banks proxies. The results have intimation for regulatory authorities, shareholders and directors to take steps to improve the board competencies for better performance.
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El Msiyah, Cherif, Jaouad Madkour, Younes Berouaga, Ayoub Kyoud, and Ali Ait Lahcen. "Moroccan Stock Exchange market topology in crisis and non-crisis periods." Investment Management and Financial Innovations 19, no. 4 (December 8, 2022): 274–84. http://dx.doi.org/10.21511/imfi.19(4).2022.22.
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This paper seeks to investigate the dynamics within the Moroccan Stock Exchange (MSE) market topology in crisis and non-crisis periods using daily historical log returns of sectoral indices covering the period from January 4, 1993 to September 9, 2021. The study applies the Agglomerative Hierarchical Clustering (AHC) implemented on the Dynamic Time Warping (DTW) distance matrix over ten sub-periods covering numerous crises, from Subprime mortgage crisis to European debt crisis and finally COVID-19 crisis. The obtained clustering results are gathered into a network to display the cumulated interconnections between the sectoral indices. The findings showed that the Casablanca Stock Exchange (CSE) market clusters composition is dynamic during the studied period. Indeed, some sectoral indices demonstrated evidence of strong similarities by gathering in the same cluster over numerous sub-periods as the couples Electrical & Electronic Equipment and Transport or as Banks and Construction & Building Materials sectoral indices. Moreover, the interconnections of CSE sectoral indices are trend dependent. According to the obtained network, the Oil and Gas demonstrated its centrality.
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Noulas, Athanasios, Ioannis Papanastasiou, and Simeon Papadopoulos. "Sectors stock indices aggregate correlations and expectations: Evidence from the Greek stock market." Risk Governance and Control: Financial Markets and Institutions 11, no. 2 (2021): 71–81. http://dx.doi.org/10.22495/rgcv11i2p6.
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Based on the cyclical movements of the Athens Stock Market, the paper empirically examines the behavior of seven sectors (markets) namely: industry-services, emporium, construction, petroleum, telecommunications, food-beverages, and banks. Specifically using daily observations from January 2006 to August 2017, we estimate a dynamic equicorrelation multivariate GARCH model (DECO-MGARCH) developed by Engle and Kelly (2012), to analyze the dynamic behavior of these sectors. Furthermore, using time-dependent entropic measures we examine empirically the uncertainty (expectations) regarding the correlation behavior of these seven sectors. The empirical results are in line with previous findings (Tsai & Chen, 2010; Garnaut, 1998) and provide evidence supporting the view of high correlations during periods of crises. In addition, the dynamic entropy shows that the expectations of market participants were more concentrated (less spread out) during these periods of crises. Therefore, the empirical evidence of the paper supports the view that market participants share the same opinions (entropy exhibits low uncertainty) during crises and therefore are acting in a similar fashion (exhibiting high correlation).
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Anwer, Zaheer, Wajahat Azmi, and Shamsher Mohamad Ramadili Mohd. "How do Islamic equities respond to monetary actions?" International Journal of Emerging Markets 14, no. 4 (October 14, 2019): 503–22. http://dx.doi.org/10.1108/ijoem-11-2017-0459.
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Purpose The purpose of this paper is to appraise the effectiveness of monetary policy actions in variant market conditions for Islamic stocks. These stocks offer ground for a natural experiment as they have restrictions on the line of business and their distinguished capital structure does not allow them to combat the liquidity crisis through the use of leverage. Design/methodology/approach The paper uses the quantile regression approach for a multi-country sample of Islamic stock indices to assess the impact of domestic as well as US expansionary monetary policy on stock returns of Islamic indices at various locations of distribution of returns. Findings It is found that, at lower return levels, an expansionary monetary policy has a negative effect on the returns. In other cases, there is no significant impact of policy rate change on index returns. Research limitations/implications It is more appropriate to use firm level data of Islamic stocks instead of stock indices. However, the information regarding index constituents is not publicly available. Practical implications The paper offers useful information to investors and policy makers. It shows that central banks should improve their credibility for monetary policy to be effective and their policies must be designed keeping in view the strong impact of US rate on global monetary environment. Originality/value This paper provides first empirical evidence of the impact of discount rates on the returns of Islamic stocks in different market conditions.
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El Hawary, Engy Mohsen, and Iman Mamdouh Arafa. "Studying the Effect of Stakeholders on the Disclosure of Corporate Social Responsibility by Banks: Evidence from Egypt." Accounting and Finance Research 7, no. 4 (November 23, 2018): 200. http://dx.doi.org/10.5430/afr.v7n4p200.
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Stakeholders have become more attentive to community and social information worldwide. However, their influence on the CSR disclosure is highly contextual and contingent upon several institutional factors. Therefore, this study pursues to identify the stakeholders’ group which has the most powerful effect on the CSR disclosure. The researchers examined the CSR disclosure provided by 38 banks operating in Egypt for the year 2015. Two main indices have been developed; one measures the extent of the CSR disclosure and denoted as as the CSR quantitative index. The other measures the qualitative aspects and denoted as the CSR qualitative index. In addition, five sub-indices have been developed to measure the CSR disclosure as recommened by the GRI. The relationship between these two main indices and the sub-indices and the seven groups of stakeholders have been examined using the OLS regression models. The non-parametric tests are also used to enhance the robustness of our findings and to identify the differences between the stakeholders for each index. Concerning the stakeholder effect, the Egyptian Stock exchange, audit committee and big audit firms are found to have the most powerful impact in our case. On contrary, independent directors, bank’s clients and bank specialty show insignificant results. Generally, the quality and extent of CSR disclosure by the banking sector still undeveloped, particularly for the national banks. Accordingly, the Egyptian Stock Exchange and the Central bank of Egypt need to issue vigorous guidelines and regulations to raise harmonization in the CSR disclosure and to empower their supervisory role in this respect.
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Sehgal, Meru, and Shruti Gupta. "Stock Markets in Changing Times." International Journal of Business Analytics 8, no. 3 (July 2021): 14–25. http://dx.doi.org/10.4018/ijban.2021070102.
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The impact of COVID-19 on the stock markets of US, UK, and India has been analyzed. Daily market returns of the stock indices (Dow Jones Industrial Average, FTSE-100, Nifty 50 Index, and Nifty Bank Index) have been examined using paired t-test for 40 days before and after the reporting of the first case. Index performance has also been investigated for the quarter ending June 2020 along with comparative performance analysis of the indices with Nifty Bank Index. The results showed that markets have borne substantially negative returns, but they are not statistically significant. This indicates the resilience of these markets to restore to previous index levels after taking a short-term hit. This paper adds value to the literature by acting as a resource for academia as well as industry by spelling out changes in markets during this pandemic and supporting evidence from Indian banks that are catalysts of growth for businesses in uncertain times.
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Wahhab, Asaad, Mohammed Abd Ali M. A. Al Fattehallah, and Mohammed Hwueish Allawi Alsujair. "Transparency of Financial Reporting According to the S&P500 Indices and its Implications for Accounting Information Risks - Evidence from the Iraq Stock Exchange." Technium Business and Management 2, no. 3 (December 20, 2022): 140–58. http://dx.doi.org/10.47577/business.v2i3.8067.
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The current research aims to test and analyze the relationship between the level of transparency of financial reporting and the risks of accounting information for a sample of private commercial banks in the Iraq Stock Exchange. The transparency of financial reporting was assessed using the S&P500 indices, and the level of accounting information risk was evaluated using the S&P500 indices, representing fragmented and reduced risks. Unanswered information within the S&P500 indices' requirements consists of 98 conditions. To achieve the research objectives and test its hypotheses, the applied approach was used to evaluate the research variables in a sample of commercial banks listed on the Iraq Stock Exchange, which amounted to (10) selected banks for the period (2016-2021). In comparison, the inferential statistical method was used to test and analyze the research hypotheses using Excel and SPSS26 programs. The research reached a set of conclusions, the most important of which was the low level of transparency in private commercial banks, especially in the two main categories of (S&P500) indicators: ownership structure and shareholder rights, and the board of directors and management procedures, as both had the largest share of risks, which indicates a high risk of accounting information. The research concluded with several recommendations, the most important of which was working to oblige banks to expand disclosure and work with the mechanisms of S & P500 indicators and apply them annually to follow up on the level of transparency development in them to reduce the risks of accounting information.
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Brezis, Elise S., and Joël Cariolle. "The revolving door, state connections, and inequality of influence in the financial sector." Journal of Institutional Economics 15, no. 4 (January 18, 2019): 595–614. http://dx.doi.org/10.1017/s1744137418000498.
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AbstractThis paper shows that the revolving door generates inequality of influence between financial firms and creates economic distortions. We first develop a theoretical model, introducing the notion of “bureaucratic capital” and stressing how the revolving door generates inequality in bureaucratic capital leading to inequality in profits. Then this prediction is tested, using a new database that tracks the revolving door process involving the 20 biggest US “diversified banks.” We show that regulators who supply a large stock of bureaucratic capital are more likely to be hired by the top five banks. We also develop indices of the inequality of influence between banks. We show that banks in the top revenue quintile concentrate around 80% of revolving door movements. Goldman Sachs appears as the prime beneficiary of this process, capturing approximately 30% of the total stock of bureaucratic capital.
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Abdel Hakim, Hisham Talaat, and Shakir Mohsin Saber Alwahili. "Effect of Exchange Rate Risk in the Market Value of Banks Stocks." Iraqi Administrative Sciences Journal 1, no. 3 (September 30, 2017): 145–78. http://dx.doi.org/10.33013/iqasj.v1n3y2017.pp145-178.
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The research aims to study the nature of relationship between the risks of fluctuations in currency exchange rates and fluctuation in the market value of banks stocks of the research sample, In order to prove the hypothesis two indicators were chosen,the indices of exchange rate risk and the market value of common stocks were selected , period of (42) months ,extending from January (2014) until June (2017), was chosen, The research reached anumber of conclusion, but the most important is that the existence of correlation relationship and the affect of statistical significane pevails between the risks of exchange rate fluctuations and the market value of banks stock the sample of the study, Finally, the research recommends that the Iraqi banking departments work to diversify their banking services to the public and not only to their revenues derived from the sale of foreign currency only.
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Černohorská, Liběna, and Darina Kubicová. "Risks and the influence of negative interest rates on economic activity: a case study of Sweden, Denmark, and Switzerland." Banks and Bank Systems 15, no. 1 (February 27, 2020): 30–41. http://dx.doi.org/10.21511/bbs.15(1).2020.04.
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The purpose of this paper is to analyze the impact of negative interest rates on economic activity in a selected group of countries, in particular Sweden, Denmark, and Switzerland, for the period 2009–2018. The central banks of these countries were among the first to implement negative interest rates to revive the economic growth. Therefore, this study analyzed long- and short-term relationships between interest rates announced by central banks and gross domestic product and blue chip stock indices. Time series analysis was conducted using Engle-Granger cointegration analysis and Granger causality testing to identify long- and short-term relationship. The first step, using the Akaike criteria, was to determine the optimal delay of the entire time interval for the analyzed periods. Time series that seem to be stationary were excluded based on the results of the Dickey-Fuller test. Further testing continued with the Engle-Granger test if the conditions were met. It was designed to identify co-integration relationships that would show correlation between the selected variables. These tests showed that at a significance level of 0.05, there is no co-integration between any time series in the countries analyzed. On the basis of these analyses, it was determined that there were no long-term relationships between interest rates and GDP or stock indices for these countries during the monitored time period. Using Granger causality, the study only confirmed short-term relationship between interest rates and GDP for all examined countries, though not between interest rates and the stock indices. Acknowledgment The paper has been created with the financial support of The Czech Science Foundation GACR 18-05244S – Innovative Approaches to Credit Risk Management.
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Djukic, Djordje, and Malisa Djukic. "Interdependencies of markets in southeastern Europe and buyback of shares on shallow capital markets: The application of cointegration and causality tests." Panoeconomicus 62, no. 4 (2015): 469–91. http://dx.doi.org/10.2298/pan1504469d.
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Due to the global financial crisis the stock exchange indices of Southeastern European (SEE) countries are stagnating or are slowly recovering. The issuers of securities, namely banks that achieve good business results, may be in a dilemma whether to buy back their shares so as to slow down the share price decrease and manage capital. In this paper, the cointegration tests, Granger causality test and equilibrium error correction model were applied to examine: 1) interdependencies of stock exchange indexes in SEE countries (Slovenia, Croatia, Serbia, Montenegro, Republic of Srpska, Macedonia - FYROM and Bulgaria); 2) interdependencies of most actively traded shares in Serbia and the representative index. The main conclusion is that it is not possible to successfully use the share buyback to stop or reduce the share price fall on a shallow capital market of SEE countries. This is opposite to what successful banks can do on deep capital markets. In interpreting quantitative results it is necessary to be cautious because of a small number of banks from SEE which were able to use share repurchase.
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Bibi, Robeena, and Sumaira. "The effect of financial development on economic Growth: Evidence from south Asian developing countries." Journal of Environmental Science and Economics 1, no. 1 (January 6, 2022): 1–17. http://dx.doi.org/10.56556/jescae.v1i1.1.
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The debate on financial development and economic growth has been comprehensively growing for a long time in the theoretical and empirical literature but there is still conflicting views on this association. Several studies have been conducted on different regions and countries whether banks or stock market finance have any influence on economic growth but the results are still far from a significant conclusion. The empirical findings inclined the view that both banks and stock markets have positive impact on economic growth however some studies support the negative association which may varies on different sample of countries, methodology of the study, proxies for financial development and over time. Based on the ongoing debate, the current study examines the impact of both stock markets and bank based financial development on economic growth in four developing countries of south Asia for the period of 1980-2017. The study use static, dynamic and long run estimators to efficiently investigate this association. The outcomes specify that both market-based and bank-based financial development indices affect economic growth significantly and positively which indicates that the development of banking system and stock markets perform a very propounding role in strengthening economic growth in the sample countries. The long-run estimators also confirm the presence of long run association between variables. The robustness tests confirm the results of all models that both banks and stock markets development are important and contribute to economic growth in the same way in the sample countries and can’t be differentiated. The findings of this study have important policy suggestions to the sample countries government’s channels, regulatory and supervisory efforts on further improvement of both stock markets and bank-based development in order to attain higher economic growth.
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Sultonov, Mirzosaid. "External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices." Journal of Risk and Financial Management 14, no. 11 (November 19, 2021): 560. http://dx.doi.org/10.3390/jrfm14110560.
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In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, the cross-correlation function, and the daily logarithmic returns of JPY, Nikkei, TOPIX and the TOPIX components with a weight of 5% and more in estimations (banks, chemicals, electric appliances, information and communication, machinery and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a third variable). We demonstrated how the impact of news about the results of the Brexit referendum (BR) and the United States presidential election (USE) in 2016 might spread among the variables indirectly within a week.
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Mészáros, Mercédesz, Dóra Sallai, and Gábor Dávid Kiss. "Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries." Econometric Research in Finance 6, no. 1 (June 1, 2021): 21–44. http://dx.doi.org/10.2478/erfin-2021-0002.
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Abstract Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression.
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Kumar, Rajeev, Noel G. Cadigan, Nan Zheng, Divya A. Varkey, and M. Joanne Morgan. "A state-space spatial survey-based stock assessment (SSURBA) model to inform spatial variation in relative stock trends." Canadian Journal of Fisheries and Aquatic Sciences 77, no. 10 (October 2020): 1638–58. http://dx.doi.org/10.1139/cjfas-2019-0427.
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An age-structured, spatial survey-based assessment model (SSURBA) is developed and applied to the Grand Banks stock (NAFO Divisions 3LNO) of American plaice (Hippoglossoides platessoides) in Newfoundland and Labrador. The state-space model is fit to annual spatial (i.e., three divisions) stock size-at-age research vessel (RV) survey indices that are assumed to be proportional to abundance. We model index catchability (q) as a logistic function of fish length, which varies with age, cohort, and the time of the survey; therefore, the model facilitates the estimation of q values that change spatially and temporally following changes in fish growth and survey gears. The SSURBA model produces division-level estimates of fishing mortality rates (F), stock productivity, and stock size relative to the logistic catchability assumption with q = 1 for fully selected ages. The spatial model allows us to include additional survey information compared with the space-aggregated assessment model (all of 3LNO) that is currently used to assess stock status. The model can provide estimates of relative catch, which we compare with reported catch trends to partially validate the model.
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Olusola Esther, Igbekoyi, and Agbaje Wale Henry. "Corporate Governance and Accounting Information Disclosure in the Nigerian Banking Sector." International Review of Business and Economics 2, no. 1 (2018): 27–48. http://dx.doi.org/10.56902/irbe.2018.2.1.7.
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The study examine the effect of corporate governance on the quality of accounting information disclosed in Nigerian banks. The study covers banks that are quoted in the Nigeria Stock Exchange. Data were collected from secondary sources using the annual reports and factbook of selected banks during the period of 2006-2015. Data collected were analyzed using statistical tools; unit root, co-integration and error correction model. The corporate governance indices used in the study include; Audit committee meeting (ACM), Audit committee qualification (ACQ), Board size (BS), Directors in audit committee (DAC), Ownership structure (OS) and Corporate board members (CBM). The study revealed that ACM, ACQ, BS, DAC and OS had a significant positive relationship with accounting information disclosure at 1% and 5% level of significance respectively, while it was discovered that CBM had a negative relationship but was insignificant. It is concluded from the findings of the study that corporate governance contributes to the quality of accounting information disclosed in the banking sector.
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ORHAN, Mehmet, and Halil Ä°brahim ÇELÄ°KEL . "The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five." Journal of Economics and Behavioral Studies 6, no. 12 (December 30, 2014): 1011–20. http://dx.doi.org/10.22610/jebs.v6i12.557.
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Since the Bretton Woods Agreement, the U.S. dollar has played the role of dominant global currency. As a result, the Federal Reserve Bank has many privileges such as the ability to run trade deficits without foreign exchange reserves. In the world, foreign exchange rates of currencies are quoted against the dollar, and majority of currency trading involves the dollar. Besides, international trade in primary commodities, such as oil, wheat, gold and coffee are bought and sold in U.S. dollar. The central banks of countries hold major positions of their international reserves in dollars. Any changes in its interest rates automatically alter the revenues of all world assets. With deregulated financial markets, the spillover effects of the Federal Reserve Bank’s decisions have increased. In this paper, we examine the impacts of Federal Reserve Bank policies over the Fragile Five that is a sub group of the weaker emerging markets namely Brazil, India, Indonesia, South Africa and Turkey. We are mainly focusing on the consequences of changes in Fed’s policies on the fragile five’s basic indicators; exchange rate, interest rate, and the stock exchange indices. All Fragile Five currencies have been depreciated by about 10 to 25% after the Fed tapering decisions. In addition we test for mean and volatility spillover of Wall Street on stock exchange indices of the Fragile Five in GARCH in mean framework and document the existence of such spillovers in almost all cases.
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Stola, Emilia. "Kryzysy finansowe a bezpieczeństwo działalności banków komercyjnych." Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej, no. 109 (April 3, 2015): 85–96. http://dx.doi.org/10.22630/eiogz.2015.109.7.
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Financial crises which cause stagnation and economic recession are an inevitable part of economic reality of the world. Along with the globalization of financial markets both the number of crises and their reach increased. The last of the greatest economic breakdowns was “Crisis of the Euro” and “Global Financial Crisis 2008” which started the United States of America. They were caused by too gentle monetary and fiscal policy, which resulted in low interest rates and a lack of the budget and fiscal discipline. The aim of this study was to estimate and the evaluate interdependencies between the negative influence of economic-financial crises and the safety of commercial banks functioning in the Polish banking sector. Undertaken examinations allowed to check whether there are any statistical relations between the solvency ratio (reflecting the level of the bank safety) and the participation of irregular amounts due in the volume of credit on one hand and the changes of GDP and changes of stock exchange indices on the other. The analysis was carried out on data concerning commercial banks functioning in Poland and quoted on the Warsaw Stock Exchange.
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ELOSIUBA, J. N., and Emma OKOYE. "EFFECT OF INTERNATIONAL FINANCIAL REPORTING STANDARD ON CORPORATE PERFORMANCE OF SELECTED BANKS LISTED ON NIGERIA STOCK EXCHANGE." Annals of Spiru Haret University. Economic Series 18, no. 1 (March 30, 2018): 77–104. http://dx.doi.org/10.26458/1813.
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In the light of globalisation where foreign investment has become trendy, comparability of financial reports of Nigerian firms and those of other firms across the world has become a concern. Nigerian firms has been mandated to adopt the International Financial Reporting Standard (IFRS) is their financial reporting. This study has examined the effect of the IFRS adoption on the reported performance of Nigerian banks listed on the Nigerian Stock Exchange. Eight (8) out of the fourteen (14) quoted banks were selected for the study. Four indices of performance employed in the study are profitability using the Return on Equity, Liquidity using total deposit to total loan, loan grants and then market value measured by Price earnings ratio for the period (2011 and 2012). 2011 represented GAAP era while 2012 stands for IFRS adoption. A comparability index for the banks were computed using the Excel Spreadsheet for each of the banks on each variable. Then the One Sample Test was employed for the analyses. The mean was used to answer the research question while the t-statistics tested the hypotheses. The results showed that mean values for profitability, liquidity and market value are greater in the GAAP era (2011) than in the IFRS period (2012), while loan grant has higher for IFRS period (2012). The t-tested indicated none of the variables had significant effect. Thus the study concluded that IFRS adopted does not have significant effect on bank performance reported in 2011 and 2012. The use of IFRS for all firms as well as incorporation of IFRS guideline in professional training are recommended by this study.
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Sathyanarayana, S., and Sudhindra Gargesa. "An Analytical Study of the Effect of Inflation on Stock Market Returns." IRA-International Journal of Management & Social Sciences (ISSN 2455-2267) 13, no. 2 (December 8, 2018): 48. http://dx.doi.org/10.21013/jmss.v13.n2.p3.
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<span lang="EN-IN">Inflation means a persistent change in the price level of goods and services in an economy. It is generally measured in the consumer price index (CPI) or retail price index (RPI). Inflation reduces the purchasing power of a country's currency, as we need more units of currency over time to buy the same goods and services. The current empirical paper entitled “relationship between inflation and stock market evidence from selected global stock markets” have been undertaken with an intention to investigate the relationship between inflation and stock returns of the chosen economies. In order to realize the stated objectives, the researchers have collected the monthly data 2000 to 2017 for selected indices. In the first phase, log returns were computed and it has been tested for the existence of unit root in the distribution. In the second phase, we ran Pearson correlation coefficient for the collected data to find out the association between the inflation and stock returns. Majority of the chosen indices recorded a negative </span><span lang="EN-IN">coefficient with the dependent variable. </span><span lang="EN-IN">For India, Austria, Belgium, Canada, Chile, China, France, Ireland we found a negative coefficient. However, Brazil </span><span lang="EN-IN">Indonesia, Japanese, Mexico, Spanish and Turkey reported a positive coefficient. </span><span lang="EN-IN">Current study clearly throws light on the effect of inflation on the stock market returns, therefore; it can help the market participants such as traders, fund managers, and investors to make good portfolio decisions based on the information about expected inflation and unexpected inflation. The study confirms that there exists a significant relationship between the stock returns and inflation for Australian, Belgium, Canadian, Chilean, Chinese, French and Irish stock benchmark indices. Firms can take this one has a clue to adjust their reported profits by raising the prices. The policymakers can employ contractionary policy to reduce the supply of money by offering a low interest rate on t bills, increasing the interest rates (bank rate policy) and increasing the cash reserve ratios which in turn reduces the lending capacity of the banks.</span>
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Bolibok, Piotr. "The Impact of Social Responsibility Performance on the Value Relevance of Financial Data in the Banking Sector: Evidence from Poland." Sustainability 13, no. 21 (October 29, 2021): 12006. http://dx.doi.org/10.3390/su132112006.
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Corporate social responsibility (CSR) is inevitably becoming an increasingly important part of almost every business. This is particularly true for the banking industry, which suffered substantial losses in reputation and public trust in the aftermath of the global financial crisis. Not surprisingly therefore, banks around the world have visibly intensified their CSR efforts. One of the key dimensions of CSR regards the reliability and transparency of a firm’s communication with the market, which suggests that information disclosed by responsible companies may be more value relevant. The related evidence, especially in the banking sector, is however modest and mixed. The paper aims, therefore, at empirical investigation of the impact of social responsibility performance on the value relevance of financial data in the Polish banking sector. The research employs multivariate regression analysis based on the Ohlson model and the Chow test for structural breaks. The examined sample covers 154 bank-year observations of 17 banks listed on the Warsaw Stock Exchange from 2009–2020. The results suggest that financial disclosures of banks included in CSR indices are generally more value relevant. Additionally, more responsible banks exhibit higher (lower) responsiveness of market values to net earnings (book values of equity) compared to their less socially responsible counterparts.
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Smaga, Paweł. "Are interest rate changes comoving with financial cycle?" Acta Oeconomica 71, no. 2 (June 23, 2021): 259–77. http://dx.doi.org/10.1556/032.2021.00013.
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AbstractWe explore to what extent official interest rate changes can potentially in a procyclical manner impact different financial cycle indicators (credit/GDP, debt service ratio, house prices and stock market indices). We test this on data covering 1995−2016 in 21 countries and the euro area using the Concordance index and Monetary policy procyclicality ratio. Results show that this was not a widespread phenomenon, but there was significant heterogenenity across countries. The procyclicality of interest rate changes was usually higher when financial cycle gaps were increasing and lower when they were decreasing. On average, central banks in several larger economies were running potentially less procyclical monetary policy than those in the smaller ones. The resulting propensity of conflicts between achieving price and financial stability by central banks was low, as only in 10% of the cases the objectives were conflicting (usually when inflation was below the target and the credit cycle was in an expansion phase).
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Lynam, Christopher P., Nicholas C. Halliday, Hannes Höffle, Peter J. Wright, Cindy J. G. van Damme, Martin Edwards, and Sophie G. Pitois. "Spatial patterns and trends in abundance of larval sandeels in the North Sea: 1950–2005." ICES Journal of Marine Science 70, no. 3 (February 18, 2013): 540–53. http://dx.doi.org/10.1093/icesjms/fst006.
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Abstract Lynam, C. P., Halliday, N. C., Höffle, H., Wright, P. J., van Damme, C. J. G., Edwards, M., and Pitois, S. 2013. Spatial patterns and trends in abundance of larval sandeels in the North Sea: 1950–2005 – ICES Journal of Marine Science, 70: 540–553. Early recruitment indices based on larval fish data from the Continuous Plankton Recorder (CPR) have the potential to inform stock assessments of Ammodytes marinus in the North Sea. We evaluate whether the CPR data are reliable for sandeel larvae. Spatially, CPR larval data were comparable with catches by dedicated larval samplers (Gulf and bongo nets) during ICES coordinated surveys in 2004 and 2009. ICES data are also used to explore environmental influences on sandeel distributions. Temporally, CPR data correlate with larval data from plankton surveys off Stonehaven (1999–2005), with sandeel 0-group trawl data at the east Fair Isle ground (since 1984), and with recruitment data (since 1983) for the Dogger Banks stock assessment area. Therefore, CPR data may provide an early recruit index of relative abundance for the Dogger Banks assessment area, where the majority of the commercial catch of A. marinus is taken, and the Wee Bankie area that is particularly important for seabird foraging. While warm conditions may stimulate the production of sandeel larvae, their natural mortality is typically greater, in the Dogger Banks and Wadden Sea areas, when the larvae are hatched in warm years and/or with abundant 1-year-old sandeel that are likely to be cannibalistic.
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Agarwal, Shweta, Shailendra Kumar, and Utkarsh Goel. "SOCIAL MEDIA AND THE STOCK MARKETS: AN EMERGING MARKET PERSPECTIVE." Journal of Business Economics and Management 22, no. 6 (November 18, 2021): 1614–32. http://dx.doi.org/10.3846/jbem.2021.15619.
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There are numerous studies that examine the impact of social media on the stock market performance but there is a paucity of such evidences from the emerging economies. Today many multinational banks and other financial conglomerates from the developed countries are expanding their operations to the emerging markets, known for their rapid growth. The businesses in developed countries prefer using social media to reach out to their stakeholders. This might be a challenge as emerging markets are very different from the developed markets in terms of infrastructure and stock market development. This study performs the sentiment analysis of the tweets about the Indian companies that are a part of Nifty50 or any sectorial index, for a period of 15 months. The results from the Granger-causalty tests indicate that the Twitter sentiments have a significant relationship with the indices related to the banking and financial sectors of the Indian stock markets. Results from the Impulse Response Function reveal that, on the index returns, the impact of the negative sentiments stays for a longer period of time than the positive sentiments. This study would help businesses use social media effectively for information sharing and dissemination in the new environment.
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Nugroho, Antonius W., Mohamad Adam, Marlina Widiyanti, and Sulastri Sulastri. "Analysis of Financial Stability Determinants in Indonesia." Journal of Sosial Science 2, no. 2 (March 25, 2021): 99–106. http://dx.doi.org/10.46799/jsss.v2i2.105.
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Financial Stress Index (FSI) is one of the indices to measure financial stress which can lead to a financial crisis. Quantitative analysis was conducted to some banking sector performance indicator which impacts financial stability with FSI as a proxy. Data population was taken from banking company listed in Indonesian Stock Exchange, sampling using purposive sampling of 38 banks. Using pooled data regression analysis was founded that NPL, CAR, and ROA positively significant to financial stability, while NIM negative but not significant to financial stability. The research found that NPL and NIM are not in line with the hypothesis. NPL is an indicator for bad debt, which means that increase in NPL will make financial stability vulnerable, but the research shows that an increase in NPL causes financial stability incline to increased, this could have happened if any other factors maintain financial stability tend to increase. On the other hand, NIM is decreasing which means the productivity of banks decreased but financial stability tends to increase because other factors that maintain financial stability tend to increase.
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Pantos, Themis D. "EU Banking Directives: risk and wealth effects on the Greek financial sector." Journal of Risk Finance 9, no. 1 (January 4, 2008): 9–19. http://dx.doi.org/10.1108/15265940810842384.
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PurposeThe paper seeks to examine whether or not wealth effects and changes in the systematic risk associated with the return structure of the Greek commercial chartered banks, investment firms and insurance companies resulted from the passage of the European Union Banking Directives over the period 1988‐1997.Design/methodology/approachUsing monthly stock returns from the DataStream database for the period January 1988 to December 1997, the separate effects of each of the EU Banking Directives on Greek commercial chartered banks, investment firms and insurance companies are tested. The “seemingly unrelated regression” methodology is utilized to test three portfolios consisting of an equally weighted banking, investment and insurance index made up of major Greek banks, investment firms and insurance companies respectively. The Greek Market Index serves as a proxy for the market portfolio. All the aforementioned indices were converted to returns using the log difference method.FindingsEmpirical results indicate that the systematic risk dramatically increased for Greek insurance and investment firms and moderately increased for Greek commercial chartered banks through the tabling of the Free Capital Movement Directive in the Greek Parliament. After controlling for systematic risk, the results suggest that the passage of the Free Capital Movement Directive did not create wealth effects for the shareholders of commercial chartered banks, investment firms and insurance companies. Conversely, the results demonstrate that the Second Banking, Investment Services and Capital Adequacy Directives produced no wealth effects for the investment firms and insurance companies, but not for commercial chartered banks' shareholders. The whole wealth effect on the Greek financial sector was neutral.Originality/valueThis article will be of value to academics, bankers, bank regulators, practitioners, and economic policy makers who are interested in the regulatory evolution of the EU banking industry.
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Quaranta, Anna Grazia, Nico Di Gabriele, and Ermanno Zigiotti. "Impairment of intangible assets and disclosure by Italian banks." Managerial Finance 45, no. 2 (February 11, 2019): 311–30. http://dx.doi.org/10.1108/mf-09-2017-0352.
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Purpose The purpose of this paper is to examine the methods used to perform impairment test for intangible assets from a business combination and the information provided by the consolidated financial statements of a Group of Italian banks in the period 2009-2014. The purpose is to verify if, as assumed in literature, there is a positive link between profitability and the tendency of manager’s to post the impairment losses of intangible assets promptly and accurately. Design/methodology/approach The existence of a link between profitability and the quality of disclosure was verified by constructing correlation indices, and then ascertaining not only the reliability but also the strength and direction of the statistical connection between the above two aspects. A multivariate linear regression reconfirmed the results obtained by the previous bivariate analysis. Findings The results confirm the basic assumption, showing that the link between the aspects considered is statistically significant and positive in all the years in question. Originality/value This study fills a gap, given that no papers were found in literature specifically pertaining to banks and other financial institutions. Moreover, the decision to focus the study on Italian banks seems to be particularly appropriate for a number of different reasons: before the financial crisis, Italian banks made numerous acquisitions, posting high amounts for intangible assets; the financial crisis made the stock market prices plummet, thus making it necessary to write-off intangible assets from business combinations; and even before the ESMA, the Bank of Italy intervened on several occasions on the question of reporting, urging Italian banks to comply with disclosure requirements and impairment criteria.
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Bhattacharjee, Animesh, Madhu Kumari, and Joy Das. "Investigating the Impact of the Announcement of Loan Moratorium on Stock Prices: Evidence from Indian Public Sector Banks." Jindal Journal of Business Research 9, no. 2 (November 25, 2020): 106–16. http://dx.doi.org/10.1177/2278682120969014.
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The present article applies event study methodology in an attempt to investigate the impact of the announcement of 3-month moratorium by Reserve Bank of India on Indian public sector bank equity returns. For the present study, the estimation period is considered to be 120 trading days while the event window is considered to be 21 trading days. To compute the expected returns, the study uses a single-index model or the market model proposed by Fama [Fama, E., 1976. Foundations of finance. Basic Books]. The findings of the study suggest that the market responded to the news relating to the liquidity infusion by the Reserve Bank of India, falling global indices, development of potential coronavirus vaccine, and the announcement of 3 weeks period lockdown. The study further concluded that the market anticipated that the government may announce loan moratorium since industry bodies like The Associated Chambers of Commerce and Industry of India and The Federation of Indian Chambers of Commerce and Industry have recommended loan moratorium in order to safeguard the business enterprises especially the micro-, small- and medium-enterprise sector. Thus, the adjustment in the bank stock prices occurred before the announcement of the 3-month loan moratorium and as a consequence the average annual return on day ED-0 is found to be insignificant.
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Thanh, Le Trung, Nguyen Thi Ngan, and Hoang Trung Nghia. "Forecasting Value at Risk: Evidence from Emerging Economies in Asia." Science & Technology Development Journal - Economics - Law and Management 2, no. 1 (December 28, 2018): 77–90. http://dx.doi.org/10.32508/stdjelm.v2i1.504.
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In this paper, various Value-at-Risk techniques are applied to stock indices of 9 Asian emerging financial markets. The results from our selected models are then backtested by Unconditional Coverage, Independence, Joint Tests of Unconditional Coverage and Independence and Basel tests to ensure the quality of Value-at-Risk (VaR) estimates. The main conclusions are: (1) Timevarying volatility is the most important characteristic of stock returns when modelling VaR; (2) Financial data is not normally distributed, indicating that the normality assumption of VaR is not relevant; (3) Among VAR forecasting approaches, the backtesting based on in- and out-of-sample evaluations confirms its superiority in the class of GARCH models; Historical Simulation (HS), Filtered Historical Simulation (FHS), RiskMetrics and Monte Carlo were rejected because of its underestimation (for HS and RiskMetrics) or overestimation (for the FHS and Monte Carlo); (4) Models under student’s t and skew student’s t distribution are better in taking into account financial data’s characters; and (5) Forecasting VaR for futures index is harder than for stock index. Moreover, results show that there is no evidence to recommend the use of GARCH (1,1) to estimate VaR for all markets. In practice, the HS and RiskMetrics are popularly used by banks for large portfolios, despite of its serious underestimations of actual losses. These findings would be helpful for financial managers, investors and regulators dealing with stock markets in Asian emerging economies.
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Magkonis, Georgios, and Andreas Tsopanakis. "THE FINANCIAL CONNECTEDNESS BETWEEN EUROZONE CORE AND PERIPHERY: A DISAGGREGATED VIEW." Macroeconomic Dynamics 24, no. 7 (January 31, 2019): 1674–99. http://dx.doi.org/10.1017/s1365100518000998.
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This paper examines the financial stress interconnectedness among Greece, Ireland, Italy, Portugal, and Spain (GIIPS) economies and Germany. Based on market-level financial stress indices, we examine the stress transmission process as well as the causal network relationships in banking sector, bond, money, and stock markets. The period under investigation, 2001–2013, allows to test the effects of the 2007–2009 financial crisis as well as the subsequent European sovereign crisis. Using two alternative techniques for connectedness analysis, our evidence suggests that the peripheral economies of Italy and Spain play a highly significant role in the stress transmission in all markets, especially in the cases of banks and equity markets. Moreover, we visualize our results using network analysis. Contrary to common wisdom, Portugal, Ireland, and mainly Greece do not seem to have an important role in amplifying stress levels.
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Walther, Thomas. "Expected shortfall in the presence of asymmetry and long memory." Pacific Accounting Review 29, no. 2 (April 3, 2017): 132–51. http://dx.doi.org/10.1108/par-06-2016-0063.
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Purpose This study aims to analyse the conditional volatility of the Vietnam Index (Ho Chi Minh City) and the Hanoi Exchange Index (Hanoi) with a specific focus on their application to risk management tools such as Expected Shortfall (ES). Design/methodology/approach First, the author tests both indices for long memory in their returns and squared returns. Second, the author applies several generalised autoregressive conditional heteroskedasticity (GARCH) models to account for asymmetry and long memory effects in conditional volatility. Finally, the author back tests the GARCH models’ forecasts for Value-at-Risk (VaR) and ES. Findings The author does not find long memory in returns, but does find long memory in the squared returns. The results suggest differences in both indices for the asymmetric impact of negative and positive news on volatility and the persistence of shocks (long memory). Long memory models perform best when estimating risk measures for both series. Practical implications Short-time horizons to estimate the variance should be avoided. A combination of long memory GARCH models with skewed Student’s t-distribution is recommended to forecast VaR and ES. Originality/value Up to now, no analysis has examined asymmetry and long memory effects jointly. Moreover, studies on Vietnamese stock market volatility do not take ES into consideration. This study attempts to overcome this gap. The author contributes by offering more insight into the Vietnamese stock market properties and shows the necessity of considering ES in risk management. The findings of this study are important to domestic and foreign practitioners, particularly for risk management, as well as banks and researchers investigating international markets.
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Arinal, Fashli, Herdiansyah Herdis, and A. Saragi Putri. "Green Banking and Infrastructure Project Financing for Sustainable Development." E3S Web of Conferences 73 (2018): 10001. http://dx.doi.org/10.1051/e3sconf/20187310001.
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Indonesia already has policies that pay attention to environmental aspects so that the development can keep running by maintaining the natural conditions. One of the policies that have been made is green banking. The green banking policy requires the support of stakeholders who have a role as an enforcer. This study uses a quantitative approach to measure the implementation of funds used by banks in the financing of industrial projects. The database is based on the Sustainable Equity and Responsible Investment (SRI) index -KEHATI, one of the indices that the indicator of stock price movement in Indonesia Stock Exchange (BEI), but focus on banking data practicing green banking system. The result of this study shows that the bank has a responsibility to the environmental risks of the project to be run by the company where the investment funds or lending of the bank. The green banking policy requires the support of stakeholders who have a role as an enforcer. Stakeholders in green banking are groups of people or individuals who have an essential part to achieve goals, and Sustainable development can be realized well if this policy is implemented, not just a formal requirement in following the current international trend.
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Zhao, Qun, Pei-Hsuan Tsai, and Jin-Long Wang. "Improving Financial Service Innovation Strategies for Enhancing China’s Banking Industry Competitive Advantage during the Fintech Revolution: A Hybrid MCDM Model." Sustainability 11, no. 5 (March 7, 2019): 1419. http://dx.doi.org/10.3390/su11051419.
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The recent emergence and rapid growth of new financial services by financial technology (Fintech) companies have driven banking institutions towards operational innovation in order to gain sustainable competitive advantage. This study aims to conduct an in-depth investigation of the banking sector in response to the challenges brought by Fintech startups. Based on the service innovation theory, we propose a novel hybrid multiple criteria decision-making method (MCDM) to evaluate service innovation strategies for improving the sustainability of China’s banking industry during the Fintech revolution. A six-dimensional model comprising 20 sub-criteria is constructed and both the decision making trial and evaluation laboratory (DEMATEL) technique and DEMATEL-based analytic network process (DANP) are used to explore interrelationships among the indices and their related weights. Finally, the modified VIšekriterijumsko KOmpromisno Rangiranje (VIKOR) method is employed to evaluate performance gaps in the four major types of commercial banks in China—state-owned, joint-stock, city commercial banks, and other credit cooperatives—in the field of service innovation. The improvement priorities, ranked from highest to lowest, are new business partners, new service concepts, organizational innovation, technological innovation, new customer interactions, and new revenue models. These results will provide strategies for the sustainable development of China’s banking industry and the implementation of changes in response to the impact of the Fintech revolution.
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Banerjee, Sreejata, and Divya Murali. "Stress test of banks in India across ownerships: a VAR approach." Studies in Economics and Finance 34, no. 4 (October 2, 2017): 527–54. http://dx.doi.org/10.1108/sef-11-2014-0213.
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Purpose This paper aims to examine whether the Indian banking system is robust to withstand unexpected shocks from external and domestic macroeconomic factors after financial liberalization in 1992. As proposed by Demirgüç-Kunt and Detragiache (1998) and Kaminsky and Reinhart (1999) banking crisis follows financial liberalization. India embarked financial deregulation from 1992, whereas the ongoing global financial crisis (GFC) could jeopardize bank portfolios. Design/methodology/approach Stress test is undertaken through the vector auto regressive (VAR) model to examine if decline in GDP, exchange rate volatility and foreign capital portfolio funds adversely impact bank asset quality through higher defaults. The VAR model is run for banks belonging to public, private or foreign ownership. Soundness of banks is measured by the non-performing assets (NPAs) with quarterly data from 1997 to 2014. Post-VAR estimation technique, Granger causality test (GC) and impulse response function (IRF) are used to check for robustness of the VAR model findings. Findings The authors found that there is little divergence among banks of different ownership in responding to the shocks from REER, foreign capital flows and GDP output gap. IRF shows that GDP shock to NPA of public and private banks takes more than nine and eight quarters to stabilize. Foreign banks are impacted by the same macroeconomic factors. The stress test exhibits that public banks are more vulnerable and need recapitalization. Moreover, domestic banks are not adversely affected by the GFC, and credit for this could be attributed to the Reserve Bank of India’s (RBI’s) regulatory policy. Research limitations/implications Surprisingly, capital market indices do not influence banks’ NPA, and this needs further investigation. The limitation arises from the fact that stock market index for banks was launched only in the early 2000. Missing data and limited number of banks shares traded in the market could explain the trivial results. Practical implications Findings of this study will be useful to RBI policymakers and bank managers. The exchange-rate risk faced by borrowers that lead to increased NPAs is an issue that the RBI would be interested to examine. The impact of foreign capital flows, adversely influencing the NPAs of banks, is a significant issue that the RBI is concerned with. Social implications Banking sector crisis has serious repercussions, causing loss of household savings and decline in confidence in the banking sector. Originality/value This topic was explored in India only by Bhattacharya and Roy in (2008). No other similar work has been done to the authors’ knowledge in stress test of banks in India across different ownership. The authors’ study period covers the GFC and shows that it has not caused devastation as it has in developed countries.
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Al-Oshaibat, Suleiman Daood, and Sufian Radwan Al-Manaseer. "The Effect of Accounting and Market Indicators on Predicting the Stock Prices for Jordanian Banks: An Econometric Study for the Period (2010-2015)." International Journal of Economics and Finance 10, no. 4 (March 16, 2018): 146. http://dx.doi.org/10.5539/ijef.v10n4p146.
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This study aims at examine the ability of a group of financial ratios, which is derived from the financial statements of Jordanian commercial banks, to predict the prices of the market shares for the period (2010-2015). Besides, it investigates the explanatory power and the nature of the relation between some accounting and market indices, including compound and individual indicators, and the market share price. In order to achieve the objectives of this study, the researcher used the Panel Data and the time series data. While the Hussmann Test is used to choose the appropriate model whether it is a static effect modal or a random effect one based on Chi-Square probability value.Throughout the discussion and the data analysis, the study highlights a set of results. One of the most important results shows that the effects of the independent variables as a single package on predicting the stock market prices were very strong.In addition, the researcher comes up with some recommendations which emphasize the importance of disclosing the financial statements under study to investors and analysts periodically due to the importance of transparency in the financial sector. Moreover, while distributing earnings on participants, investors’ preferences should be taken into consideration due to their influence on the share price since it is a futurist result of the investors’ evaluations of the earnings distribution policy.
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Buczyński, Mateusz, and Marcin Chlebus. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels." e-Finanse 14, no. 2 (June 1, 2018): 67–82. http://dx.doi.org/10.2478/fiqf-2018-0013.
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AbstractIn the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying economic stability periods for main indices from stock exchanges was conducted. The VaR forecasts from GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high and decreasing) for countries economically developed (the USA – S&P 500, Germany - DAX and Japan – Nikkei 225) and economically developing (China – SSE COMP, Poland – WIG20 and Turkey – XU100) were compared. The data samples used in the analysis were selected from the period 01.01.1999 – 24.03.2017. To assess the VaR forecast quality: excess ratio, Basel traffic light test, coverage tests (Kupiec test, Christoffersen test), Dynamic Quantile test, cost functions and Diebold-Marino test were used. Obtained results show that the quality of Value-at-Risk forecasts for the models varies depending on a volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period. Moreover, no significant differences for the VaR forecast quality were found for the developed and developing countries.
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Abidi, Ilyes, Mariem Nsaibi, and Boutheina Regaieg. "Financial Stability of Islamic Finance." International Journal of Accounting and Financial Reporting 10, no. 1 (January 6, 2020): 92. http://dx.doi.org/10.5296/ijafr.v10i1.16060.
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The aim of this paper is to study the stability of the Islamic financial system. To do this, we are interested in the scoring method and the volatility of stock market indices.The first empirical study includes all the components of the financial system, in particular, banks, insurance companies, leasing, factoring and investments companies.The results of this study suggest that, Islamic finance saw a loss of 0.014% of its stability score, in 2007, against 0.43% and 1.675% for conventional finance, respectively in 2007 and 2008. In contrast, during the period of the Arab revolutions only Islamic finance depreciated.In order to refine our research, we used the autoregressive conditional heteroscedasticit models to study the volatility of the DJ index and the DJIM index. The empirical results reveal that, the DJIM index is less volatile than the DJ index of emerging countries, Europe, Asia and the United States. However, the DJ Global Index is less volatile than the DJIM index, which seems paradoxical compared to previous results. From then on, we studied the volatility of the two indices before, during and after the crisis. The empirical results reveal that, the DJIM index is much more stable than the DJ index during the crisis (2007-2009). On the other hand, before and after the crisis (2002-2006 and 2010-2015), the DJ Global index is more stable but the difference is insignificant.
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Prayagsing, Chakeel, and Kheswar Jankee. "Influence of External Sources of Funding on Corporate Financial Policies in a Pre-Financial Crisis Period in South Africa—A Case Study of Mauritian Enterprises." Journal of Economics and Public Finance 3, no. 3 (June 3, 2017): 287. http://dx.doi.org/10.22158/jepf.v3n3p287.
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<p><em>A number of scholars have been motivated to study the manner to which firms adjust their corporate finance strategies in light of the availability and easiness of accessing external sources of funding. Till recently, researchers have also been interested to analyse the external factors that allow firms to relax their fixed budget and the consequent impact on corporate strategies. These mainly include alterations in the composition of their funding and the second round effects on other corporate decisions such as on investment projects and their dividend policies. External financing can be assessed both from a policy perspective, i.e., via financial liberalisation policies, as well as other development in the financial sector such as availability of alternative bases of finance, both from banks and non-banks. It will thus be pertinent to examine the impact of FL policies as well as availability of financial resources on the capital structure of Mauritian firms and their investment decisions in a post financial liberalization period. A judicious investigation is undertaken and the empirical soundness of our different formulations tested with the techniques of panel data and GMM estimates. We compare and contrast the results in the 7 different sectors notably banking, insurance, leasing, hotel, oil, retail/distributive trade and the construction industry. For a better analysis, the full sample of firms is divided into several subsamples as follows: top 100 companies, firms in group-structure, those which are not in group structures, local firms, international firms, firms with good banking ties, those with good and poor corporate governance, listed and unlisted firms. By employing different econometric investment models, we found that all indices of FL, including the index of money market liberalisation, index of capital account liberalisation and overall financial liberalisation index have do not have any influence on private investment behaviour. In contract, higher amount of money in circulation, bank credit, leasing activities and subsidised financing from the Development bank have a positive impact on private investment expenditures. Development in the financial sector in terms of credit facilities offered by insurance companies, venture capitals and the stock market activities have not been effective in inducing firms to increase their investment portfolios.</em></p>
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Ahmed, Walid M. A. "The asymmetric price-volume relation revisited: evidence from Qatar." Journal of Asia Business Studies 12, no. 2 (May 8, 2018): 193–219. http://dx.doi.org/10.1108/jabs-11-2015-0194.
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Purpose This study aims to revisit the stock price–volume relations, providing new evidence from the emerging market of Qatar. In particular, three main issues are examined using both aggregate market- and sector-level data. First, the return–volume relation and whether or not this relation is asymmetric. Second, the common characteristics of return volatility; and third, the nature of the relation between trading volume and return volatility. Design/methodology/approach The study uses the OLS and VAR modeling approaches to examine the contemporaneous and dynamic (causal) relations between index returns and trading volume, respectively, while an EGARCH-X(1,1) model is used to analyze the volatility–volume relation. The data set comprises daily index observations and the corresponding trading volumes for the entire market and the individual seven sectors of the Qatar Exchange (i.e. banks and financial services, consumer goods and services, industrials, insurance, real estate, telecommunications and transportation). Findings The empirical analysis reports evidence of a positive contemporaneous return–volume relation in all sectors barring transportation and insurance. This relation appears to be asymmetric for all sectors. For the market and almost all sectors, there is no significant causality between returns and volume. By and large, these findings lend support for the implications of the mixture of distributions hypothesis (MDH). Lastly, the information content of lagged volume seems to have an important role in predicting the future dynamics of return volatility in all sectors, with the industrials being the exception. Practical implications The findings provide important implications for portfolio managers and investors, given that the volume of transactions is generally found to be informative about the price movement of sector indices. Specifically, tracking the behavior of trading volume over time can give a broad portrayal of the future direction of market prices and volatility of equity, thereby enriching the information set available to investors for decision-making. Originality/value Based on both market- and sector-level data from the emerging stock market of Qatar, this study attempts to fill an important void in the literature by examining the return–volume and volatility–volume linkages.
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Pochukalin, A. Ye, O. V. Rizun, and S. V. Priyma. "«CONSTITUTIO» OF GENEALOGICAL STRUCTURE OF UKRAINIAN RED-AND-WHITE DAIRY CATTLE." Animal Breeding and Genetics 51 (March 28, 2018): 140–47. http://dx.doi.org/10.31073/abg.51.19.
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The genealogical structure of Ukrainian Red-and-White Dairy cattle has been represented by 12 tested and approved farm bloodlines, ancestors of which are Holstein bulls of red colour (Improver 333471, Hanover 1629391, Regal 352882, Nahit 300502, Inhancer 343514, Cavalier 1620273), Montbeliarde (Supreme 33470, Mayerdel 1599075, Dynamic 359742, Dairymen 1672325, Shevrey 6241) and Ayrshire (Don Juan 79601) breeds.
Selection process ensures constant movement of lines and inheritance of some lines moves to historical and statistical work and is used for analysing the successful selection and the best combination, whereas, the other ones improve genetic value of economically useful traits of productivity in the next generations and, therefore, they are progressing and developing. Qualitative features of related groups by the breeding traits are a basis on which we should concentrate all the range of selection and breeding work at each stage of breed improvement because a line and a breed, in the classical sense, are inseparable concepts of a large conglomerate of a population, which has been created by many scientists and practitioners.
The aim of this work was to analyse the current state of genealogical structure of Ukrainian Red-and-White Dairy breed for the breeding stock and their belonging to breeds and lines.
The materials of research for characteristics and analysis of genealogical structure of Ukrainian Red-and-White Dairy cattle were breeding accounting data on the form №7-mol. In total the data for 74 breeding farms of 15 regions of Ukraine were used. Belonging to breeds, lines and data for assess by origin and progeny were determined on the basis of SUMS "Orsek", Institute of Animal Breeding and Genetics nd. a. M.V. Zubets of National Academy of Agrarian Science of Ukraine. The availability of frozen semen of the Ukrainian Red-and-White Dairy bulls admitted to reproduce breeding stock was determined according to the annual catalogues for 2015 and 2016.2016.
Modern genealogical structure of the breeding stock is formed due, in addition to Ukrainian Red-and-White Dairy breed, Red Holstein, Jersey, Montbeliarde and Simmental breeds. The total number of females is 48,279 animals, including 24,264 cows and 24,015 heifers originating from 375 bulls. The share of Simmental bulls involved in the selection was 11% (42) with the number of 881 animals. The breeding stock from Holstein bulls (207) is 82%, whereas, the share of 101 bulls of Ukrainian Red-and-White Dairy breed is only 15%.
Modern genealogical structure of the breeding stock is formed due, in addition to Ukrainian Red-and-White Dairy breed, Red Holstein, Jersey, Montbeliarde and Simmental breeds. The total number of females is 48279 animals, including 24264 cows and 24015 heifers originating from 375 bulls. The share of Simmental bulls involved in the selection was 11% (42) with the number of 881 animals. The breeding stock from Holstein bulls (207) is 82%, whereas, the share of 101 bulls of Ukrainian Red-and-White Dairy breed is only 15%.
Genealogical structure of breeding stock of Ukrainian Red-and-White Dairy breed has been represented by 15 bloodlines. The fewest (71 animals) was obtained from three bulls Magnet 1560362, Majority 1599069 and Maximus 297414. The 10%-share (4712 animals from 57 bulls) from the total number was genealogical structure of six approved farm bloodlines of the Ukrainian breed.
For breeding evaluation of origin (pedigree index) 17 Holstein bulls had the average value – +27.6, including seven bulls with negative PI-595 and 10 bulls with positive PI + 463.5. For bulls of Simmental and native breeds, the indices were 6 (-122), 2 (+264), 4 (-315) and 12 (+587.8), 1 (-264) 11 (665) respectively. Discrepancy (2 of 35 investigated bulls) with the minimum requirements (30 first-calf heifers in 4 herds) concerning the evaluation of bulls by progeny makes impossible to obtain objective information about breeding value of bull.
In our opinion, the factors which, can make a difference in the genealogical structure of Ukrainian Red-and-White Dairy cattle are to increase the share of bloodlines of the native breed through catalogue of admitted bulls to reproduce breeding stock, which is compiled by the materials of pedigree enterprise of Ukraine. Based on materials of 2015, during the mating period 59 bulls of 15 bloodlines were involved, including 38 approved bulls which share of sperm was 84%. In 2016, the available frozen semen of bulls of the native breed decreased by 674.5 thousand doses which was 81% compared to presented one in 2015.
Conclusions. Current genealogy of Ukrainian Red-and-White Dairy cattle has the ramified system represented 42 Simmental bulls of 15 bloodlines, 207 Holstein bulls of 19 bloodlines, 101 native bulls of 15 bloodlines and two Jersey and Montbeliarde bulls.
In modern realities of selection and breeding work, concern is widely use of Holstein sires in the reproduction of breeding stock of Ukrainian Red-and-White Dairy that each year minimizes the share (now about 10%) in the selection of approved bloodlines and "genetic identity of native breed".
The perspective of involving bulls and with it the widespread use of the method of breeding by bloodlines in Ukrainian Red-and-White Dairy cattle is too illusory, whereas every year the availability of semen of the admitted bulls in sperm banks of Ukraine decreases (only the last year by 81%), and inability (with requirements) for the evaluation by progeny of those bulls which have already had pedigree index.
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Dogra, Varun, Aman Singh, Sahil Verma, Abdullah Alharbi, and Wael Alosaimi. "Event Study: Advanced Machine Learning and Statistical Technique for Analyzing Sustainability in Banking Stocks." Mathematics 9, no. 24 (December 20, 2021): 3319. http://dx.doi.org/10.3390/math9243319.
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Machine learning has grown in popularity in recent years as a method for evaluating financial text data, with promising results in stock price projection from financial news. Various research has looked at the relationship between news events and stock prices, but there is little evidence on how different sentiments (negative, neutral, and positive) of such events impact the performance of stocks or indices in comparison to benchmark indices. The goal of this paper is to analyze how a specific banking news event (such as a fraud or a bank merger) and other co-related news events (such as government policies or national elections), as well as the framing of both the news event and news-event sentiment, impair the formation of the respective bank’s stock and the banking index, i.e., Bank Nifty, in Indian stock markets over time. The task is achieved through three phases. In the first phase, we extract the banking and other co-related news events from the pool of financial news. The news events are further categorized into negative, positive, and neutral sentiments in the second phase. This study covers the third phase of our research work, where we analyze the impact of news events concerning sentiments or linguistics in the price movement of the respective bank’s stock, identified or recognized from these news events, against benchmark index Bank Nifty and the banking index against benchmark index Nifty50 for the short to long term. For the short term, we analyzed the movement of banking stock or index to benchmark index in terms of CARs (cumulative abnormal returns) surrounding the publication day (termed as D) of the news event in the event windows of (−1,D), (D,1), (−1,1), (D,5), (−5,−1), and (−5,5). For the long term, we analyzed the movement of banking stock or index to benchmark index in the event windows of (D,30), (−30,−1), (−30,30), (D,60), (−60,−1), and (−60,60). We explore the deep learning model, bidirectional encoder representations from transformers, and statistical method CAPM for this research.
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Rashid, Abdul, and Maurizio Intartaglia. "Financial development – does it lessen poverty?" Journal of Economic Studies 44, no. 1 (January 9, 2017): 69–86. http://dx.doi.org/10.1108/jes-06-2015-0111.
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Purpose The purpose of this paper is to empirically examine the impact of financial development on poverty reduction in developing countries. The paper also investigates whether financial development affects poverty via institutional quality and GDP growth. Design/methodology/approach To take into account the dynamics nature of panel data and country-specific effects, the authors use a two-step system GMM estimator. The authors also employ a large array of measures of financial development in order to check the robustness of the results. The analysis is carried out for a sample of developing countries using an unbalanced panel data set covering the period 1985-2008. Findings The authors find that financial development plays a significant role in reducing absolute poverty. However, the authors do not find any pro-poor impact of financial development when poverty is measured in relative terms. The authors show that the impact of financial development on poverty alleviation is statistically significant when liquid liabilities and credit granted to the private sector are used as a proxy of financial development. The results on the indirect effect of financial development indicate that financial sector development has larger effects on poverty reduction when institutional arrangements are sound or/and when economic growth is high. Practical implications The findings suggest that the inference for a pro-poor effect of financial development depends primarily on the measure of poverty and the choice of the proxy for financial development. Banking sector reforms may be an effective instrument to tackle absolute levels poverty. However, the policy makers should not rely only on financial reforms, regardless of whether they are based on banks or stock markets, to narrow the gap between the poorest quintile of the population and the richer quintiles. Rather, they should also utilize fiscal policies, such as progressive taxation and public-expenditure projects, to redistribute resources. Originality/value The paper differs from the previous studies in several ways. First, it studies the financial development-poverty nexus using three alternative indices of poverty. Second, this study focusses on a sample of developing countries only. As the structure and development level of the financial sector in poor and rich countries could differ significantly, focussing on developing countries helps mitigate the problem of heterogeneity arising from using a pooled sample of rich and poor countries. Third, robust estimation methods are applied that take into account the dynamic nature of empirical models and country-specific effects.
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Chakraborty, Rekha Devi, A. P. Gayathri, P. Purushothaman, G. Kuberan, G. Maheswarudu, and E. M. Abdussamad. "Preliminary investigation of age analysis in crustacean species from the Indian coast, using growth bands." Crustaceana 95, no. 5-6 (July 29, 2022): 605–14. http://dx.doi.org/10.1163/15685403-bja10214.
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Abstract The present study represents the first information on direct age determination based on band counts in the mesocardiac ossicle (gastric mill) and eyestalk, in Aristeus alcocki, Penaeus monodon, Penaeus indicus, Panulirus homarus, and Portunus sanguinolentus from India. The determination of growth bands is important in understanding the accurate age of a specimen for the effective management strategies for stock sustainability of the natural resource. Longitudinal sections of the eyestalk and meso-cardiac ossicle of the gastric mill were observed for growth band counts in all species except for P. homarus, where the growth bands were recorded only in the ossicle. Growth bands count five in females and four in males of A. alcocki, respectively. In the case of inshore prawns, two growth bands were observed in P. monodon and one growth band in P. indicus, five growth bands in P. homarus, and three in P. sanguinolentus.
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FELEDYN-SZEWCZYK, BEATA, and IRENA DUER. "Podobieństwo glebowego banku nasion i aktualnego zachwaszczenia łanu pszenicy ozimej w różnych systemach produkcji rolnej." Agronomy Science 62, no. 2 (April 7, 2022): 157–67. http://dx.doi.org/10.24326/as.2007.2.18.
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The aim of the research was a comparison of soil seed bank, formed by the influence of different crop production systems (organic, integrated, conventional and monoculture of winter wheat) with weed infestation in the winter wheat. The study was conducted at the Experimental Station of the Institute of Soil Science and Plant Cultivation – State Research Institute in Osiny (Lublin province), where these crop production systems, characterised by different crop rotations and agricultural practices, have been compared since 1994. The assessment included the analysis of weed species composition and the number of weeds in winter wheat cultivated in different crop production systems as well as the weed seed stock in the 0–20 cm soil layer under winter wheat. The soil seed bank and winter wheat infestation was analysed using ecological indices: Shannon's diversity index (H') and Simpson's dominance index (SI).
The number of weed seed species in the soil was higher than the number of weed species in a winter wheat canopy in all compared systems. The difference between the number of species in a canopy and in the soil was the smallest in the organic system. The monoculture of winter wheat was characterised by the lowest diversity of weed flora and soil seed bank. Shannon and Simpson indices showed the bigger similarity between soil seed bank and weed infestation in the organic system and the lowest in conventional one and monoculture. Small differences of species number in weed seed stock in the compared systems and the narrow ranges of Shannon and Simpson indices suggest smaller dynamics of change of soil seed bank than weed flora.
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Nekhili, Ramzi, and Kostas Giannopoulos. "Brexit and the dependence structure among the G7 bank equity markets." Investment Management and Financial Innovations 17, no. 2 (June 29, 2020): 231–39. http://dx.doi.org/10.21511/imfi.17(2).2020.18.
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The UK referendum in June 2016 on leaving the European Union had a negative impact on banking stocks across the major financial markets. This has left with a question dealing with the effect of UK banking institutions on the systemic risk on a global scale. This paper aims at investigating the changes in the dependence structure between the UK bank equity returns and its counterparts in the G7 economies. The methodology used is based on the GJR-GARCH volatility spillover model that accounts for asymmetry and leverage, and copula for the time-varying correlation structure among G7 banks. Taking the data on bank equity return indices for G7 economies, the results indicate the symmetric dependence structure between the UK and Italian banks and the asymmetric dependence between the UK and the rest of G7 banks. This is due to the simultaneous decline in bank shares prices across the Union. Such results are important constituents for cross-country portfolio diversification.
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M, Vivek Prabu, and Dharani K S. "Major reasons behind the whitewash of lakshmi vilas bank from the indian stock market – an analysis with mathematical approach." Kongunadu Research Journal 8, no. 1 (March 31, 2021): 80–84. http://dx.doi.org/10.26524/krj.2021.12.
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Banks play a pivotal role in India's economic development. They sustain the country’s GDP growth through turning people’s static money into capital for investment and thus directing cash flow via dynamic market systems. Bank deposits provide secured and fixed return unlike the share market that holds higher risk of investment and offer a variable return which is uncertain. Whenever an individual or a company is at financial crisis, Banks lend their hands and offer loans and help them as much as possible to cut down the financial burden. But on the other hand, when the financial health of a bank itself is very weak which in turn will certainly affect the entire movement of the banking sector in the stock market and further that would lead to unreliable market circumstances. In this paper, we will be analyzing the major reasons behind the complete wash out of Lakshmi Vilas Bank from the Indian Stock Market and try to figure out the alarming indicators so as to be more cautious in the mere future to avoid such financial breakdown caused due to the bankrupted scenario.
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Wang, Li, and Yong Zhou. "Combining Multitemporal Sentinel-2A Spectral Imaging and Random Forest to Improve the Accuracy of Soil Organic Matter Estimates in the Plough Layer for Cultivated Land." Agriculture 13, no. 1 (December 20, 2022): 8. http://dx.doi.org/10.3390/agriculture13010008.
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Soil organic matter (SOM) is vital for assessing the quality of arable land. A fast and reliable estimation of SOM is important to predict the soil carbon stock in cropland. In this study, we aimed to explore the potential of combining multitemporal Sentinel-2A imagery and random forest (RF) to improve the accuracy of SOM estimates in the plough layer for cultivated land at a regional scale. The field data of SOM content were utilized along with multitemporal Sentinel-2A images acquired over three years during the bare soil period to develop spectral indices. The best bands and spectral indices were selected as prediction variables by using the RF algorithm. Partial least squares (PLS), geographically weighted regression (GWR), and RF were employed to calibrate spectral indices for the SOM content, and the optimal calibration model was used for the mapping of the SOM content in arable land at a regional scale. The results showed the following. (1) The multitemporal image estimation model outperformed the single-temporal image estimation model. The estimation model that utilized the optimal bands and spectral indices as prediction variables usually had better accuracy than the models based on full spectral data. (2) For the SOM content estimates, the performance was better with RF than with PLS and GWR in almost all cases. (3) The most accurate SOM estimation in the case area was achieved by using multitemporal images from 2018 and the RF calibration model based on the optimal bands and spectral indices as prediction variables, with R2val (coefficient of determination of the validation data set) = 0.67, RMSEval (root mean square error of the validation dataset) = 2.05, and RPIQval(ratio of performance to interquartile range of the validation dataset) = 3.36. (4) The estimated SOM content in the plough layer for cultivated land throughout the study area ranged from 16.17 to 36.98 g kg−1 and exhibited an increasing trend from north to south. In the current study, we developed a framework that combines multitemporal remote sensing imagery and RF for the SOM estimation, which can improve the accuracy of quantitative SOM estimations, provide a dynamic, rapid, and low-cost technique for understanding soil fertility, and offer an early warning of changes in soil quality.
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Kuitenbrouwer, Maarten, and Huibert Schijf. "The Dutch Colonial Business Elite at the Turn of the Century." Itinerario 22, no. 1 (March 1998): 61–86. http://dx.doi.org/10.1017/s0165115300012420.
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In the last quarter of the nineteenth century the Dutch economy experienced a fresh take-off. Up-to-date steamships plied the shipping routes to the Netherlands East Indies; in the Netherlands the network of railways and canals was greatly expanded; modern insurance companies, commercial banks and other financial institutions were founded. The resultant growing need for external capital led to a new legal form of financing, the joint-stock or limited liability company, and the 1870s and 1880s saw the establishment of a relatively large number of newly founded companies of this type. Generally speaking, these companies represented business activities with a long-standing tradition in Dutch economic life: trade, banking and transportation. The economic take-off was also reflected in the growing number of joint-stock companies pursuing economic activities in colonial Indonesia, often with their headquarters in the Indonesian Archipelago itself. According to J. à Campo the number of such newly founded corporations was more than hundred for each year after 1896, reaching its highest level in 1910, when no less than 326 were founded.
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Frati, Giovanni, Patrick Launeau, Marc Robin, Manuel Giraud, Martin Juigner, Françoise Debaine, and Cyril Michon. "Coastal Sand Dunes Monitoring by Low Vegetation Cover Classification and Digital Elevation Model Improvement Using Synchronized Hyperspectral and Full-Waveform LiDAR Remote Sensing." Remote Sensing 13, no. 1 (December 23, 2020): 29. http://dx.doi.org/10.3390/rs13010029.
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Due to the coastal morphodynamic being impacted by climate change there is a need for systematic and large-scale monitoring. The monitoring of sandy dunes in Pays-de-la-Loire (France) requires a simultaneous mapping of (i) its morphology, allowing to assess the sedimentary stocks and (ii) its low vegetation cover, which constitutes a significant proxy of the dune dynamics. The synchronization of hyperspectral imaging (HSI) with full-waveform (FWF) LiDAR is possible with an airborne platform. For a more intimate combination, we aligned the 1064 nm laser beam of a bi-spectral Titan FWF LiDAR with 401 bands and the 15 cm range resolution on the Hyspex VNIR camera with 160 bands and a 4.2 nm spectral resolution, making both types of data follow the same emergence angle. A ray tracing procedure permits to associate the data while keeping the acquisition angles. Stacking multiple shifted FWFs, which are linked to the same pixel, enables reaching a 5 cm range resolution grid. The objectives are (i) to improve the accuracy of the digital terrain models (DTM) obtained from an FWF analysis by calibrating it on dGPS field measurements and correcting it from local deviations induced by vegetation and (ii) in combination with airborne reflectances obtained with PARGE and ATCOR-4 corrections, to implement a supervised hierarchic classification of the main foredune vegetation proxies independently of the acquisition year and the physiological state. The normalization of the FWF LiDAR range to a dry sand reference waveform and the centering on their top canopy echoes allows to isolate Ammophilia arenaria from other vegetation types using two FWF indices, without confusion with slope effects. Fourteen HSI reflectance indices and 19 HSI Spectral Angle Mapping (SAM) indices based on 2017 spectral field measurements performed with the same Hyspex VNIR camera were stacked with both FWF indices into a single co-image for each acquisition year. A simple straightforward hierarchical classification of all 35 pre-classified co-image bands was successfully applied along 20 km, out of the 250 km of coastline acquired from 2017 to 2019, prefiguring its systematic application to the whole 250 km every year.