Template-Type: ReDIF-Article 1.0 Author-Name: Yang-Chao Wang Author-Name: Jui-Jung Tsai Author-Name: Yi Lin Title: THE INFLUENCE OF SHANGHAI-HONG KONG STOCK CONNECT ON THE MAINLAND CHINA AND HONG KONG STOCK MARKETS Abstract: China has been intensively launching opening-up policies since November 2014. Among these policies, the Shanghai-Hong Kong Stock Connect offers international investors an approach to investing directly in Mainland China stock markets. At the same time, Mainland China capital can gain access to overseas markets via Hong Kong. This study investigates the influence of the policy by using the Vector Autoregressive and Generalized Autoregressive Conditional Heteroscedastic framework. The results show that the new policy has different impacts on the Shanghai, Shenzhen, and Hong Kong stock markets due to their distinct market features and policy restrictions. The three markets also transmit the policy effects to one another due to their close linkages. It not only indicates that Mainland China financial centers (Shanghai and Shenzhen) integrate with one of international financial centers (Hong Kong), but also symbolizes the gradually increasing strength of Chinese policy effects on global capital markets Classification-JEL: G00, G10, G18 Keywords: Chinese Stock Market, Policy and Regulation, Shanghai-Hong Kong Stock Connect, VAR, GARCH Journal: The International Journal of Business and Finance Research Pages: 1-10 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-1.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:1-10 Template-Type: ReDIF-Article 1.0 Author-Name: Gokcen Ogruk Title: CARRY TRADE STRATEGIES WITH FACTOR AUGMENTED MACRO FUNDAMENTALS: A DYNAMIC MARKOV-SWITCHING FACTOR MODEL Abstract: This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese Yen, Swiss Franc and US Dollar as funding currencies against six target currencies. Carry trade, a currency speculation strategy between the high-interest rate and low-interest rate currencies, generates high payoffs on average but has a possibility of crash risk. I argue that risk adjusted returns, mean returns and downside risk perform better when purchasing power parity model is used in a both regime switching and linear factor augmented regression framework for Franc trades and perform as good as benchmark model of momentum strategy for Dollar and Yen trades Classification-JEL: C22, E32, E37, E43, F31, F37, G15 Keywords: Exchange Rate Models, Carry Trade, Forecasting, Markov-Switching Dynamic Factor Journal: The International Journal of Business and Finance Research Pages: 11-28 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-2.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:11-28 Template-Type: ReDIF-Article 1.0 Author-Name: Benjamin B. Boozer Author-Name: Julie A. Staples Author-Name: S. Keith Lowe Author-Name: Robert J. Landry Title: U.S. CORPORATE PENSION EXPENSE AND THE 20072009 FINANCIAL CRISIS: AN INTERRUPTED TIME SERIES ANALYSIS Abstract: This research presents a model for predicting corporate pension expenses. By considering changes in financial statement variables that included operating profit margin, working capital levels, and cash levels the model explored directional impact on the dependent variable, pension expenses. Change was measured between 2004 and 2013 using the Kellough interrupted time series analysis to capture the effect of the 2007-2009 financial crisis. The analysis found that operating profit margin has a positive impact on pension expense levels, while higher levels of net working capital and cash have an inverse association. In finding the change variable of the interrupted time series event to have a positive sign, the analysis expands prior research in offering evidence that firms might not use pension expenses as a tool for earnings manipulation. Rather, firms appear to increase pension expense funding as a financial shock occurs but reduce during improving financial and economic conditions Classification-JEL: C22, G23 Keywords: Pension Expense, Financial Crisis, Time Series Journal: The International Journal of Business and Finance Research Pages: 29-38 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-3.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:29-38 Template-Type: ReDIF-Article 1.0 Author-Name: Freshia Mugo-Waweru Author-Name: Pauline Atieno Otieno Title: CASH DIVIDEND CHANGE ANNOUNCEMENT EFFECT ON SHARE PRICE RETURNS: EVIDENCE FROM NAIROBI SECURITIES EXCHANGE Abstract: Whether to pay dividends or not is a critical decision that every company must make. Conversely, whether to invest in a divided paying company is decision investors must consider. However, the relationship between dividend and share returns is not clear and how shareholders react to dividend increases or decreases is still a puzzle. This paper seeks to identify if cash dividend change announcements have any effect on share returns. It also examines whether stock price returns react the same to an increase and a decrease in dividend announced. Using daily closing prices from 2005-2012, the paper employs a 40-day event methodology to examine the reaction of share price returns to dividend change announcements before, during and after the event. Results show, dividend announcements have a significant effect on share price returns. Dividend decreases resulted in negative returns while dividend increases resulted in positive returns. Dividend decreases cause a larger decline in returns than an increase leads an increase in returns. Based on this evidence, dividend announcements have information content and hence dividend-paying companies listed in Nairobi Securities Exchange (NSE) should consider this before announcing a change in dividend Classification-JEL: G140 Keywords: Dividend Announcements, Share Prices, Abnormal Returns, Information Content Journal: The International Journal of Business and Finance Research Pages: 39-47 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-4.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:39-47 Template-Type: ReDIF-Article 1.0 Author-Name: Hsiu-Yun Chang Title: CREDIT RISK FACTORS DURING THE ASIAN AND GLOBAL FINANCIAL CRISES Abstract: This study measures the effects of specific credit risk factors of companies that defaulted during the Asian currency and global credit crises. Using Taiwanese listed companies’ data, the predictability of specific credit risk factors were discrepancies during these 2 crises. First, I captured variables from Altman’s (1968) Z-score model, a pioneer and notable model based on Accounting Data, from the Merton distance to default (DD) model, and from the naïve probability model-an alternative of the Merton DD model. The significance of the Z-score model variables are examined by applying the logit model. Furthermore, the forecasting ability of the logit model, Merton DD model, naïve probability, and the Taiwan corporate credit rating index are compared. The findings of this study indicate that the financial ratio of sales to total assets was the most crucial factor during the Asian financial crisis. Moreover, the ratio of retained earnings to total assets and the Merton DD were critical factors during the Global financial crisis. The predictability of the traditional logit model using the Z-score model variables performed well Classification-JEL: G00, G33, G39 Keywords: Credit Risk, Financial Crises, Logit Model, Merton Model, Z-Score Model Journal: The International Journal of Business and Finance Research Pages: 49-59 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-5.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:49-59 Template-Type: ReDIF-Article 1.0 Author-Name: Tai-Yuan Chen Author-Name: Ching-Hua Yu Author-Name: Lie-Jane Kao Title: WHY SHARE REPURCHASES ARE NOT A PANACEA FOR INCREASING SHARE PRICES Abstract: This research examines factors deteriorating share price performance before and after repurchase announcements. We find share price performance before announcements can be attributed to operating performance and agency problems. But, operating performance is the primary factor determining undervaluation. We also find that, regardless of whether firms are undervalued before repurchase announcements, those that experience negative abnormal returns after repurchase announcements have inferior operating performance and lower buyback premiums. Our regression analysis shows that an improvement in future operating profits determines prosperous share price performance after repurchase announcements. Lack of investment, or those made with agency problems, better explain poor share-price performance Classification-JEL: G35, G14 Keywords: Share Repurchase, Abnormal Returns, Operating Performance, Agency Problems Journal: The International Journal of Business and Finance Research Pages: 61-73 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-6.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:61-73 Template-Type: ReDIF-Article 1.0 Author-Name: Han-Ching Huang Author-Name: Hsiu-Hsin Chiu Title: LOT WINNING RATE AND THE CLASSIFICATION OF SEASONED EQUITY OFFERINGS: EVIDENCE FROM TAIWAN Abstract: This paper classifies two types of improved Season equity offerings (SEO) and regular SEO to investigate whether there are differential cumulative abnormal returns (CARs) around the announcement date of SEO in Taiwan. We find that regular SEO experiences negative CAR whereas improved SEO receive positive CAR during announcement period. The performance of regular SEO with large size firms and high B/M ratio is worse than that of improved SEO with small size firms and low B/M ratio Classification-JEL: G14, G32 Keywords: Seasoned Equity Offering (SEO), Regular SEO, Improved SEO Journal: The International Journal of Business and Finance Research Pages: 75-81 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-7.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:75-81 Template-Type: ReDIF-Article 1.0 Author-Name: George Maxwell Amoah Author-Name: Kofi Amoateng Title: INNOVATION ACCOUNTING OF TAX-REVENUE DRIVERS: COINTEGRATION EVIDENCE FROM GHANA Abstract: This study uses cointegration, and innovation accounting analysis to examine the volatility and extent of the short-term and long-term relationships between the drivers of tax revenues and tax revenues in Ghana from 1980 to 2011. The principal and consistent discovery from this study is that cocoa farmers’ tax (CFTAX) is the least volatile and import taxes (IMPTAX), is the most volatile in the observed period. The estimated cointegrating relationships identify at least two long-run vectors for the drivers of tax revenues. We also find that among the drivers of tax revenues, the cocoa farmers’ income taxes are the quickest to adjust to long-run equilibrium in the current year. The forecast error variance decompositions reveal that the cocoa farmers’ income taxes are the strongest endogenous of the VAR system driver of tax revenues, and that they play a dominant role in Ghanaian tax revenues in the observed period. The empirical evidence supports the descriptive statistics that cocoa farmers’ income tax revenues remain the largest and most reliable source of income for the Ghanaian economy. Since tax revenues from cocoa farmers continue to drop because of falling cocoa futures and low production, Ghanaian policymakers must diversify their taxrevenue drivers to include a sales tax on discretionary goods and services such as imported tobacco and imported alcohol. As tax revenue increase option has become elusive, the hardline option is to gradually eliminate government expenditures in the areas of colonial delicacies such as free fuel, chauffeurs for government officials (ministers and members of parliament etc), excessive per diems from the president to other government officials and many more, just to mention but few Classification-JEL: C32, F33, H6, O11, P51 Keywords: Cointegration; Innovation Accounting; VAR Models, Macro-Dynamics, Tax-Revenue Drivers, and Ghana Journal: The International Journal of Business and Finance Research Pages: 83-95 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-8.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:83-95 Template-Type: ReDIF-Article 1.0 Author-Name: Chung-Fu Lai Title: ANTI-DUMPING DUTIES AND MACROECONOMIC DYNAMICS IN A FIXED EXCHANGE RATE REGIME Abstract: This paper uses New Open Economy Macroeconomics with micro-foundation as an analytical framework integrates the characteristics of imperfect competition market and anti-dumping behavior into the twocountry (home country and foreign country) model. The goal is to discuss the dynamic effect on different macroeconomic variables (e.g. consumption, output, price) if the home country executes anti-dumping duties when foreign countries engage in dumping behaviors. Through theoretical inference and simulation analysis, this paper discovers that when the dumping margin is lower, the consumption and output will show the phenomenon of mis-adjustment, and the price will appear to be undershooting by an anti-dumping duty shock. When the dumping margin is higher, consumption will present undershooting, the output will appear to be overshooting, and the price will present mis-adjusting or undershooting by an anti-dumping duty shock Classification-JEL: F12, F13, F41 Keywords: This paper uses New Open Economy Macroeconomics with micro-foundation as an analytical framework integrates the characteristics of imperfect competition market and anti-dumping behavior into the twocountry (home country and foreign country) model. The goal is to discuss the dynamic effect on different macroeconomic variables (e.g. consumption, output, price) if the home country executes anti-dumping duties when foreign countries engage in dumping behaviors. Through theoretical inference and simulation analysis, this paper discovers that when the dumping margin is lower, the consumption and output will show the phenomenon of mis-adjustment, and the price will appear to be undershooting by an anti-dumping duty shock. When the dumping margin is higher, consumption will present undershooting, the output will appear to be overshooting, and the price will present mis-adjusting or undershooting by an anti-dumping duty shock Journal: The International Journal of Business and Finance Research Pages: 97-111 Volume: 10 Issue: 3 Year: 2016 File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v10n3-2016/IJBFR-V10N3-2016-9.pdf File-Format: Application/pdf Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:3:p:97-111