Template-Type: ReDIF-Article 1.0
Author-Name: Eduardo Sandoval
Author-Name: Arturo Vásquez
Title: THE EFFECT OF EXCHANGE RATE RISK ON THE CONDITIONAL RELATIONSHIP BETWEEN BETA RISK AND RETURN IN INTERNATIONAL EQUITY MARKETS
Abstract: The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted by several authors afterwards. The empirical results show evidence in international markets that are compatible with the PSM model and some international studies addressing returns that are unhedged against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, the conditional relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under unhedged returns in up-market months. A main business implication of the findings follows: international equity market administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world stock market conditions similar to those discussed throughout the paper.
Classification-JEL: G12, G15
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 1-118
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-1.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:1-18

Template-Type: ReDIF-Article 1.0
Author-Name: Meng-Fen Hsieh
Author-Name: Yu-Tai Yang
Author-Name: Tam Bang Vu
Title: DO HERDING BEHAVIOR AND POSITIVE FEEDBACK EFFECTS INFLUENCE CAPITAL INFLOWS? EVIDENCE FROM ASIA AND LATIN AMERICA
Abstract: A considerable amount of research has focused on herding behavior vis-à-vis international capital, either by focusing on theory or by applying simple statistical analyses, but most studies have ignored factors that trigger international capital inflows. In essence, any connection between theory and empirical evidence has not been validated. In this paper, we test two primary drivers of capital inflows to emerging markets, namely herding behavior and positive feedback effects. Data from Asia and Latin America are used for our empirical study. There is significant evidence of positive feedback and herding behavior in
both stable and highly volatile countries.
Classification-JEL: F21, G11, G15
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 19-34
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-2.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:19-34

Template-Type: ReDIF-Article 1.0
Author-Name: Bala Arshanapalli
Author-Name: William Nelson
Title: A COINTEGRATION TEST TO VERIFY THE HOUSING BUBBLE
Abstract: Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to substantiate the presence of a housing bubble. The paper finds the statistical evidence consistent with the presence of a housing bubble in the period 2000-2007Q3 and not the underlying economic conditions.
Classification-JEL: C53, G12, G18
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 35-43
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-3.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:34-43

Template-Type: ReDIF-Article 1.0
Author-Name: Lynda S. Livingston
Title: IS THREE A CROWD? CONSIDERING THE VALUE OF MANAGER DIVERSIFICATION FOR ADDING ALPHA
Abstract: Creating a portfolio that consistently generates alpha—market-adjusted abnormal returns—is the holy grail of active management. Given that excess returns can come both from manager skill and from luck, some advocates of active management suggest that active funds should be combined into diversified portfolios, eliminating all but pure active risk and thereby optimizing the risk/return trade-off. In this paper, we present a simple model of such a diversified portfolio, and show that under certain conditions a portfolio manager actually would be better off by not diversifying.
Classification-JEL: G11
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 45-62
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-4.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:45-62

Template-Type: ReDIF-Article 1.0
Author-Name: Roshaiza Taha
Author-Name: Nanthakumar Loganathan
Title: CAUSALITY BETWEEN TAX REVENUE AND GOVERNMENT SPENDING IN MALAYSIA
Abstract: The trend of tax collection in Malaysia is inconsistent, changing upward and downward depending upon economic conditions. However, over a 30 year period, most years show an increasing increment in total collection. The exceptions are when there is an abnormal economic condition such as financial crisis,
war or increase in world oil prices. Total tax revenue has always been a major contribution to Malaysia’s federal government revenue. Income tax is one of the surest ways to fund the government. The main objective of this study is empirically tests the causality between tax revenues and government spending in Malaysia for the past 36 years by applying an econometrics model. The results provide evidence for the existence of a long-run relationship between tax revenues and government spending with
unidirectional and bidirectional causality in VAR models for the sample period 1970-2006.
Classification-JEL: C01, H20, H59
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 63-73
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-5.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:63-73

Template-Type: ReDIF-Article 1.0
Author-Name: Rafiu Oyesola Salawu
Author-Name: Akinlolu Ayodeji Agboola
Title: THE DETERMINANTS OF CAPITAL STRUCTURE OF LARGE NON-FINANCIAL LISTED FIRMS IN NIGERIA
Abstract: This paper examines capital structure determinants of non-financial firms in Nigeria using a panel of 33 large firms. Statistical tests are performed for the period 1990-2004. The results reveal that profitability, tangibility and company size are positively related to total debt and long-term debt, and growth opportunities are negatively associated with total debt. The empirical results indicate that the financing decisions of large firms in Nigeria can be explained by the determinants suggested by trade-off theory.
Classification-JEL: G31, G32
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 75-84
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-6.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:75-84

Template-Type: ReDIF-Article 1.0
Author-Name: Chin-Lin Chuang
Author-Name: Dar-Hsin Chen
Author-Name: Chung-Hsien Su
Title: REEXAMINING THE EXPIRATION DAY EFFECTS OF STOCK INDEX DERIVATIVES: EVIDENCE FROM TAIWAN
Abstract: This study examines whether the expiration of derivative contracts affects the underlying spot assets in Taiwan. The expiration effect refers to abnormal return, price reversal, abnormal return volatility, and abnormal volume in underlying spot stock markets as derivatives contracts expire. Due to the unique settlement procedure in the Taiwan Futures Exchange, this study also examines if the expiration effects occur on the settlement day which is the next business day after the expiration day. Our empirical results indicate that expiration day effects do exist in Taiwan. However, the more pronounced expiration day effect occurs on the settlement day due to the unique settlement mechanism in Taiwan. This paper also investigates the expiration effect of MSCI Taiwan Stock Index Futures traded on the Singapore Exchange, which also uses Taiwan’s stock market as the underlying asset. The results indicate that as SGXTW expires, there are also expiration effects such as abnormal return, abnormal return volatility, and abnormal volume in the Taiwan spot market.
Classification-JEL: G14, G18, G19
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 85-105
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-7.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:85-105

Template-Type: ReDIF-Article 1.0
Author-Name: Fredj Jawadi
Author-Name: Mohamed El Hédi Arouri
Title: ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?
Abstract: Within a nonlinear framework, this article studies the market integration hypothesis between the French and American stock markets, on a short- and long-term basis. We use two nonlinear Error Correction Models (ECM): the Exponential Switching Transition ECM (ESTECM) and the nonlinear ECM-Rational Polynomial (NECM-RP). Our results provide strong evidence of integration between French and American stock markets. They show that the stock market integration process is non-linear and timevarying and that it has strengthened over time.
Classification-JEL: C22, G15
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 107-116
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-8.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:107-116

Template-Type: ReDIF-Article 1.0
Author-Name: Bilge Kagan Ozdemir
Title: INVESTIGATING THE INFLUENCE OF COUNTRY CREDIBILITY ON THE CHANCE OF CURRENCY CRISIS
Abstract: This paper deals with the relationship between country credibility and currency crises by using crosscountry pooled data with a multinomial logit model. We use Corruption Perception Index (CPI) published by Transparency International, which is a global non-governmental organization devoted to combating corruption, as a proxy for country credibility. The main findings from the multinomial logit models indicate that country credibility has a significant influence on currency crisis. The applied corruption index is statistically significant. Negative coefficients on this index prove a relationship between country corruption and the likelihood of currency crisis. Moreover, marginal effects of corruption index are high in relation to marginal effects of other explanatory variables. These results suggest that approaching currency crisis should capture country corruption itself or any other proxy of country prestige.
Classification-JEL: E51,F31, G18
Keywords:
Journal: The International Journal of Business and Finance Research
Pages: 117-126
Volume:2
Issue: 2
Year: 2008
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-9.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:117-126