Template-Type: ReDIF-Article 1.0
Author-Name: Islam Azzam
Author-Name: Jasmin Fouad
Title: EVALUATION OF THE IMPACT OF DAY TRADING ON THE EGYPTIAN STOCK MARKET
Abstract: This paper investigates the effect of the introduction of day trading on the Egyptian stock market. We applied a GARCH (1, 1)–GED model on daily returns and volumes of 41 companies listed in the Egyptian Stock market for the period from 2004 to 2008. The results suggest that day trading decreases ex-post return, and ex-post and ex-ante risk. We also find no significant change in the coefficient of variation, which indicates that the return-to-risk relationship remains unchanged. The results of the paper further indicate that the introduction of day trading has no significant effect on the volatility clustering, volatility persistence, arrival of information and the liquidity of the market.
Classification-JEL: C22; G11; G15
Keywords: GARCH; volatility clustering; day trading
Journal: The International Journal of Business and Finance Research
Pages: 1-21 
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-1.pdf
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Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:1-21


Template-Type: ReDIF-Article 1.0
Author-Name: E. M. Ekanayake 
Author-Name: John R. Ledgerwood
Author-Name: Sabrina D’Souza
Title: THE REAL EXCHANGE RATE VOLATILITY AND U.S. EXPORTS: AN EMPIRICAL INVESTIGATION
Abstract: This paper investigates effects of exchange rate volatility on U.S. exports, using disaggregated sectoral data on U.S. exports to its major trading partners. In this paper, we use a generalized ARCH-type model (GARCH) to generate a measure of exchange rate volatility which is then tested in a model of U.S. exports. The analysis uses monthly trade data for the period from January 1990 through December 2007. Testing sectoral trade data allows us to detect whether the direction or magnitude of the impact of volatility differs depending on the types of goods that are traded. The results obtained in this paper suggest that the increase in the volatility of exchange rate exert a negative effect upon export demand in majority of the products: the study finds evidence for significant negative effects in six of ten export products, and significant positive effects in four products.
Classification-JEL: F14, F31
Keywords: exchange rate volatility, U.S. Exports, Real exchange rate
Journal: The International Journal of Business and Finance Research
Pages: 23-35
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-2.pdf
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Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:23-35


Template-Type: ReDIF-Article 1.0
Author-Name: Howard Qi
Author-Name: Yan Alice Xie
Author-Name: Sheen Liu
Title: CREDIT RISK MODELS: AN ANALYSIS OF DEFAULT CORRELATION
Abstract: This paper examines one of the major problems in credit risk models widely used in the financial industry to forecast future defaults and bankruptcies. We find that even after proper calibration, a representative credit risk model can severely underestimate default correlation. We further find that a likely reason for the underestimation of default correlation is the problematic common practice in the financial industry of using observable equity correlation as a proxy for unobservable asset correlation when the model is applied to predict default correlation. However, our results show that this proxy in common practice is not valid.
Classification-JEL: G01; G21; G31
Keywords: Credit risk model, default correlation, model risk, financial crisis
Journal: The International Journal of Business and Finance Research
Pages: 37-49
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-3.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:37-49


Template-Type: ReDIF-Article 1.0
Author-Name: Hussein Ali Khasharmeh
Author-Name: Khaled Aljifri
Title: THE TIMELINESS OF ANNUAL REPORTS IN BAHRAIN AND THE UNITED ARAB EMIRATES: AN EMPIRICAL COMPARATIVE STUDY
Abstract: The main purpose of this study is to examine empirically the determinants of audit delay in two developing countries, the UAE and Bahrain. This study utilizes a sample of 83 firms using the accounting and market data available for 2004. The sample firms are all listed in either the UAE or Bahraini Stock Markets. Cross-sectional regression analysis is employed to test the hypotheses of the study. The results of this study show that four variables (profitability, debt ratio, sector type, and dividend payout ratio) examined in Bahrain appear to have a strong influence on the timeliness of annual reports (audit delay). However, another three variables (audit type, firm size, and price earnings ratio) are found to have a weak effect on the audit delay. In the UAE, the study concludes that two variables (debt ratio and audit type) appear to have a strong influence on audit delay, while the other variables were found not to have a significant effect on it. These results may help users of financial information to assess the impact of such variables on improving the timeliness of annual reports.
Classification-JEL: M4, M41, M42
Keywords: audit delay, United Arab Emirates, Bahrain, timeliness, annual reports, firm size, sector type, audit type, debt ratio, profitability, price earnings ratio, dividend payout ratio
Journal: The International Journal of Business and Finance Research
Pages: 51-71
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-4.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:51-71


Template-Type: ReDIF-Article 1.0
Author-Name: John Shon
Author-Name: Ping Zhou
Title: CAN MISPRICING OF ASSET GROWTH EXPLAIN THE ACCRUALS ANOMALY?
Abstract: Recent research suggests that the mispricing of asset growth can explain the accruals anomaly. We reexamine this issue by focusing on the role of accounting manipulations in stock mispricing. Specifically, we hypothesize that accounting manipulations are at the root of the accruals anomaly but play an insignificant role in the asset growth anomaly. Our large sample results strongly support our hypothesis, suggesting that investors can benefit from exploiting both anomalies instead of one.
Classification-JEL: G10, M4
Keywords: Accruals anomaly, growth anomaly, value-glamour, growth in long-term net operating assets
Journal: The International Journal of Business and Finance Research
Pages: 73-83
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-5.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:73-83


Template-Type: ReDIF-Article 1.0
Author-Name: Erie Febrian
Author-Name: Aldrin Herwany
Title: THE PERFORMANCE OF ASSET PRICING MODELS BEFORE, DURING, AND AFTER AN EMERGING MARKET FINANCIAL CRISIS: EVIDENCE FROM INDONESIA
Abstract: Due to the dynamic nature of stock market risk and return measurement, financial practitioners and academics are continuously concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent Asian financial crises years stimulates additional challenges to the discipline. This paper investigates the ability of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in explaining excess returns of portfolios of stocks traded on the Jakarta Stock Exchange (JKSE). The study assesses the theories using data from 3 different periods: the pre-crisis period (1992-1997), the crisis period (1997-2001), and the post-crisis period (2001-2007). Our finding show that Beta does not single handedly explain portfolio excess returns. The, APT is able to explain the portfolio excess returns in the observation periods were excess return averages are found to be consistently negative. We also find that spread between the central bank rate and commercial bank rate is a constantly significant variable, while risk-premiums vary over the observation periods.
Classification-JEL: G12
Keywords: CAPM, APT, Financial Crisis
Journal: The International Journal of Business and Finance Research
Pages: 85-97
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-6.pdf
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Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:85-97


Template-Type: ReDIF-Article 1.0
Author-Name: Dialdin Osman
Author-Name: Elsaudi Mohammed
Title: DIVIDEND POLICY IN SAUDI ARABIA
Abstract: We examine dividend policy in a unique environment in Saudi Arabia, where (1) firms distribute almost 100% of their profits in dividends, (2) firms are highly levered mainly through bank loans, and (3) there are no income or capital gains taxes. Some common factors that affect dividend policy of both financial
and non-financial firms, we found some factors that affect only non-financial firms. In particular, the common factors are profitability, size, and business risk. Government ownership, lavergae, and age have a significant impact on the dividend policy of non-financial firms but no effect on financial firms. Our results also show that agency costs are not a critical driver of dividend policy of Saudi firms. We also find that the factors that influence the probability to pay dividends are the same factors that drive the amount of dividends paid for both financial and non-financial firms.
Classification-JEL: G35
Keywords: Dividends, Saudi Arabia
Journal: The International Journal of Business and Finance Research
Pages: 99-113
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-7.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:99-113


Template-Type: ReDIF-Article 1.0
Author-Name: Trang Nha Le
Author-Name: Makoto Kakinaka
Title: INTERNATIONAL TRANSMISSION OF STOCK RETURNS: MEAN AND VOLATILITY SPILLOVER EFFECTS IN INDONESIA AND MALAYSIA
Abstract: This paper examines the mean return and volatility spillover effects from the three influential stock markets of the US, Japan, and China to the two emerging stock markets of Indonesia and Malaysia over the sample period from 2005 to 2007. By analyzing GARCH models, we verify that there are significant mean spillover effects from the three major markets to the two emerging markets. The magnitude of the mean spillover from the US market is the most significant compared to the Japanese and Chinese markets. This would be consistent with the conventional wisdom in which the US market is believed to be the most influential market in the world. In terms of the volatility spillover, the empirical results reveal that the US market is more influential to Indonesia, but less to Malaysia, and recently growing Chinese market has a significant influence to both of the two emerging markets.
Classification-JEL: F36; G15
Keywords: Indonesian and Malaysian stock markets; mean and volatility spillover effects
Journal: The International Journal of Business and Finance Research
Pages: 115-131
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-8.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:115-131


Template-Type: ReDIF-Article 1.0
Author-Name: Andre Paul Lamberto
Author-Name: Subhrendu Rath
Title: THE SURVIVAL OF INITIAL PUBLIC OFFERINGS IN AUSTRALIA
Abstract: This paper examines the survival of Australian initial public offerings (IPOs). The Cox proportional hazards model is used to test the value of the information available at the time of listing and whether this information foreshadows the likelihood of survival or failure of an IPO. The number of risk factors listed in the prospectus and the size of the firm are found to be negatively related to survival of the firm. The size of the offering and the forecast dividend yield are found to be positively related to firm survival. The likelihood of survival is also found to vary with industry and firms in the finance and natural resources industries are more likely to survive than firms in other industries.
Classification-JEL: J23
Keywords: Survival analysis, Cox proportional hazards model, IPO, Australia
Journal: The International Journal of Business and Finance Research
Pages: 133-147
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-9.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:133-147


Template-Type: ReDIF-Article 1.0
Author-Name: Birol Yildiz
Author-Name: Ari Yezegel
Title: FUNDAMENTAL ANALYSIS WITH ARTIFICIAL NEURAL NETWORK
Abstract: This study performs fundamental analysis and cross-sectional prediction of stock return with neural network technology. Eighteen financial ratios are used as the input vector and one-year ahead stock returns are used as the output vector. The fundamental analysis trading strategy generated by artificial neural networks yields an average annual abnormal return of 22.32% after controlling for market risk, book-to-market, size and momentum effects. Our results highlight neural network’s ability to predict future returns in NYSE/AMEX/Nasdaq securities for the period 1990-2005. Artificial neural network technology stands out as a valuable tool for fundamental analysis and forecasting equity returns in the U.S. markets.
Classification-JEL: G11; M41; C45
Keywords: Fundamental Analysis, Stock Market, Neural Network
Journal: The International Journal of Business and Finance Research
Pages: 149-158
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-10.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:149-158


Template-Type: ReDIF-Article 1.0
Author-Name: Her-Jiun Sheu
Author-Name: Yang-Cheng Lu
Author-Name: Yu-Chen Wei
Title: CAUSALITIES BETWEEN SENTIMENT INDICATORS AND STOCK MARKET RETURNS UNDER DIFFERENT MARKET SCENARIOS
Abstract: This paper investigates the causal relationships between sentiment and returns under different market scenarios. In contrast to previous studies that subjectively identify the bullish and bearish markets, we apply a threshold model to detect the extreme level of investors’ sentiment econometrically. The empirical results show that most of the sentiment measures exhibit a feedback relationship with returns while ignoring different market states. However, sentiment could be a leading indicator if the higher or lower levels of sentiments were to be distinguished. Among them, the bullish/bearish indicator of ARMS, which is named after its creator, Richard Arms (1989), is a leading indicator if the market is more bearish (in the higher regime). Otherwise, the leading effect of the derivatives market sentiment indicators (the put-call trading volume and option volatility index) is discovered if the market is more bullish (in the lower regime). Our empirical findings further confirm the noise trader explanation that the causal direction would run from investors’ sentiment to market behavior.
Classification-JEL: C32; G10
Keywords: Investor sentiment, Stock market returns, Granger causality, threshold model
Journal: The International Journal of Business and Finance Research
Pages: 159-171
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-11.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:159-171


Template-Type: ReDIF-Article 1.0
Author-Name: Shuzhang Sun
Author-Name: Christopher Gan
Author-Name: Baiding Hu
Title: THE EFFECTS OF SHORT-TERM INTEREST RATES ON OUTPUT, PRICE AND EXCHANGE RATES: RECENT EVIDENCE FROM CHINA
Abstract: This paper utilizes VAR techniques to examine the relationship between a policy related variable and selected macro-variables in China. Johansen’s cointegration tests fail to find a moving equilibrium among the related variables. Based on a VAR model in first differences, we find that an unexpected temporary one-off shock to the change in the seven-day money market interbank borrowing rate does not have significant influence on GDP changes but a significant influence on price level changes in a wrong direction. Empirical testing demonstrates that the seven-day Repo rate has an insignificant influence on both GDP changes and on the price level changes. Furthermore, the relationships between monetary aggregate (M2) and short-run money market interest rates suggest that the short-run interest rates do not have significant influence on the monetary aggregate. Therefore, we have determined that short-run money market interest rates are ineffective as a monetary policy-operating objective.
Classification-JEL: E4, E5, E6
Keywords: monetary, money, macroeconomic policy
Journal: The International Journal of Business and Finance Research
Pages: 173-191
Volume:4
Issue: 1
Year: 2010
File-URL: http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v4n1-2010/IJBFR-V4N1-2010-12.pdf
File-Format: Application/pdf
Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:173-191