Pub Date : 2023-04-06DOI: 10.1108/jcms-06-2022-0024
Arlindo Menezes da Costa Neto, Atelmo Ferreira de Oliveira, A. T. M. C. Silva, A. Barbosa
PurposeThe objective of the present study is to examine the value relevance of accounting information presented by Brazilian banks.Design/methodology/approachThe studied sample derived from Brazil’s Stock Exchange, B3, under the banking segment, resulting in a group of 24 publicly listed companies, whose data ranged from 2017 to 2019. The study was conducted using the disclosure index, made with the intent of evaluating the disclosure adherence of a company to the reporting standard. In this case, Comitê de Pronunciamentos Contábeis (CPC) 40, financial instruments: recognition, evaluation and disclosure, Instrumentos Financeiros: Evidenciação, Brazil’s interpretation of the International Financial Reporting Standards (IFRS) 7.FindingsThe results show that for the sample and period, the disclosure index cannot be used as an explanatory variable for the market evaluation of financial institutions.Originality/valueWhile other studies have presented a similar approach to the value-relevance theme, the present work is original as it develops the methodology on financial institutions, and even more so on the financial institutions of a developing country.
本研究的目的是检验巴西银行提供的会计信息的价值相关性。设计/方法/方法研究样本来自巴西证券交易所B3，银行部门，共有24家上市公司，其数据范围为2017年至2019年。本研究使用披露指数进行，旨在评估公司对报告标准的披露遵守情况。在这种情况下，Comitê de declaramentos Contábeis (CPC) 40，金融工具:确认、评价和披露，金融工具:证据，巴西对国际财务报告准则(IFRS)的解释7。结果表明，就样本和时期而言，披露指数不能作为金融机构市场评价的解释变量。原创性/价值虽然其他研究对价值相关主题提出了类似的方法，但目前的工作是原创的，因为它开发了金融机构的方法，尤其是发展中国家的金融机构。
{"title":"Value relevance of financial risk disclosures","authors":"Arlindo Menezes da Costa Neto, Atelmo Ferreira de Oliveira, A. T. M. C. Silva, A. Barbosa","doi":"10.1108/jcms-06-2022-0024","DOIUrl":"https://doi.org/10.1108/jcms-06-2022-0024","url":null,"abstract":"PurposeThe objective of the present study is to examine the value relevance of accounting information presented by Brazilian banks.Design/methodology/approachThe studied sample derived from Brazil’s Stock Exchange, B3, under the banking segment, resulting in a group of 24 publicly listed companies, whose data ranged from 2017 to 2019. The study was conducted using the disclosure index, made with the intent of evaluating the disclosure adherence of a company to the reporting standard. In this case, Comitê de Pronunciamentos Contábeis (CPC) 40, financial instruments: recognition, evaluation and disclosure, Instrumentos Financeiros: Evidenciação, Brazil’s interpretation of the International Financial Reporting Standards (IFRS) 7.FindingsThe results show that for the sample and period, the disclosure index cannot be used as an explanatory variable for the market evaluation of financial institutions.Originality/valueWhile other studies have presented a similar approach to the value-relevance theme, the present work is original as it develops the methodology on financial institutions, and even more so on the financial institutions of a developing country.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"310 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122560508","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-04-03DOI: 10.1108/jcms-12-2022-0046
Özgür İcan, T. Çelik
PurposeThe economic and administrative conditions of countries normatively have an effect on the economy and level of market development. Moreover, it is of great importance for a healthy economy whether the public institutions and organizations are transparent and functioning in accordance with their purpose. The aim of this study is to show whether there is a relationship between transparency and market efficiency.Design/methodology/approachCorrelation analysis has been conducted between prediction accuracy rates, which are obtained by seven different machine learning algorithms and Corruption Perception Index (CPI) levels.FindingsIt has been statistically shown that the indices of countries with low corruption levels are harder to predict, which, in turn, can be interpreted as having higher weak-form market efficiency. According to that, an intermediate negative correlation has been found between CPI scores and predictability levels of stock indices. Considering the findings, it can be interpreted that the markets of countries with relatively more transparent and well-functioning public sector have more weak-form market efficiency.Research limitations/implicationsThe study can be extended with cutting-edge machine learning and deep learning techniques in future studies. There are very few studies which try to explain factors related to market efficiency. Thus, the authors claim that there is still room for further research in order to determine the factors related to market efficiency, implying that current literature is still far from explaining the causation behind the inefficiencies.Practical implicationsAccording to findings, the markets of countries with relatively more transparent and well-functioning public sector have more weak-form market efficiency. Based on these findings, in practice, it can be said that more successful predictions can be made using machine learning algorithms in countries with relatively lower CPI scores.Originality/valueIn literature, the factors related to market efficiency are still far from explaining the causation behind the inefficiencies. Thus, it has been investigated whether transparent and well-functioning public institutions and organizations have any relation with market efficiency.
{"title":"Weak-form market efficiency and corruption: a cross-country comparative analysis","authors":"Özgür İcan, T. Çelik","doi":"10.1108/jcms-12-2022-0046","DOIUrl":"https://doi.org/10.1108/jcms-12-2022-0046","url":null,"abstract":"PurposeThe economic and administrative conditions of countries normatively have an effect on the economy and level of market development. Moreover, it is of great importance for a healthy economy whether the public institutions and organizations are transparent and functioning in accordance with their purpose. The aim of this study is to show whether there is a relationship between transparency and market efficiency.Design/methodology/approachCorrelation analysis has been conducted between prediction accuracy rates, which are obtained by seven different machine learning algorithms and Corruption Perception Index (CPI) levels.FindingsIt has been statistically shown that the indices of countries with low corruption levels are harder to predict, which, in turn, can be interpreted as having higher weak-form market efficiency. According to that, an intermediate negative correlation has been found between CPI scores and predictability levels of stock indices. Considering the findings, it can be interpreted that the markets of countries with relatively more transparent and well-functioning public sector have more weak-form market efficiency.Research limitations/implicationsThe study can be extended with cutting-edge machine learning and deep learning techniques in future studies. There are very few studies which try to explain factors related to market efficiency. Thus, the authors claim that there is still room for further research in order to determine the factors related to market efficiency, implying that current literature is still far from explaining the causation behind the inefficiencies.Practical implicationsAccording to findings, the markets of countries with relatively more transparent and well-functioning public sector have more weak-form market efficiency. Based on these findings, in practice, it can be said that more successful predictions can be made using machine learning algorithms in countries with relatively lower CPI scores.Originality/valueIn literature, the factors related to market efficiency are still far from explaining the causation behind the inefficiencies. Thus, it has been investigated whether transparent and well-functioning public institutions and organizations have any relation with market efficiency.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130873752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-02-02DOI: 10.1108/jcms-07-2022-0025
Xian Wang, Yijian Zhao, Qingyi Wang, Hu Yixing, Gabedava George
PurposeThis paper focuses on the orientation of the economy expressed in the communication of the Central Economic Work Conference (CEWC) of China and its relation with the stock market. This study seeks to explore which orientation of the economy may have a stronger impact on the rise of the stock market. It proposes words connoting orientation of the economy (WOE) that is closely related to the stock market, and different WOE has different impacts on the stock market in terms of intensity. The study aims to provide investors with better investment strategies by identifying the stronger developmental WOE.Design/methodology/approachThe paper opted for an exploratory study using the textual analysis approach, based on a corpus of 28 CEWC communications spanning from 1994 to 2021. The raw corpus amounted to 50,754 words in total that are treated with noise reduction method and record an effective corpus of 39,591.FindingsThe paper provides empirical insights into the close relationship of the WOE of the CEWC to the stock market, and different WOE has different impacts on the stock market in terms of intensity. It suggests that WOE connoting development may forecast a rising stock market if it is nearly 40% higher than the other two WOEs by impact index.Research limitations/implicationsAs WOE is only proven in the CEWC, this paper has its limitations in the scope of samples. It is necessary to apply WOE to more Central Bank communication (CBC) and countries. It is desirable to apply the Gunning–Fog index.Practical implicationsThe paper includes implications for investors to read out the orientation of the economy and the degree of different WOEs. Investors are keener to know “what” degree of the CEWC leads to the rise/fall of the stock market. The impact index can be an indicator of a tendency of the stock market, which upgrades the rationality of investment decisions.Social implicationsThis paper fulfills words connoting the orientation of economy as an identified linguistic feature, which the impact of CEWC on stockmarket can be measured.Originality/valuePrevious academic research studies mostly focus on the impact on stock market from the language features of CBC, rather than that from the more influential body, CEWC communication. This study seeks to provide the relationship of CEWC communication and the time length of the impact on the stock prices.
{"title":"Does the Centrual Economic Work Conference (CEWC) affect the stock market?","authors":"Xian Wang, Yijian Zhao, Qingyi Wang, Hu Yixing, Gabedava George","doi":"10.1108/jcms-07-2022-0025","DOIUrl":"https://doi.org/10.1108/jcms-07-2022-0025","url":null,"abstract":"PurposeThis paper focuses on the orientation of the economy expressed in the communication of the Central Economic Work Conference (CEWC) of China and its relation with the stock market. This study seeks to explore which orientation of the economy may have a stronger impact on the rise of the stock market. It proposes words connoting orientation of the economy (WOE) that is closely related to the stock market, and different WOE has different impacts on the stock market in terms of intensity. The study aims to provide investors with better investment strategies by identifying the stronger developmental WOE.Design/methodology/approachThe paper opted for an exploratory study using the textual analysis approach, based on a corpus of 28 CEWC communications spanning from 1994 to 2021. The raw corpus amounted to 50,754 words in total that are treated with noise reduction method and record an effective corpus of 39,591.FindingsThe paper provides empirical insights into the close relationship of the WOE of the CEWC to the stock market, and different WOE has different impacts on the stock market in terms of intensity. It suggests that WOE connoting development may forecast a rising stock market if it is nearly 40% higher than the other two WOEs by impact index.Research limitations/implicationsAs WOE is only proven in the CEWC, this paper has its limitations in the scope of samples. It is necessary to apply WOE to more Central Bank communication (CBC) and countries. It is desirable to apply the Gunning–Fog index.Practical implicationsThe paper includes implications for investors to read out the orientation of the economy and the degree of different WOEs. Investors are keener to know “what” degree of the CEWC leads to the rise/fall of the stock market. The impact index can be an indicator of a tendency of the stock market, which upgrades the rationality of investment decisions.Social implicationsThis paper fulfills words connoting the orientation of economy as an identified linguistic feature, which the impact of CEWC on stockmarket can be measured.Originality/valuePrevious academic research studies mostly focus on the impact on stock market from the language features of CBC, rather than that from the more influential body, CEWC communication. This study seeks to provide the relationship of CEWC communication and the time length of the impact on the stock prices.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122032186","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-11-03DOI: 10.1108/jcms-08-2022-0033
Tetsuya Kirihata
PurposeThis study aims to analyze the contribution of business angels (BAs), defined as wealthy individuals who provide risk capital to entrepreneurial firms without family connections, in Estonia, an emerging country in Eastern Europe.Design/methodology/approachThis study compared the data of the financial and non-financial performance of BA-backed firms with that of “twin” non-BA-backed firms, extracted from all Estonian unlisted firms using propensity score matching.FindingsThe results of the comparative analysis showed that BAs were patient enough to allow their investees to spend for future growth rather than squeezing profit from increased sales. This is not patience without options for a BA in a situation in which the investee's sales are deteriorating, but rather deliberate patience in the presence of options for a BA where the investee's sales growth is increasing, contrary to conventional investor behavioral principles. It also showed that BAs' post-investment involvement did not make a direct contribution to their investees' sales, although BAs contributed to the sales increase through BA funding itself.Originality/valueThis study has two unique research contributions. First, it shows that the patience of BAs was not a by-product but was intentional, and adds to the debate on whether BAs are patient investors. Second, there are only a few studies on the contribution of BAs to their investees in emerging countries; this study aims to help fill this research gap using the case of Estonia.
{"title":"Contribution of business angel investments: evidence from Estonia","authors":"Tetsuya Kirihata","doi":"10.1108/jcms-08-2022-0033","DOIUrl":"https://doi.org/10.1108/jcms-08-2022-0033","url":null,"abstract":"PurposeThis study aims to analyze the contribution of business angels (BAs), defined as wealthy individuals who provide risk capital to entrepreneurial firms without family connections, in Estonia, an emerging country in Eastern Europe.Design/methodology/approachThis study compared the data of the financial and non-financial performance of BA-backed firms with that of “twin” non-BA-backed firms, extracted from all Estonian unlisted firms using propensity score matching.FindingsThe results of the comparative analysis showed that BAs were patient enough to allow their investees to spend for future growth rather than squeezing profit from increased sales. This is not patience without options for a BA in a situation in which the investee's sales are deteriorating, but rather deliberate patience in the presence of options for a BA where the investee's sales growth is increasing, contrary to conventional investor behavioral principles. It also showed that BAs' post-investment involvement did not make a direct contribution to their investees' sales, although BAs contributed to the sales increase through BA funding itself.Originality/valueThis study has two unique research contributions. First, it shows that the patience of BAs was not a by-product but was intentional, and adds to the debate on whether BAs are patient investors. Second, there are only a few studies on the contribution of BAs to their investees in emerging countries; this study aims to help fill this research gap using the case of Estonia.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128253221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-11-02DOI: 10.1108/jcms-06-2022-0022
Sotirios Rouvolis
PurposeTesting a total of five hypotheses, the paper contributes to overall comparison of the two regimes, as it scrutinises whether these improvements have helped regulate this sector. Although it appears that, for the first time, International Financial Reporting Standards (IFRS) had a more timely effect than US Generally Accepted Accounting Principles (GAAP), multiple parameters must be taken into consideration. The banking system has additional rules that may affect financial statements, such as the Basel Accord which sets many policies closely related to the IFRS, such as deferred tax credits. In this way, this paper aim to enrich the results of these decisions, and illuminate aspects of amendments to IFRS and US GAAP in light of the crisis. Focussing on the financial sector, the author sought to critically evaluate their reactions, and to question some of their fundamental rules in practice. This is vital for accounting researchers and analysts, allowing for the first time to compare IFRS performance between Europe and the US, and make better investment evaluations.Design/methodology/approachThe study sought to detect whether IFRS and US GAAP protected firms from abnormal sales arising from the outbreak of the crisis, whether the reclassification option under IFRS was an answer to the crisis, and whether IFRS and US GAAP succeeded in regulating shadow banking through their amendments. Therefore, it processes five hypotheses. In order to detect the effects of the crisis on accounting regimes, the analysis focused only on companies from the financial sector composed of the banking industry, insurance companies and shadow banking. The author included firms from Australia, Germany, Greece, the UK and the US, and collected information on 679 financial institutions for the period 2009–2013. The author settled on these time frames because the author aimed to capture IFRS performance surrounding the crisis effects in 2008 and the amendments that followed. In this way, the author applied quantitative methods using only numerical data over a given period.FindingsThe results suggest that the reclassification option was successful, helping firms to perform better amid the crisis, indicating that the manipulation of the crisis was appropriate. It seems therefore that US GAAP should have activated this option for US firms. However, the US may not have hurried to act because its banking sector seemed to recover more quickly than in Australia and Europe. Either way, both regimes need to consider speculative market cases that might have appeared during the crisis, as the author have detected cases of abnormal returns. Finally, concerning regulation of the shadow banking sector, the results seem to be encouraging only with regard to the latest improvements and only for all countries examined.Originality/valueThe project contributes to debate on the reactions of both IFRS and US GAAP during and after the economic crisis. For this, it addresses several questio
{"title":"Financial sector and outbreak of the economic crisis in 2008: IFRS versus US GAAP","authors":"Sotirios Rouvolis","doi":"10.1108/jcms-06-2022-0022","DOIUrl":"https://doi.org/10.1108/jcms-06-2022-0022","url":null,"abstract":"PurposeTesting a total of five hypotheses, the paper contributes to overall comparison of the two regimes, as it scrutinises whether these improvements have helped regulate this sector. Although it appears that, for the first time, International Financial Reporting Standards (IFRS) had a more timely effect than US Generally Accepted Accounting Principles (GAAP), multiple parameters must be taken into consideration. The banking system has additional rules that may affect financial statements, such as the Basel Accord which sets many policies closely related to the IFRS, such as deferred tax credits. In this way, this paper aim to enrich the results of these decisions, and illuminate aspects of amendments to IFRS and US GAAP in light of the crisis. Focussing on the financial sector, the author sought to critically evaluate their reactions, and to question some of their fundamental rules in practice. This is vital for accounting researchers and analysts, allowing for the first time to compare IFRS performance between Europe and the US, and make better investment evaluations.Design/methodology/approachThe study sought to detect whether IFRS and US GAAP protected firms from abnormal sales arising from the outbreak of the crisis, whether the reclassification option under IFRS was an answer to the crisis, and whether IFRS and US GAAP succeeded in regulating shadow banking through their amendments. Therefore, it processes five hypotheses. In order to detect the effects of the crisis on accounting regimes, the analysis focused only on companies from the financial sector composed of the banking industry, insurance companies and shadow banking. The author included firms from Australia, Germany, Greece, the UK and the US, and collected information on 679 financial institutions for the period 2009–2013. The author settled on these time frames because the author aimed to capture IFRS performance surrounding the crisis effects in 2008 and the amendments that followed. In this way, the author applied quantitative methods using only numerical data over a given period.FindingsThe results suggest that the reclassification option was successful, helping firms to perform better amid the crisis, indicating that the manipulation of the crisis was appropriate. It seems therefore that US GAAP should have activated this option for US firms. However, the US may not have hurried to act because its banking sector seemed to recover more quickly than in Australia and Europe. Either way, both regimes need to consider speculative market cases that might have appeared during the crisis, as the author have detected cases of abnormal returns. Finally, concerning regulation of the shadow banking sector, the results seem to be encouraging only with regard to the latest improvements and only for all countries examined.Originality/valueThe project contributes to debate on the reactions of both IFRS and US GAAP during and after the economic crisis. For this, it addresses several questio","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130310925","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-10-25DOI: 10.1108/jcms-06-2022-0018
Prosper Babon-Ayeng, E. Oduro-Ofori, D. Owusu-Manu, David James Edwards, E. Kissi, A. S. Kukah
PurposeThere is a pressing need to increase investments in sustainable infrastructure to promote low carbon economic growth and ensure environmental sustainability. Consequently, this study examines the socio-political factors underlying the adoption of green bond financing of infrastructure projects.Design/methodology/approachPrimary data was gathered from experts with advanced experience in, or knowledge of green bonds in the Kumasi Metropolis. To identify respondents with pertinent knowledge that is relevant to the study, purposive and snowball sampling techniques were used. One-sample t-test and relative importance index were used in this study's statistical analysis.Findings‘Training and experience with sustainable finance’ was seen as the most important social factor underlying the adoption of green bond financing of infrastructure projects by the respondents and ‘Governmental tax-based incentives’ was rated as the leading political factor.Originality/valueThis pioneering research attempts to ascertain the socio-political factors affecting the adoption of green bond financing of infrastructure projects. Emergent results of analysis and concomitant discussions add knowledge to fill a void in literature on the social and political factors affecting the adoption of green bond financing of infrastructure projects in developing countries.
{"title":"Socio-political factors underlying the adoption of green bond financing of infrastructure projects: the case of Ghana","authors":"Prosper Babon-Ayeng, E. Oduro-Ofori, D. Owusu-Manu, David James Edwards, E. Kissi, A. S. Kukah","doi":"10.1108/jcms-06-2022-0018","DOIUrl":"https://doi.org/10.1108/jcms-06-2022-0018","url":null,"abstract":"PurposeThere is a pressing need to increase investments in sustainable infrastructure to promote low carbon economic growth and ensure environmental sustainability. Consequently, this study examines the socio-political factors underlying the adoption of green bond financing of infrastructure projects.Design/methodology/approachPrimary data was gathered from experts with advanced experience in, or knowledge of green bonds in the Kumasi Metropolis. To identify respondents with pertinent knowledge that is relevant to the study, purposive and snowball sampling techniques were used. One-sample t-test and relative importance index were used in this study's statistical analysis.Findings‘Training and experience with sustainable finance’ was seen as the most important social factor underlying the adoption of green bond financing of infrastructure projects by the respondents and ‘Governmental tax-based incentives’ was rated as the leading political factor.Originality/valueThis pioneering research attempts to ascertain the socio-political factors affecting the adoption of green bond financing of infrastructure projects. Emergent results of analysis and concomitant discussions add knowledge to fill a void in literature on the social and political factors affecting the adoption of green bond financing of infrastructure projects in developing countries.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124539486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-10-24DOI: 10.1108/jcms-05-2022-0015
Emon Kalyan Chowdhury
PurposeThis paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves.Design/methodology/approachThis study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose.FindingsIt is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed.Research limitations/implicationsAt present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves.Practical implicationsIt is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study.Originality/valueThis paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.
{"title":"Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective","authors":"Emon Kalyan Chowdhury","doi":"10.1108/jcms-05-2022-0015","DOIUrl":"https://doi.org/10.1108/jcms-05-2022-0015","url":null,"abstract":"PurposeThis paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves.Design/methodology/approachThis study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose.FindingsIt is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed.Research limitations/implicationsAt present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves.Practical implicationsIt is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study.Originality/valueThis paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127643100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-09-06DOI: 10.1108/jcms-04-2022-0014
G. Özer, Nurullah Okur, İlhan Çam
PurposeThis paper explores which fundamental aspects of US insurance firms are significant factors in determining whether a firm will be a target or acquirer firm.Design/methodology/approachBy focusing on 251 mergers and acquisitions (M&A) deals (119 target firms and 132 acquirer firms) over the period between 1990 and 2019, multinomial logistic regression results identify the determinants associated with becoming targets or acquirers.FindingsUS insurance firms are more likely to become targets if they are smaller, have lower cash holdings, are non-life, and do not have environmental, social and governance (ESG) scores. Insurance firms are more likely to be acquirers if they have higher profitability, higher cash flow and higher intangibles, and if they are non-life and do not have ESG scores. Moreover, the likelihood of becoming an acquirer decreases in times of global financial crises (GFCs) as compared to non-GFC times.Originality/valueThis paper is the first to utilize multi-period multinomial logistic regression analysis to investigate the determinants of selection decisions of M&A targets and acquirers in the US insurance industry.
{"title":"Determinants of becoming an M&A acquirer or target: evidence from the US insurance industry","authors":"G. Özer, Nurullah Okur, İlhan Çam","doi":"10.1108/jcms-04-2022-0014","DOIUrl":"https://doi.org/10.1108/jcms-04-2022-0014","url":null,"abstract":"PurposeThis paper explores which fundamental aspects of US insurance firms are significant factors in determining whether a firm will be a target or acquirer firm.Design/methodology/approachBy focusing on 251 mergers and acquisitions (M&A) deals (119 target firms and 132 acquirer firms) over the period between 1990 and 2019, multinomial logistic regression results identify the determinants associated with becoming targets or acquirers.FindingsUS insurance firms are more likely to become targets if they are smaller, have lower cash holdings, are non-life, and do not have environmental, social and governance (ESG) scores. Insurance firms are more likely to be acquirers if they have higher profitability, higher cash flow and higher intangibles, and if they are non-life and do not have ESG scores. Moreover, the likelihood of becoming an acquirer decreases in times of global financial crises (GFCs) as compared to non-GFC times.Originality/valueThis paper is the first to utilize multi-period multinomial logistic regression analysis to investigate the determinants of selection decisions of M&A targets and acquirers in the US insurance industry.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125120908","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-08-03DOI: 10.1108/jcms-03-2022-0010
Dermeval Martins Borges Junior
PurposeThis study aims to examine the relationship between corporate governance mechanisms and the capital structure of Latin American firms.Design/methodology/approachThe sample included companies from Argentina, Brazil, Chile, Colombia, Mexico and Peru. The authors collected data from 201 non-financial companies between 2009 and 2018, totalizing 1,716 firm-year observations. The data were analyzed using descriptive statistics and linear regression models with panel data.FindingsThe main results indicated that chief executive officer duality, legal protection system and corporate social responsibility voluntary disclosure impact the firm's total debt ratio, corresponding to a positive effect for the first two variables and a negative for the last.Originality/valueThis study advances in two main ways. Firstly, due to the broad approach in which the authors addressed corporate governance, involving board composition, ownership structure, minority shareholders legal protection system and information disclosure. Secondly, by presenting empirical evidence about the effects of corporate governance on capital structure from an extensive sample of Latin American firms, the authors expect to contribute to the international debate on the capital structure due to the unique characteristics of Latin America in this regard.
{"title":"Corporate governance and capital structure in Latin America: empirical evidence","authors":"Dermeval Martins Borges Junior","doi":"10.1108/jcms-03-2022-0010","DOIUrl":"https://doi.org/10.1108/jcms-03-2022-0010","url":null,"abstract":"PurposeThis study aims to examine the relationship between corporate governance mechanisms and the capital structure of Latin American firms.Design/methodology/approachThe sample included companies from Argentina, Brazil, Chile, Colombia, Mexico and Peru. The authors collected data from 201 non-financial companies between 2009 and 2018, totalizing 1,716 firm-year observations. The data were analyzed using descriptive statistics and linear regression models with panel data.FindingsThe main results indicated that chief executive officer duality, legal protection system and corporate social responsibility voluntary disclosure impact the firm's total debt ratio, corresponding to a positive effect for the first two variables and a negative for the last.Originality/valueThis study advances in two main ways. Firstly, due to the broad approach in which the authors addressed corporate governance, involving board composition, ownership structure, minority shareholders legal protection system and information disclosure. Secondly, by presenting empirical evidence about the effects of corporate governance on capital structure from an extensive sample of Latin American firms, the authors expect to contribute to the international debate on the capital structure due to the unique characteristics of Latin America in this regard.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"537 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133726017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-16DOI: 10.1108/jcms-02-2022-0008
Fatma Mathlouthi, Slah Bahloul
PurposeThis paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020.Design/methodology/approachFirst, the authors used the Markov-switching autoregression (MS–AR) model to capture the regime-switching behavior in the stock market returns. Second, the authors applied the Markov-switching regression and vector autoregression (MS-VAR) models in order to study, respectively, the co-movement and causality relationship between returns of conventional and Islamic indexes across market states.FindingsResults show the presence of two different regimes for the three studied markets, namely, stability and crisis periods. Also, the authors found evidence of a co-movement relationship between the conventional and Islamic indexes for the three studied markets whatever the regime. For the Granger causality, it is proved only for emerging and developed markets and only during the stability regime. Finally, the authors conclude that Islamic indexes can act as diversifiers, or safe-haven assets are not strongly supported.Originality/valueThis paper is the first study that examines the co-movement and the causal relationship between conventional and Islamic indexes not only across different financial markets' regimes but also during the COVID-19 period. The findings may help investors in making educated decisions about whether or not to add Islamic indexes to their portfolios especially during the recent outbreak.
{"title":"Co-movement and causal relationships between conventional and Islamic stock market returns under regime-switching framework","authors":"Fatma Mathlouthi, Slah Bahloul","doi":"10.1108/jcms-02-2022-0008","DOIUrl":"https://doi.org/10.1108/jcms-02-2022-0008","url":null,"abstract":"PurposeThis paper aims at examining the co-movement dependent regime and causality relationships between conventional and Islamic returns for emerging, frontier and developed markets from November 2008 to August 2020.Design/methodology/approachFirst, the authors used the Markov-switching autoregression (MS–AR) model to capture the regime-switching behavior in the stock market returns. Second, the authors applied the Markov-switching regression and vector autoregression (MS-VAR) models in order to study, respectively, the co-movement and causality relationship between returns of conventional and Islamic indexes across market states.FindingsResults show the presence of two different regimes for the three studied markets, namely, stability and crisis periods. Also, the authors found evidence of a co-movement relationship between the conventional and Islamic indexes for the three studied markets whatever the regime. For the Granger causality, it is proved only for emerging and developed markets and only during the stability regime. Finally, the authors conclude that Islamic indexes can act as diversifiers, or safe-haven assets are not strongly supported.Originality/valueThis paper is the first study that examines the co-movement and the causal relationship between conventional and Islamic indexes not only across different financial markets' regimes but also during the COVID-19 period. The findings may help investors in making educated decisions about whether or not to add Islamic indexes to their portfolios especially during the recent outbreak.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131733837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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