Pub Date : 1900-01-01DOI: 10.32890/ijbf2010.7.2.8416
Lloyd P. Blenman, Dar-Hsin Chen, Chunda Chen
This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found.
{"title":"Market Liberalization and Trading in Korea","authors":"Lloyd P. Blenman, Dar-Hsin Chen, Chunda Chen","doi":"10.32890/ijbf2010.7.2.8416","DOIUrl":"https://doi.org/10.32890/ijbf2010.7.2.8416","url":null,"abstract":"This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"153 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115001817","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 : 1900-01-01DOI: 10.32890/ijbf2008.5.2.8367
Adrian M. Cowan, C. Cowan
We analyze the implications of the dynamics of credit scores for small businesses; strategies for banks to maximize revenues; and Basel II minimum capital requirements on loan pricing for loans to small firms that do not have access to capital markets. Relating dynamic changes in the competitive environment to pricing decisions also provides a contribution to the literature. A theoretical model is developed to investigate the differences between relationship and transactional lending to small businesses in the context of these factors in the banking industry. The model demonstrates that in highly competitive markets, each type of lender occupies overlapping spaces, and can be simultaneously attractive to different types of borrowers if banks take advantage of their knowledge of the dynamics.
{"title":"The Dynamics of Credit Quality and Implications for The Pricing of Small Business Loans","authors":"Adrian M. Cowan, C. Cowan","doi":"10.32890/ijbf2008.5.2.8367","DOIUrl":"https://doi.org/10.32890/ijbf2008.5.2.8367","url":null,"abstract":"We analyze the implications of the dynamics of credit scores for small businesses; strategies for banks to maximize revenues; and Basel II minimum capital requirements on loan pricing for loans to small firms that do not have access to capital markets. Relating dynamic changes in the competitive environment to pricing decisions also provides a contribution to the literature. A theoretical model is developed to investigate the differences between relationship and transactional lending to small businesses in the context of these factors in the banking industry. The model demonstrates that in highly competitive markets, each type of lender occupies overlapping spaces, and can be simultaneously attractive to different types of borrowers if banks take advantage of their knowledge of the dynamics.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120919035","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 : 1900-01-01DOI: 10.32890/ijbf2012.9.3.8457
S. Ghorbani, Seyed Tabaie Zavareh
In this paper, we construct a corporate governance Index (G-index) based on 13 attributes, which are associated with good and bad governance to investigate the impact of corporate governance on a firm’s stock return. After correlating each of the governance attributes of 141 Tehran Stock Exchange listed companies with their performance separately over a period of six years, we find the direction of each attribute’s correlation. After that, we compute the G-index by aggregating the individual attributes and converting each firm’s scores on attribute into the same scale. Finally, these scores are summed up by subtracting negatively correlated attributes from positively correlated attributes for each firm. We find a significantly high correlation between the firm’s performance and firm’s G-index. In the next step, we made three governance-sorted portfolios-from low to high governance-which we use to evaluate stock returns. We find better-governed portfolios significantly outperformed the poorly governed portfolios. We find that corporate governance score really matters in since the results show statistically significant relationship between the qualities of the corporate governance as measured by our G-index and firm’s stock return.
{"title":"Does Corporate Governance Matter in Iran","authors":"S. Ghorbani, Seyed Tabaie Zavareh","doi":"10.32890/ijbf2012.9.3.8457","DOIUrl":"https://doi.org/10.32890/ijbf2012.9.3.8457","url":null,"abstract":"In this paper, we construct a corporate governance Index (G-index) based on 13 attributes, which are associated with good and bad governance to investigate the impact of corporate governance on a firm’s stock return. After correlating each of the governance attributes of 141 Tehran Stock Exchange listed companies with their performance separately over a period of six years, we find the direction of each attribute’s correlation. After that, we compute the G-index by aggregating the individual attributes and converting each firm’s scores on attribute into the same scale. Finally, these scores are summed up by subtracting negatively correlated attributes from positively correlated attributes for each firm. We find a significantly high correlation between the firm’s performance and firm’s G-index. In the next step, we made three governance-sorted portfolios-from low to high governance-which we use to evaluate stock returns. We find better-governed portfolios significantly outperformed the poorly governed portfolios. We find that corporate governance score really matters in since the results show statistically significant relationship between the qualities of the corporate governance as measured by our G-index and firm’s stock return.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"01 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124495066","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 : 1900-01-01DOI: 10.32890/ijbf2008.5.2.8372
O. Bacha, Mohamed Eskandar, R. Ramlee
This paper reports new findings on the price effect from trading halts - both voluntary and mandatory - over 2000-04 in an emerging share market, Malaysia. Based on our overall sample, trading halts lead to positive price reaction, increased volume, and increased volatility.We found evidence of information leakage resulting in a significant difference between voluntary and mandatory halts as well as the type of news released during halts to warrant such an impact. The duration of the halt has an isolated impact and is largely inconsequential. The frequency of halts does not seem to matter.
{"title":"THE EFFICIENCY OF TRADING HALTS: EMERGING MARKET EVIDENCE","authors":"O. Bacha, Mohamed Eskandar, R. Ramlee","doi":"10.32890/ijbf2008.5.2.8372","DOIUrl":"https://doi.org/10.32890/ijbf2008.5.2.8372","url":null,"abstract":"This paper reports new findings on the price effect from trading halts - both voluntary and mandatory - over 2000-04 in an emerging share market, Malaysia. Based on our overall sample, trading halts lead to positive price reaction, increased volume, and increased volatility.We found evidence of information leakage resulting in a significant difference between voluntary and mandatory halts as well as the type of news released during halts to warrant such an impact. The duration of the halt has an isolated impact and is largely inconsequential. The frequency of halts does not seem to matter.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127720698","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 : 1900-01-01DOI: 10.32890/ijbf2008.5.1.8357
M. Shamsher, H. Taufiq
Theory suggests that the introduction of derivative market in a market with spot trading completes the market-based price discovery process. There are 19 derivative markets in Asia. Derivative trades in such markets help to hedge away the risk of price changes in the spot markets at very low costs. Commodity futures instruments are also needed to hedge away price changes in real sector just as financial futures does this function for the financial sector. In this paper, we examine the current status of selected commodity and financial derivative markets in Asia. It suggests that the more industrial/advanced economies have developed liquid commodities markets, and few of them have also developed active financial derivative markets. But for most of the 19 or so emerging markets in Asia, the development of derivative markets is still at an early stage.
{"title":"ASIAN DERIVATIVE MARKETS: RESEARCH ISSUES","authors":"M. Shamsher, H. Taufiq","doi":"10.32890/ijbf2008.5.1.8357","DOIUrl":"https://doi.org/10.32890/ijbf2008.5.1.8357","url":null,"abstract":"Theory suggests that the introduction of derivative market in a market with spot trading completes the market-based price discovery process. There are 19 derivative markets in Asia. Derivative trades in such markets help to hedge away the risk of price changes in the spot markets at very low costs. Commodity futures instruments are also needed to hedge away price changes in real sector just as financial futures does this function for the financial sector. In this paper, we examine the current status of selected commodity and financial derivative markets in Asia. It suggests that the more industrial/advanced economies have developed liquid commodities markets, and few of them have also developed active financial derivative markets. But for most of the 19 or so emerging markets in Asia, the development of derivative markets is still at an early stage.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"416 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114153655","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 : 1900-01-01DOI: 10.32890/ijbf2013.10.1.8469
Tristan Nguyen, Alexandra Schüssler
We add to the prior literature that test the influence of total leverage on stock returns by focusing on an extended ratio, namely, ‘Total Debt to (Total Capital + Long Term Debt)’, TD/(TC+LTD)’, the ratio henceforth.Further, and in contrast with others, we account for different maturities of debt. The link between this ratio and stock returns for periods of one to sixty months are considered for Germany, the UK and the US. We control for beta and form quintiles based on the ratio to compute mean returns. Our findings indicate a robust negative relation between the ratio and returns for Germany and the UK. In these two markets, the lowest ratioquintile performs better than the highest ratio-quintile for all the periods studied. Interestingly, the results for the United States are less clear. Due to a number of known factors, market efficiency might be higher in the US than in the other two markets.
{"title":"LEVERAGE, MATURITIES OF DEBT AND STOCK PERFORMANCE","authors":"Tristan Nguyen, Alexandra Schüssler","doi":"10.32890/ijbf2013.10.1.8469","DOIUrl":"https://doi.org/10.32890/ijbf2013.10.1.8469","url":null,"abstract":"We add to the prior literature that test the influence of total leverage on stock returns by focusing on an extended ratio, namely, ‘Total Debt to (Total Capital + Long Term Debt)’, TD/(TC+LTD)’, the ratio henceforth.Further, and in contrast with others, we account for different \u0000maturities of debt. The link between this ratio and stock returns for periods of one to sixty \u0000months are considered for Germany, the UK and the US. We control for beta and form quintiles \u0000based on the ratio to compute mean returns. Our findings indicate a robust negative relation between the ratio and returns for Germany and the UK. In these two markets, the lowest ratioquintile \u0000performs better than the highest ratio-quintile for all the periods studied. Interestingly, \u0000the results for the United States are less clear. Due to a number of known factors, market efficiency might be higher in the US than in the other two markets.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128640199","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 : 1900-01-01DOI: 10.32890/ijbf2012.9.2.8454
Khaldoun M. Al-Qaisi
The financial economics literature contains numerous research papers which examine issues that concern the banking industry. One of these issues is banking competition.Indeed, this issue is important because of its complications to financial stability and the growth of the borrowing firms. The purpose of this paper is to assess the competitive behavior of the Jordanian banking sector during the period ranging from 1999 to 2008 using the non-structural test developed by Panzar and Rosse.In more specific terms, this paper examines the overall competitive condition during the period 1999 – 2008 and how it has evolved over time.Based on the empirical findings, it is expected that a number of policy recommendations may be provided.The objective of these recommendations is to enhance the regulation of the banking sector in Jordan and improve their performance.
{"title":"Banking Competition and Efficiency in Jordan: A Note","authors":"Khaldoun M. Al-Qaisi","doi":"10.32890/ijbf2012.9.2.8454","DOIUrl":"https://doi.org/10.32890/ijbf2012.9.2.8454","url":null,"abstract":"The financial economics literature contains numerous research papers which examine issues that concern the banking industry. One of these issues is banking competition.Indeed, this issue is important because of its complications to financial stability and the growth of the borrowing firms. The purpose of this paper is to assess the competitive behavior of the Jordanian banking sector during the period ranging from 1999 to 2008 using the non-structural test developed by Panzar and Rosse.In more specific terms, this paper examines the overall competitive condition during the period 1999 – 2008 and how it has evolved over time.Based on the empirical findings, it is expected that a number of policy recommendations may be provided.The objective of these recommendations is to enhance the regulation of the banking sector in Jordan and improve their performance.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130005037","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 : 1900-01-01DOI: 10.32890/ijbf2012.9.3.8455
Arsalan Azamighaimasi
We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.
{"title":"PORTFOLIO RISK AND DEPENDENCE MODELING: APPLICATION OF FACTOR AND COPULA MODELS","authors":"Arsalan Azamighaimasi","doi":"10.32890/ijbf2012.9.3.8455","DOIUrl":"https://doi.org/10.32890/ijbf2012.9.3.8455","url":null,"abstract":"We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126468952","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 : 1900-01-01DOI: 10.32890/ijbf2008.5.2.8368
O. Arsiraphongphisit
This paper aims to report the findings associated with the effects of share prices around the disclosure dates of four different debt-and-equity fund-raising events over a 12-year period from 1991 to 2003 in Australia.By applying the well-known event study approach, along with the data-trimming procedures, a new idea is to remove all known confounding events and make corrections for thin-trading bias.The observed statistically significant price effects are consistent with theories: a positive price effect is observed for straight-debt and private placements whereas negative price effects occur when convertible debt and rights issues are announced.The results pertaining to the private placement effect is reported for the first time on this market.These findings are consistent with leverage, agency, and asymmetric information theories. It is believed that this study contributes new evidence on private placements and other events adding to existing literature surrounding the matter at hand.
{"title":"The information conveyed by debt and equity announcements in Australia","authors":"O. Arsiraphongphisit","doi":"10.32890/ijbf2008.5.2.8368","DOIUrl":"https://doi.org/10.32890/ijbf2008.5.2.8368","url":null,"abstract":"This paper aims to report the findings associated with the effects of share prices around the disclosure dates of four different debt-and-equity fund-raising events over a 12-year period from 1991 to 2003 in Australia.By applying the well-known event study approach, along with the data-trimming procedures, a new idea is to remove all known confounding events and make corrections for thin-trading bias.The observed statistically significant price effects are consistent with theories: a positive price effect is observed for straight-debt and private placements whereas negative price effects occur when convertible debt and rights issues are announced.The results pertaining to the private placement effect is reported for the first time on this market.These findings are consistent with leverage, agency, and asymmetric information theories. It is believed that this study contributes new evidence on private placements and other events adding to existing literature surrounding the matter at hand.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126316217","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 : 1900-01-01DOI: 10.32890/ijbf2011.8.2.8426
T. Handono, E. Prabowo, Emilyn C. Cabanda
This research attempts to model performance measurement for the firms listed on Indonesia Stock Exchange (IDX) using the stochastic frontier approach. There are 121 firms analyzed over the period of 2000-05 with 726 pooled observations. We also test whether firm’s age, size, market share, manufacturing classifications and time period have effects on the technical inefficiency of the manufacturing sector. Our findings reveal that the average technical efficiency of the tested firms is 0.7149, which is below the efficiency frontier: factors that affect inefficiency are found and explained. Our research has offered notable original contributions to performance measurement and provides insights on managerial decision making on operational performance of listed firms in an increasingly competitive Indonesian economy.
{"title":"STOCHASTIC FRONTIER ANALYSIS OF INDONESIAN FIRM EFFICIENCY: A NOTE","authors":"T. Handono, E. Prabowo, Emilyn C. Cabanda","doi":"10.32890/ijbf2011.8.2.8426","DOIUrl":"https://doi.org/10.32890/ijbf2011.8.2.8426","url":null,"abstract":"This research attempts to model performance measurement for the firms listed on Indonesia Stock Exchange (IDX) using the stochastic frontier approach. There are 121 firms analyzed over the period of 2000-05 with 726 pooled observations. We also test whether firm’s age, size, market share, manufacturing classifications and time period have effects on the technical inefficiency of the manufacturing sector. Our findings reveal that the average technical efficiency of the tested firms is 0.7149, which is below the efficiency frontier: factors that affect inefficiency are found and explained. Our research has offered notable original contributions to performance measurement and provides insights on managerial decision making on operational performance of listed firms in an increasingly competitive Indonesian economy.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123380420","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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