Pub Date : 2021-12-10DOI: 10.21315/aamjaf2021.17.2.5
A. Nizamani, Zulkefly Abdul Karim, M. Zaidi, Norlin Khalid
This article examines the role of bank-level characteristics in determining the nature of interest rate pass-through from monetary policy rates to commercial banks’ lending rates in Pakistan. Several bank-level factors, namely market size, liquidity, capitalisation, profitability, and competition level, were used in analysing the pass-through mechanism. This study utilised a dynamic heterogeneous panel technique, namely the Pooled Mean Group (PMG) estimation for the sample of 12 private commercial banks, over the time span 2003:Q2 to 2015:Q4. Banks of smaller size, large capital, and higher liquidity were significantly affecting the interest rate pass-through procedure. Thus, to improve monetary policy’s transmission mechanism, Pakistan’s central bank should limit bank capitalisation and draw out excess liquidity from the banking sector.
{"title":"Bank heterogeneity in interest rate pass-through: A panel evidence of Pakistan","authors":"A. Nizamani, Zulkefly Abdul Karim, M. Zaidi, Norlin Khalid","doi":"10.21315/aamjaf2021.17.2.5","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.5","url":null,"abstract":"This article examines the role of bank-level characteristics in determining the nature\u0000of interest rate pass-through from monetary policy rates to commercial banks’ lending rates in Pakistan. Several bank-level factors, namely market size, liquidity, capitalisation, profitability, and competition level, were used in analysing the pass-through mechanism. This study utilised a dynamic heterogeneous panel technique, namely the Pooled Mean Group (PMG) estimation for the sample of 12 private commercial banks, over the time span 2003:Q2 to 2015:Q4. Banks of smaller size, large capital, and higher liquidity were significantly affecting the interest rate pass-through procedure. Thus, to improve monetary policy’s transmission mechanism, Pakistan’s central bank should limit bank capitalisation and draw out excess liquidity from the banking sector.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42359769","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 : 2021-12-10DOI: 10.21315/aamjaf2021.17.2.4
Mohd Fahmee Ab-Hamid, Hawati Janor, Aisyah Abdul-Rahman, Mariani Abdul-Majid
This article investigates the effect of efficiencies on market risk using a sample of Chinese commercial banks from 2000 to 2015 using different measures of market risk; the Value at Risk (VaR) and Expected Shortfall (ES). The cost and profit efficiencies are estimated by the Stochastic Frontier Analysis (SFA) on the 12 biggest banks listed on the Shanghai Stock Exchange. In testing the effect between efficiency and market risk, this study applied four different models to uncover the relationship between VaR and ES as measures of market risk on cost and profit efficiencies. Utilising a panel data analysis, the results show that different banks efficiencies affect market risk measures differently. While bank cost efficiency reduces market risk, increase in profit efficiency increase market risk. The analysis in this study helps explain the unconvincing evidence of an inefficiencies-risk connection in the bank sector. Bank regulators and managers may need to focus on the cost and profit efficiencies-related initiatives to better manage the market risk. These findings provide bank managers with more understanding of bank risk and serve as an underpinning for bank supervision efforts aimed at strengthening the joint risk management of efficiency market risks.
{"title":"The effects of efficiency on banks’ market risk: Empirical evidence from China","authors":"Mohd Fahmee Ab-Hamid, Hawati Janor, Aisyah Abdul-Rahman, Mariani Abdul-Majid","doi":"10.21315/aamjaf2021.17.2.4","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.4","url":null,"abstract":"This article investigates the effect of efficiencies on market risk using a sample of Chinese commercial banks from 2000 to 2015 using different measures of market risk; the Value at Risk (VaR) and Expected Shortfall (ES). The cost and profit efficiencies are estimated by the Stochastic Frontier Analysis (SFA) on the 12 biggest banks listed on the Shanghai Stock Exchange. In testing the effect between efficiency and market risk, this study applied four different models to uncover the relationship between VaR and ES as measures of market risk on cost and profit efficiencies. Utilising a panel data analysis, the results show that different banks efficiencies affect market risk measures differently. While bank cost efficiency reduces market risk, increase in profit efficiency increase market risk. The analysis in this study helps explain the unconvincing evidence of an inefficiencies-risk connection in the bank sector. Bank regulators and managers may need to focus on the cost and profit efficiencies-related initiatives to better manage the market risk. These findings provide bank managers with more understanding of bank risk and serve as an underpinning for bank supervision efforts aimed at strengthening the joint risk management of efficiency market risks.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46089372","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 : 2021-12-10DOI: 10.21315/aamjaf2021.17.2.8
Aishwarya Nagpal, Megha Jain
The macroeconomic policies of a nation have a major bearing on the financial performance of the companies and their potential sustainability and growth. This study investigates the impact of monetary policy on the corporate leverage adjustment through microscopic monetary policy transmission channels, mainly the interest rate and credit channels, using a sample of 422 manufacturing firms in India from 2011 to 2017 by employing partial adjustment model. The findings suggest that contractionary monetary policy cuts down overall corporate debt. The study further asserts that corporate debt in Indian firms demonstrates target behaviour and the speed at which firms adjust their actual debt ratios towards target debt ratios is a function of not only firm-specific characteristics but also macroeconomic conditions prevailing in the country, proxied by monetary policy indicators in our study. The study has critical policy implications as the balance sheet situation of corporates is a crucial factor in the financial stability of the economy.
{"title":"Corporate leverage and monetary policy transmission mechanism in India: A dynamic approach.","authors":"Aishwarya Nagpal, Megha Jain","doi":"10.21315/aamjaf2021.17.2.8","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.8","url":null,"abstract":"The macroeconomic policies of a nation have a major bearing on the financial performance of the companies and their potential sustainability and growth. This study investigates the impact of monetary policy on the corporate leverage adjustment through microscopic monetary policy transmission channels, mainly the interest rate and credit channels, using a sample of 422 manufacturing firms in India from 2011 to 2017 by employing partial adjustment model. The findings suggest that contractionary monetary policy cuts down overall corporate debt. The study further asserts that corporate debt in Indian firms demonstrates target behaviour and the speed at which firms adjust their actual debt ratios towards target debt ratios is a function of not only firm-specific characteristics but also macroeconomic conditions prevailing in the country, proxied by monetary policy indicators in our study. The study has critical policy implications as the balance sheet situation of corporates is a crucial factor in the financial stability of the economy.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47354802","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 : 2021-12-10DOI: 10.21315/aamajaf2021.17.2.2
Syajarul Imna Mohd Amin, Aisyah Abdul-Rahman, Nurhafiza Abdul Kader Malim
The recurring crises have evidenced poor liquidity risk management and ineffective regulation in banking. Consequently, banking regulations have undergone continuous reforms to bolster stability in the banking system. Nonetheless, theoretical and empirical evidence provide conflicting results that warrant comprehensive research, particularly for emerging Islamic banking. This study examines the role of banking regulation on the liquidity risk of 245 conventional banks and 68 Islamic banks from selected 14 Organization of the Islamic Cooperation (OIC) from 2000 to 2017 utilising the dynamic panel GMM (generalized method of moments) technique. We measure liquidity risk using the Net Stable Funding Ratio (NSFR) and the total financing-to-total deposits and short-term funding (LDEP). Meanwhile, the regulatory measures are asset restriction (AR), private monitoring (PM), supervisory power (SP) and capital requirements (CR). The findings suggest that regulation has a limited impact on bank liquidity risk. The CR supports the value creation of regulation through the reduction in banks’ liquidity risks, while PM and SP are agency costs of regulation that lead to higher liquidity risks. The impact of CR is lower on liquidity risk in Islamic banking than conventional ones, probably due to limited Islamic liquidity risk management facilities. Thus, regulators should strengthen Islamic liquidity risk instruments and markets to facilitate Islamic banking growth.
{"title":"Liquidity risk and regulation in the Organization of the Islamic Cooperation (OIC) banking industry","authors":"Syajarul Imna Mohd Amin, Aisyah Abdul-Rahman, Nurhafiza Abdul Kader Malim","doi":"10.21315/aamajaf2021.17.2.2","DOIUrl":"https://doi.org/10.21315/aamajaf2021.17.2.2","url":null,"abstract":"The recurring crises have evidenced poor liquidity risk management and ineffective\u0000regulation in banking. Consequently, banking regulations have undergone continuous reforms to bolster stability in the banking system. Nonetheless, theoretical and empirical evidence provide conflicting results that warrant comprehensive research, particularly for emerging Islamic banking. This study examines the role of banking regulation on the liquidity risk of 245 conventional banks and 68 Islamic banks from selected 14 Organization of the Islamic Cooperation (OIC) from 2000 to 2017 utilising the dynamic panel GMM (generalized method of moments) technique. We measure liquidity risk using the Net Stable Funding Ratio (NSFR) and the total financing-to-total deposits and short-term funding (LDEP). Meanwhile, the regulatory measures are asset restriction (AR), private monitoring (PM), supervisory power (SP) and capital requirements (CR). The findings suggest that regulation has a limited impact on bank liquidity risk. The CR supports the value creation of regulation through the reduction in banks’ liquidity risks, while PM and SP are agency costs of regulation that lead to higher liquidity risks. The impact of CR is lower on liquidity risk in Islamic banking than conventional ones, probably due to limited Islamic liquidity risk management facilities. Thus, regulators should strengthen Islamic liquidity risk instruments and markets to facilitate Islamic banking growth.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45521786","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 : 2021-12-10DOI: 10.21315/aamjaf2021.17.2.10
V. Dang
The Net Stable Funding Ratio (NSFR) liquidity rule under Basel III guidelines is designed to handle long-term liquidity risk, promoting the sustainable structures of bank funding. This study estimates the NSFR and analyses the impact of this liquidity ratio on banks according to a risk-return trade-off in Vietnam prior to the Basel III implementation. Using yearly data for commercial banks from 2007 to 2018, I find that banks with higher NSFR gain more potential benefits than banks with lower NSFR. Concretely, a rise in NSFR increases bank profitability and decreases bank funding costs, credit risks and liquidity creation, as evidenced by a comprehensive set of alternative measures. The findings of this study offer insightful implications on the bank policy framework advocating the Basel III liquidity regulation in Vietnam as well as other emerging markets.
{"title":"The Basel III net stable funding ratio and a risk-return tradeoff: Bank-level evidence from Vietnam.","authors":"V. Dang","doi":"10.21315/aamjaf2021.17.2.10","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.10","url":null,"abstract":"The Net Stable Funding Ratio (NSFR) liquidity rule under Basel III guidelines is designed to handle long-term liquidity risk, promoting the sustainable structures of bank funding. This study estimates the NSFR and analyses the impact of this liquidity ratio on banks according to a risk-return trade-off in Vietnam prior to the Basel III implementation. Using yearly data for commercial banks from 2007 to 2018, I find that banks with higher NSFR gain more potential benefits than banks with lower NSFR. Concretely, a rise in NSFR increases bank profitability and decreases bank funding costs, credit risks and liquidity creation, as evidenced by a comprehensive set of alternative measures. The findings of this study offer insightful implications on the bank policy framework advocating the Basel III liquidity regulation in Vietnam as well as other emerging markets.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44577776","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}
Assets managed under sustainable investment criteria have been massively growing during the recent years. Among the criteria, environmental, social and governance (ESG) score leads the group as an important indicator of non-financial quality of a firm, which may reflect value to investors either through higher expected profit or lower risk. In this paper, we focus on the latter by exploring whether ESG score has linkage to the credit rating of firms due to the risk mitigation effect. Ordered logistic regressions are applied on a panel dataset of listed companies in Shanghai Stock Exchange and Tokyo Stock Exchange from 2009 to 2018. The results suggest that only in Japan, having ESG coverage is greatly associated with being awarded higher credit rating. However, only the environmental and governance pillars positively link to the Japanese firms’ credit ratings, while the social pillar shows negative correlation. The finding of heterogeneous effects translates to an important implication that investment in ESG should be taken with care as the impact of ESG may depend on different nature or culture of markets.
近年来，在可持续投资标准下管理的资产一直在大幅增长。其中，ESG (environmental, social and governance，环境、社会和治理)得分作为衡量企业非财务质量的重要指标，在集团中处于领先地位，可以通过更高的预期利润或更低的风险向投资者反映价值。本文主要探讨ESG评分是否由于风险缓解效应而与企业信用评级存在关联。对2009 - 2018年上海证券交易所和东京证券交易所上市公司面板数据集进行有序logistic回归分析。结果表明，只有在日本，ESG覆盖率与获得更高的信用评级密切相关。然而，只有环境和治理支柱与日本企业信用评级呈正相关，而社会支柱与日本企业信用评级呈负相关。异质性效应的发现转化为一个重要的含义，即应谨慎对待ESG投资，因为ESG的影响可能取决于不同的市场性质或文化。
{"title":"Environmental, social and governance and creditworthiness: Two contrary evidence from major Asian markets","authors":"Narapong Srivisal, Natthawat Jamprasert, Jananya Sthienchoak, Pornpitchaya Kuwalairat","doi":"10.21315/aamjaf2021.17.2.7","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.7","url":null,"abstract":"Assets managed under sustainable investment criteria have been massively growing\u0000during the recent years. Among the criteria, environmental, social and governance\u0000(ESG) score leads the group as an important indicator of non-financial quality of a\u0000firm, which may reflect value to investors either through higher expected profit or lower risk. In this paper, we focus on the latter by exploring whether ESG score has linkage to the credit rating of firms due to the risk mitigation effect. Ordered logistic regressions are applied on a panel dataset of listed companies in Shanghai Stock Exchange and Tokyo Stock Exchange from 2009 to 2018. The results suggest that only in Japan, having ESG coverage is greatly associated with being awarded higher credit rating. However, only the environmental and governance pillars positively link to the Japanese firms’ credit ratings, while the social pillar shows negative correlation. The finding of heterogeneous effects translates to an important implication that investment in ESG should be taken with care as the impact of ESG may depend on different nature or culture of markets.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47215768","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 : 2021-12-10DOI: 10.21315/aamjaf2021.17.2.1
A. Alsheikh, Mohamat Sabri Hassan, N. Mohd-Saleh, Mohd Hafizuddin Syah Bangaan Abdullah, Warda Alsheikh
This study examines the relationship between the mandatory adoption of International Financial Reporting Standards (IFRS) and the disclosures of corporate risk among non-financial firms in Saudi Arabia. Based on the observation of 320 firm-year from 2015 until 2017, this study reveals a positive relationship between the mandatory adoption of IFRS and the corporate risk disclosures. The relationship holds when we decompose corporate risk disclosures into financial and non-financial risk disclosures. The results are consistent for both the pooled Ordinary Least Squares (OLS) and random effects estimations. Additionally, the result is steady with all primary categories except risk management. We also provide evidence that large firms are more likely to adopt IFRS and reveal more risk information than small firms. This study’s findings are relevant for market regulators in their attempt to improve corporate risk disclosures among listed firms in Saudi Arabia.
{"title":"Firm’s size, mandatory adoption of IFRS and corporate risk disclosure among\u0000listed non-financial firms in Saudi Arabia","authors":"A. Alsheikh, Mohamat Sabri Hassan, N. Mohd-Saleh, Mohd Hafizuddin Syah Bangaan Abdullah, Warda Alsheikh","doi":"10.21315/aamjaf2021.17.2.1","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.2.1","url":null,"abstract":"This study examines the relationship between the mandatory adoption of International Financial Reporting Standards (IFRS) and the disclosures of corporate risk among non-financial firms in Saudi Arabia. Based on the observation of 320 firm-year from 2015 until 2017, this study reveals a positive relationship between the mandatory adoption of IFRS and the corporate risk disclosures. The relationship holds when we decompose corporate risk disclosures into financial and non-financial risk disclosures. The results are consistent for both the pooled Ordinary Least Squares (OLS) and random effects estimations. Additionally, the result is steady with all primary categories except risk management. We also provide evidence that large firms are more likely to adopt IFRS and reveal more risk information than small firms. This study’s findings are relevant for market regulators\u0000in their attempt to improve corporate risk disclosures among listed firms in Saudi Arabia.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41291079","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}
The aim of this study was to provide evidence to the benefit of an emerging market on whether and how the prevailing investors’ sentiment influences the earnings management tactics i.e. accrual earnings management and real earnings management. used data related to Tunisian listed firms over the period 2009–2018. We measure the investors’ sentiment index using Google search volume approach. We estimated a recursive equation system to investigate the effect of the investors’ sentiment on the trade-off decision between accrual earnings management and real earnings management. First, in line with the catering theory we found that optimistic period is an opportune occasion that encourages Tunisian managers to upward their earnings whether by accrual earnings management or by real earnings management. Indeed, Tunisian managers are likely to rely on abnormal cashflows. Second, we found that the Tunisian managers, use both techniques as complementary rather than substitutes. However, during high sentiment period, this complementary relation decreases which may be explained by total cost of earnings management tools. Our results give the investors and the financial analysts, within emerging markets, important insights and requires them to adopt necessary adjustments to their expectations when evaluated from an optimistic market’ perspective. During such periods, they should be more cautious to the possible distortions of reported earnings made by managers. Our research differs from previous studies dealing with the implication of behavioral biases emerging contexts, which is still embryonic. Such contexts have their uniqueness regarding the economic, social and political environment making evidence drawn from developed contexts questionable. Second, we address this query in a more comprehensive way. We were interested in examining the effect of the investors’ sentiment on each of earnings management technique taken individually as well as on the possible trade-off between them.
{"title":"The Effect of the Investors’ Sentiment on the Trade-Off Between Earnings Management Strategies: The Case of Tunisian Market","authors":"Aida Boudabbous, Saoussen Boujelben, Mouna Abdelhédi","doi":"10.21315/aamjaf2021.17.1.8","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.1.8","url":null,"abstract":"The aim of this study was to provide evidence to the benefit of an emerging market on whether and how the prevailing investors’ sentiment influences the earnings management tactics i.e. accrual earnings management and real earnings management. used data related to Tunisian listed firms over the period 2009–2018. We measure the investors’ sentiment index using Google search volume approach. We estimated a recursive equation system to investigate the effect of the investors’ sentiment on the trade-off decision between accrual earnings management and real earnings management. First, in line with the catering theory we found that optimistic period is an opportune occasion that encourages Tunisian managers to upward their earnings whether by accrual earnings management or by real earnings management. Indeed, Tunisian managers are likely to rely on abnormal cashflows. Second, we found that the Tunisian managers, use both techniques as complementary rather than substitutes. However, during high sentiment period, this complementary relation decreases which may be explained by total cost of earnings management tools. Our results give the investors and the financial analysts, within emerging markets, important insights and requires them to adopt necessary adjustments to their expectations when evaluated from an optimistic market’ perspective. During such periods, they should be more cautious to the possible distortions of reported earnings made by managers. Our research differs from previous studies dealing with the implication of behavioral biases emerging contexts, which is still embryonic. Such contexts have their uniqueness regarding the economic, social and political environment making evidence drawn from developed contexts questionable. Second, we address this query in a more comprehensive way. We were interested in examining the effect of the investors’ sentiment on each of earnings management technique taken individually as well as on the possible trade-off between them.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42851452","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 : 2021-06-30DOI: 10.21315/aamjaf2021.17.1.3
Siti Nurain Muhmad, A. Ariff, N. A. Majid, K. A. Kamarudin
This paper examines whether product market competition is associated with Environmental, Social, and Corporate Governance (ESG) and whether corporate governance moderates the effect of product market competition on ESG. Analysis involving 22,897 firm-year observations from 37 countries shows that companies with higher product competition have lower ESG and those with higher corporate governance have higher ESG. The results also indicate the moderating effect of corporate governance, as the negative relationship between product market competition and ESG diminishes for companies with higher corporate governance. The results remain robust in additional analysis using alternative measures for product market competition and corporate governance. The findings support the joint effect of product market competition and corporate governance in determining corporate performance in ESG. The findings reflect the various pressures influencing ESG practices, and on how the strength of corporate governance plays a vital role in ensuring strategic ESG being employed for the sustainable performance of companies. The findings have implications on companies that want to factor ESG into their plans especially to reinvent their companies for the period that follows the COVID-19 pandemic.
{"title":"Product Market Competition, Corporate Governance and ESG","authors":"Siti Nurain Muhmad, A. Ariff, N. A. Majid, K. A. Kamarudin","doi":"10.21315/aamjaf2021.17.1.3","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.1.3","url":null,"abstract":"This paper examines whether product market competition is associated with Environmental, Social, and Corporate Governance (ESG) and whether corporate governance moderates the effect of product market competition on ESG. Analysis involving 22,897 firm-year observations from 37 countries shows that companies with higher product competition have lower ESG and those with higher corporate governance have higher ESG. The results also indicate the moderating effect of corporate governance, as the negative relationship between product market competition and ESG diminishes for companies with higher corporate governance. The results remain robust in additional analysis using alternative measures for product market competition and corporate governance. The findings support the joint effect of product market competition and corporate governance in determining corporate performance in ESG. The findings reflect the various pressures influencing ESG practices, and on how the strength of corporate governance plays a vital role in ensuring strategic ESG being employed for the sustainable performance of companies. The findings have implications on companies that want to factor ESG into their plans especially to reinvent their companies for the period that follows the COVID-19 pandemic.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48468182","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 : 2021-06-30DOI: 10.21315/aamjaf2021.17.1.2
Atm Adnan, M. Hasan
This paper investigates the capital market reaction to the first detection of the COVID-19 in Bangladesh. Using a sample of 314 listed firms in Dhaka stock Exchange (DSE), this study employed the event study methodology (ESM) to find any abnormal return (AR) associated to the first COVID-19 detection announcement. Three different return models namely mean-adjusted return, market-adjusted return and market model have been used to calculate the abnormal return and test the statistical significance using both parametric crude dependence and standardised cross-sectional T test along with non-parametric generalised sign-test and Corrado rank-test. The findings suggest that, despite the perceived weak market efficiency, the announcement of the first COVID-19 detection has a significant negative impact on overall market return on the event day. Additionally, the result exhibits the indifferent market reaction of different industry segments such as manufacturing, service, financial, non-financial, pharmaceuticals and IT and telecommunication sectors. The results would be useful for investors, industrial and financial analysts in accessing volatile systemic risk and building an optimal portfolio to solve the pandemic dilemma effectively.
{"title":"The Emergence of Covid-19 and Capital Market Reaction: An Emerging Market\u0000Scenario Analysis","authors":"Atm Adnan, M. Hasan","doi":"10.21315/aamjaf2021.17.1.2","DOIUrl":"https://doi.org/10.21315/aamjaf2021.17.1.2","url":null,"abstract":"This paper investigates the capital market reaction to the first detection of the COVID-19 in Bangladesh. Using a sample of 314 listed firms in Dhaka stock Exchange (DSE), this study employed the event study methodology (ESM) to find any abnormal return (AR) associated to the first COVID-19 detection announcement. Three different return models namely mean-adjusted return, market-adjusted return and market model have been used to calculate the abnormal return and test the statistical significance using both parametric crude dependence and standardised cross-sectional T test along with non-parametric generalised sign-test and Corrado rank-test. The findings suggest that, despite the perceived weak market efficiency, the announcement of the first COVID-19 detection has a significant negative impact on overall market return on the event day. Additionally, the result exhibits the indifferent market reaction of different industry segments such as manufacturing, service, financial, non-financial, pharmaceuticals and IT and telecommunication sectors. The results would be useful for investors, industrial and financial analysts in accessing volatile systemic risk and building an optimal portfolio to solve the pandemic dilemma effectively.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48657248","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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