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An empirical analysis of the dynamic impact of DeFi on GCC foreign exchange forward markets: portfolio implication DeFi 对海湾合作委员会外汇远期市场动态影响的实证分析:投资组合的影响
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-12-29 DOI: 10.1108/imefm-06-2023-0228
Ho Thuy Tien, Nguyen Mau Ba Dang, Ngo Thai Hung

Purpose

This paper aims to investigate the conditional equicorrelation and cross-quantile dependence between the DeFi, European and GCC currency markets (Oman, Qatar, Bahrain, Kuwait, Saudi Arabia and the United Arab Emirates).

Design/methodology/approach

This study applies the GARCH-DECO model and cross-quantilogram framework.

Findings

The findings reveal evidence of weak and negative average equicorrelations between the examined markets through time, excluding the COVID-19 outbreak and Russia–Ukraine conflict, which is consistent with the literature examining relationships in different markets. From the cross-quantilogram model, the authors note that the dependence between DeFi, EURO and GCC foreign exchange rate markets is greatest in the short run and diminishes over the medium- and long-term horizons, indicating rapid information processing between the markets under consideration, as most innovations are transmitted in the short term.

Practical implications

For the pairs of DeFi and currency markets, the static and dynamic optimal weights and hedging ratios are also estimated, providing new empirical data for portfolio managers and investors.

Originality/value

To the best of the authors’ knowledge, this is one of the most important research looking into the conditional correlation and predictability between the DeFi, EURO and GCC foreign exchange markets. More importantly, this study provides the first empirical proof of the safe-haven, hedging and diversification qualities of DeFi, EURO and GCC currencies, and this work also covers the COVID-19 pandemic and the Russia–Ukraine war with the use of a single dynamic measure produced by the GARCH-DECO model. In addition, the directional predictability between variables under consideration using the cross-quantilogram model is examined, which can be capable of capturing the asymmetry in the quantile dependent structure. The findings are helpful for both policymakers and investors in improving their trading selections and strategies for risk management in different market conditions.

目的本文旨在研究 DeFi、欧洲和海湾合作委员会(GCC)货币市场(阿曼、卡塔尔、巴林、科威特、沙特阿拉伯和阿拉伯联合酋长国)之间的条件等相关性和交叉量纲依赖性。研究结果研究结果表明,除 COVID-19 爆发和俄罗斯-乌克兰冲突外,所考察的市场在不同时期的平均等相关性较弱且为负,这与考察不同市场关系的文献一致。作者从交叉量表模型中注意到,DeFi、欧元和海湾合作委员会外汇市场之间的依赖性在短期内最大,在中长期内减弱,这表明所研究的市场之间信息处理迅速,因为大多数创新都是在短期内传播的。实用意义对于 DeFi 和货币市场对,还估算了静态和动态最优权重和对冲比率,为投资组合经理和投资者提供了新的经验数据。更重要的是,这项研究首次从经验上证明了 DeFi、欧元和海湾合作委员会货币的避险、套期保值和多样化特质,而且这项工作还利用 GARCH-DECO 模型生成的单一动态指标,涵盖了 COVID-19 大流行病和俄罗斯-乌克兰战争。此外,还使用交叉量纲模型研究了所考虑变量之间的定向可预测性,该模型能够捕捉量纲依赖结构中的非对称性。研究结果有助于决策者和投资者在不同市场条件下改进交易选择和风险管理战略。
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引用次数: 0
Assessing the impact of external determinants on the social performance of Islamic banks 评估外部决定因素对伊斯兰银行社会绩效的影响
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-12-11 DOI: 10.1108/imefm-08-2022-0335
Admir Meskovic, Alija Avdukic, Emira Kozarevic

Purpose

Explaining the sources of the differences in social performance among Islamic banks (IBs) is the motivation for this research. Consequently, the purpose of this paper is to investigate the relationship between the development of Islamic finance regulation, the development of an Islamic financial system, the proportions of affected Muslim populations and the level of competition, on the one hand, and the social performance of IBs, on the other. To the best of the authors' knowledge, this is the first study that investigates the impact of the development of regulation and the Islamic financial system on the social performance of IBs.

Design/methodology/approach

A balanced panel of annual data for 40 banks from 13 countries is applied, spanning 2012–2018. A social performance index with eight dimensions is constructed and measures the social performance of IBs. The index based on qualitative and quantitative data derives from IBs’ annual reports and financial statements. The linear scaling transformation method articulates the quantitative dimensions of the index. In hypotheses testing, the authors use OLS, LSDV, FEM and Random Effect Model to estimate Model (1) and panel-corrected standard errors with Prais–Winsten transformation to estimate Model (2).

Findings

This unique research confirms the positive impact of the development of Islamic finance regulation on the social performance of IBs. The results show that the development of Islamic finance regulation is consistently significant on all standard significance levels. IBs’ age and the presence of Muslim populations in the country are also significant in most estimators.

Research limitations/implications

The results of this research highlight a significant value for regulators, shareholders and the management of IBs. Without proper regulation, these banks can hardly operate under the principles and expectations of the Islamic moral economy.

Originality/value

This is pioneering research that explores the development of Islamic finance regulation and market concentration as a determinant of social performance of IBs. Development of Islamic finance regulation has proved significant in all estimated models, which confirms that a new variable has been discovered among determinants of the social performance of IBs.

目的解释伊斯兰银行(IBs)社会绩效差异的来源是本研究的动机。因此,本文旨在研究伊斯兰金融监管的发展、伊斯兰金融体系的发展、受影响穆斯林人口的比例和竞争程度与伊斯兰银行社会绩效之间的关系。据作者所知,这是第一项调查监管和伊斯兰金融体系的发展对国际银行社会绩效的影响的研究。设计/方法/途径应用了 13 个国家 40 家银行的年度数据平衡面板,时间跨度为 2012-2018 年。构建了包含八个维度的社会绩效指数,用于衡量国际银行的社会绩效。该指数基于定性和定量数据,来源于国际银行的年度报告和财务报表。线性比例转换方法阐明了指数的定量维度。在假设检验中,作者使用 OLS、LSDV、FEM 和随机效应模型对模型(1)进行了估计,并使用普雷斯-温斯顿转换的面板校正标准误差对模型(2)进行了估计。结果表明,伊斯兰金融监管的发展在所有标准显著性水平上都是显著的。研究的局限性/意义本研究的结果凸显了伊斯兰银行对监管者、股东和管理层的重要价值。如果没有适当的监管,这些银行就很难按照伊斯兰道德经济的原则和期望运营。原创性/价值这是一项开创性的研究,探讨了伊斯兰金融监管的发展以及市场集中度作为伊斯兰银行社会绩效的决定因素。伊斯兰金融监管的发展在所有估计模型中都被证明是重要的,这证实了在国际银行社会绩效的决定因素中发现了一个新变量。
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引用次数: 0
Prospects of Islamic capital market in Uzbekistan: issues and challenges 乌兹别克斯坦伊斯兰资本市场的前景:问题与挑战
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-12-11 DOI: 10.1108/imefm-04-2022-0145
Alam Asadov, Ikhtiyorjon Turaboev, Ramazan Yildirim

Purpose

Despite its potential as an emerging market for Islamic financial services, Uzbekistan has lagged in legislative support. This study aims to evaluate the feasibility of introducing an Islamic capital market (ICM) in Uzbekistan, preceding a broader industry establishment.

Design/methodology/approach

The authors begin by assessing Islamic finance literacy and the potential demand for ICMs in Uzbekistan. The authors then scrutinize Uzbekistan’s capital market legislation and its readiness. This analysis uses primary data, including surveys and interviews, and secondary data from literature and financial legislation.

Findings

This study highlights a significant demand for ICMs, despite low Islamic finance awareness in Uzbekistan. Presently, Uzbekistan’s capital market development is lacking, with regulations not yet suitable for ICMs. As a result, legal and operational enhancements are needed.

Practical implications

The authors provide essential policy recommendations for authorities and practitioners to facilitate the effective launch of ICMs and enhance Uzbekistan’s capital market stature.

Originality/value

To the best of the authors’ knowledge, this is the first study offering an in-depth analysis of the potential and feasibility of ICMs in Uzbekistan.

目的尽管乌兹别克斯坦具有作为伊斯兰金融服务新兴市场的潜力,但在立法支持方面却相对滞后。本研究旨在评估乌兹别克斯坦在建立更广泛的行业之前引入伊斯兰资本市场(ICM)的可行性。 作者首先评估了伊斯兰金融知识以及乌兹别克斯坦对伊斯兰资本市场的潜在需求。然后,作者仔细研究了乌兹别克斯坦的资本市场立法及其准备情况。该分析使用了包括调查和访谈在内的一手数据,以及来自文献和金融立法的二手数据。目前,乌兹别克斯坦的资本市场发展不足,相关法规尚不适合伊斯兰资本市场。实践意义作者为当局和从业人员提供了重要的政策建议,以促进 ICMs 的有效推出并提高乌兹别克斯坦资本市场的地位。原创性/价值据作者所知,这是第一份对乌兹别克斯坦 ICMs 的潜力和可行性进行深入分析的研究报告。
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引用次数: 0
The sustainability and performance of Bank Wakaf Mikro: waqf-based microfinance in Indonesia Wakaf Mikro银行的可持续性和绩效:印尼基于waqf的小额信贷
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-12-05 DOI: 10.1108/imefm-06-2022-0233
Inka Yusgiantoro, Putra Pamungkas, Irwan Trinugroho

Purpose

This study aims to empirically investigate the sustainability and performance of Bank Wakaf Mikro (hereafter called BWM), which is a waqf-based microfinance in the context of Indonesia.

Design/methodology/approach

The authors use several model specifications. The specifications mainly take the BWM’s characteristics and governance into account. The authors use a standard-panel data approach with a fixed-effects model as the Hausman test result favors the fixed-effects model. The authors collected monthly data from the Indonesia Financial Services Authority for the period 2018–2020. The detailed data, 39 BWM enabling us to observe the financial, social and governance elements of BWMs.

Findings

The results reveal interesting findings. The authors find that BWM characteristics, governance and social capital are significant in shaping BWM’s sustainability, performance and risk. Furthermore, the authors find that BWM located in a province with higher lending density has lower performance than those located in a province with lower lending density. The results provide some evidence on how waqf-based microfinance could achieve both economic and social goals. It could provide perspectives for stakeholders in designing microfinance institutions.

Originality/value

This paper is the first to empirically study the waqf-based microfinance institutions in Indonesia by looking at the determinants of performance and sustainability of those institutions.

本研究旨在实证调查Wakaf Mikro银行(以下简称BWM)的可持续性和绩效,这是印度尼西亚背景下基于waqf的小额信贷。设计/方法/方法作者使用了几种模型规范。规范主要考虑了BWM的特征和治理。由于Hausman检验结果倾向于固定效应模型,因此作者使用固定效应模型的标准面板数据方法。作者收集了2018-2020年期间印度尼西亚金融服务管理局的月度数据。39个BWM的详细数据使我们能够观察到BWM的财务、社会和治理要素。研究结果揭示了一些有趣的发现。研究发现,城市水管理的特征、治理和社会资本对城市水管理的可持续性、绩效和风险具有重要影响。此外,研究还发现,贷款密度较高省份的银行管理绩效低于贷款密度较低省份的银行管理绩效。研究结果为基于waqf的小额信贷如何实现经济和社会目标提供了一些证据。它可以为利益相关者设计小额信贷机构提供视角。原创性/价值本文首次通过考察这些机构的绩效和可持续性的决定因素,对印度尼西亚基于waqf的小额信贷机构进行了实证研究。
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引用次数: 0
An analysis of spatial effects of terrorism on stock market returns in the Middle East countries 恐怖主义对中东国家股市收益的空间效应分析
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-11-17 DOI: 10.1108/imefm-01-2023-0031
Ali Rezazadeh, Vahid Nikpey Pesyan, Azhdar Karami

Purpose

Stock markets are highly sensitive to foreign and domestic events. Stock exchange markets react promptly to news and are known as an indicator of good and bad trading conditions. Terrorist attacks leave adverse effects on the economy and cause stock price volatility and, consequently, stock return volatility. Therefore, this paper aims to analyze the spatial effects of terrorism on stock market returns in the Middle East from 2008 to 2019.

Design/methodology/approach

This paper uses analytical research design and estimates spatial model. Before estimating the spatial model, the spillover effects were confirmed for the spatial autoregressive model using Moran’s diagnostic test for spatial dependence, Geary’s C test and Akaike statistic.

Findings

The results of this study on spatial panel data and based on spatial autoregressive estimator indicated that terrorism and associated neighborhood effects had a negative impact on stock returns in Middle East countries. Also, the corruption index and oil price negatively affected stock market return in these countries, while the democracy index had a positive effect on stock market returns. According to the results, to achieve a high and stable stock market return, it is recommended that high-level consultation is pursued with leaders of involved countries to reduce the devastating effects of terrorist activities, increase political and economic stability, attract stockholders to stock markets and spend corresponding incomes developing the infrastructures in this sector in countries of this region.

Originality/value

Most of the studies have investigated the impact of terrorism on the stock market returns at the national or provincial level. However, the effect of terrorism on the stock market index in the tense region of the Middle East, which is the center of terrorist attacks in the world, has not been dealt with by considering the spatial econometric effects. Thus, to the best of the authors’ knowledge, this research is a first attempt to study the impact of terrorism on the stock market returns in Middle East countries using the spatial econometric approach.

股票市场对国内外事件高度敏感。证券交易市场对消息反应迅速,被认为是交易条件好坏的指标。恐怖袭击对经济造成不利影响,导致股价波动,从而导致股票收益波动。因此,本文旨在分析2008 - 2019年恐怖主义对中东股市收益的空间效应。设计/方法/方法本文采用分析研究设计和估算空间模型。在估计空间模型之前,利用Moran的空间依赖性诊断检验、Geary的C检验和Akaike统计量对空间自回归模型进行了溢出效应的验证。结果基于空间面板数据和空间自回归估计的研究结果表明,恐怖主义及其相关的邻里效应对中东国家的股票收益具有负向影响。此外,腐败指数和油价对这些国家的股市回报产生负向影响,而民主指数对股市回报产生正向影响。根据研究结果,为了实现高而稳定的股票市场回报,建议与相关国家的领导人进行高层磋商,以减少恐怖活动的破坏性影响,增加政治和经济稳定,吸引股东进入股票市场,并将相应的收入用于发展该地区国家该部门的基础设施。原创性/价值大多数研究在国家或省一级调查了恐怖主义对股票市场回报的影响。然而,恐怖主义对中东紧张地区股市指数的影响,作为世界恐怖袭击的中心,并没有考虑到空间计量效应。因此,据作者所知,本研究是第一次尝试使用空间计量经济学方法研究恐怖主义对中东国家股市回报的影响。
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引用次数: 0
Antecedents of Islamic welfare: productivity, education, and the financial aspect 伊斯兰福利的前身:生产力、教育和财政方面
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-11-14 DOI: 10.1108/imefm-07-2022-0299
Meri Indri Hapsari, Amin Hanif Mahmud, Sri Herianingrum, R. Moh Qudsi Fauzy, Siti Ngayesah Ab. Hamid, Arka Prabaswara, Lina Mawaddatul Masfiyah
Purpose The purpose of this study is to analyse, firstly, whether education, financial inclusion, financial literacy and financial planning can be antecedents that affect Islamic welfare and, secondly, whether productivity can be a mediator to improve Islamic welfare. Design/methodology/approach This study involved quantitative research using data obtained from a survey. The respondents were 538 Muslim families in East Java, Indonesia. Structural equation modelling was used for the analysis. Findings This study tested 13 hypotheses, of which 10 were accepted. The accepted hypotheses refer to the effects of financial literacy on productivity, financial inclusion on productivity, financial planning on productivity, financial planning on Islamic welfare, education on Islamic welfare, productivity on Islamic welfare, financial literacy and productivity on Islamic welfare, financial inclusion and productivity on Islamic welfare and financial planning and productivity on Islamic welfare, as well as the effects of financial inclusion on Islamic welfare. Meanwhile, three hypotheses were not accepted; they refer to the effects of financial literacy on Islamic welfare, the effect of education on productivity, as well as the impact of education and productivity on Islamic welfare. Research limitations/implications The study was conducted only with respondents living in East Java, so the results depict the condition of Muslim families’ welfare in East Java. Originality/value Research into the antecedents of Islamic welfare has received little academic attention, so this study explores how education, financial inclusion, financial literacy, financial planning and productivity could affect Islamic welfare among Muslim families.
本研究的目的是分析,首先,教育,金融普惠,金融素养和财务规划是否可以成为影响伊斯兰福利的前因,其次,生产力是否可以成为提高伊斯兰福利的中介。设计/方法/方法本研究采用从调查中获得的数据进行定量研究。调查对象是印度尼西亚东爪哇的538个穆斯林家庭。采用结构方程模型进行分析。本研究检验了13个假设,其中10个被接受。被接受的假设包括金融素养对生产率的影响、金融普惠对生产率的影响、金融规划对生产率的影响、金融规划对伊斯兰福利的影响、教育对伊斯兰福利的影响、生产率对伊斯兰福利的影响、金融素养和生产率对伊斯兰福利的影响、金融普惠和生产率对伊斯兰福利的影响、金融规划和生产率对伊斯兰福利的影响,以及金融普惠对伊斯兰福利的影响。同时,三个假设不被接受;他们指的是金融知识对伊斯兰福利的影响,教育对生产力的影响,以及教育和生产力对伊斯兰福利的影响。本研究仅针对居住在东爪哇的回答者进行,因此研究结果描述了东爪哇穆斯林家庭的福利状况。对伊斯兰福利起源的研究很少受到学术界的关注,因此本研究探讨了教育、金融包容性、金融素养、财务规划和生产力如何影响穆斯林家庭的伊斯兰福利。
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引用次数: 0
Bank-specific factors, market conditions and the riskiness of Islamic and conventional banks: evidence from recent quantile approaches 银行特定因素、市场条件和伊斯兰银行和传统银行的风险:来自最近的分位数方法的证据
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-10-20 DOI: 10.1108/imefm-11-2022-0435
Resul Aydemir, Huzeyfe Zahit Atan, Bulent Guloglu
Purpose The purpose of this paper is to investigate how bank-specific factors affect the riskiness of conventional and Islamic banks in response to shocks in major financial indices as market conditions change. Design/methodology/approach The authors use a multivariate quantile model using daily equity returns data to analyze financial risk spillovers in the values at risk that may occur between major financial indices and the equity prices of conventional and Islamic banks worldwide. Then, using both quantile and quantile-on-quantile models, the authors examine the effects of bank-specific variables such as leverage ratio, bank size, return on equity and capital adequacy ratio on the initial impact of shocks in major global financial indices on bank equity price returns at different quantiles of shocks and bank-specific variables. Findings The findings reveal that major financial indices can predict bank stock returns. Moreover, the authors find that the effect of bank-specific factors on the riskiness of banks is heterogeneous in that it depends on the bank type (Islamic vs conventional), the level of banking variable (high vs low) and, more importantly, market conditions. Originality/value To the best of the authors’ knowledge, this is the first study that compares the dual banking system with stock market performance while considering bank-specific variables as market conditions change. The results of this study reveal that the effect of bank-specific variables on bank performance varies according to different quantiles of shocks and bank-specific variables. Islamic banks may echo or differ from conventional banks depending on the specific factor under investigation.
本文的目的是研究银行特定因素如何影响传统银行和伊斯兰银行的风险,以应对市场条件变化时主要金融指数的冲击。设计/方法/方法作者使用一个多变量分位数模型,使用每日股票回报数据来分析全球主要金融指数与传统银行和伊斯兰银行股票价格之间可能发生的风险价值的金融风险溢出效应。然后,使用分位数和分位数对分位数模型,作者检查了银行特定变量(如杠杆率、银行规模、股本回报率和资本充足率)对主要全球金融指数在不同冲击分位数和银行特定变量下对银行股价回报的冲击的初始影响。研究结果表明,主要财务指标可以预测银行股的收益。此外,作者发现,银行特定因素对银行风险的影响是异质的,因为它取决于银行类型(伊斯兰vs传统),银行变量水平(高vs低),更重要的是,市场条件。据作者所知,这是第一个将二元银行体系与股市表现进行比较的研究,同时考虑到随着市场条件的变化,银行特定的变量。本研究的结果表明,银行特定变量对银行绩效的影响因不同的冲击分位数和银行特定变量而异。根据调查的具体因素,伊斯兰银行可能与传统银行相似,也可能不同。
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引用次数: 0
Evaluating the technical efficiency of Saudi Arabian telecommunications companies using window DEA and AHP techniques 利用窗口DEA和AHP技术评价沙特阿拉伯电信公司的技术效率
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-10-12 DOI: 10.1108/imefm-02-2023-0043
Amr Abdel-Halim, Mohammed Al Khars, Ahmad Alnasser
Purpose This study aims to evaluate the efficiency of the three telecommunications companies in Saudi Arabia: Saudi Telecom Company (STC), Mobily and Zain over the period of 2010–2019. This evaluation is a step toward improving the performance of the Saudi telecommunications sector. Design/methodology/approach Three multicriteria decision-making (MCDM) techniques were used to calculate technical efficiency. These techniques include the traditional data envelopment analysis (DEA), window DEA and analytical hierarchy process (AHP). The three inputs used were total assets, operating expenses and capital expenditures, whereas the two outputs were sales revenue and total stockholders’ equity. Findings STC was ranked first using the three techniques, followed by Zain, and then Mobily. According to the DEA window analysis, these three companies were all efficient only in 2012. The efficiency was high in the initial years, 2010–2013, when it was above 0.90, and it dropped below 0.90 in the subsequent years, 2014–2019. In addition, the efficiency of STC remained high, with an average of 0.990. However, the average efficiencies of Zain and Mobily during this period were 0.807 and 0.804, respectively. Originality/value This is the first study to use the three MCDM techniques to evaluate the performance of telecommunications providers. The results show that window DEA is better than the other two techniques at evaluating performance over time, as it has a higher discrimination power than either the traditional DEA or AHP.
本研究旨在评估沙特阿拉伯三家电信公司:沙特电信公司(STC)、Mobily和Zain在2010-2019年期间的效率。这一评价是朝着改善沙特电信部门业绩迈出的一步。设计/方法/方法采用三种多准则决策(MCDM)技术来计算技术效率。这些技术包括传统的数据包络分析(DEA)、窗口DEA和层次分析法(AHP)。所使用的三种投入是总资产、营业费用和资本支出,而两种产出是销售收入和股东权益总额。结果三种技术对STC的评价排名第一,Zain次之,Mobily次之。根据DEA窗口分析,这三家公司仅在2012年都是高效的。2010-2013年的效率较高,在0.90以上,随后的2014-2019年的效率下降到0.90以下。此外,STC的效率仍然很高,平均为0.990。然而,Zain和Mobily在此期间的平均效率分别为0.807和0.804。原创性/价值本研究首次使用三种MCDM技术来评估电信供应商的绩效。结果表明,窗口DEA比传统DEA和AHP具有更高的识别能力,在评估绩效随时间的变化方面优于其他两种技术。
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引用次数: 0
Predicting the future financial performance of Islamic banks: a sentiment analysis approach 预测伊斯兰银行未来的财务表现:一种情绪分析方法
3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-09-29 DOI: 10.1108/imefm-07-2022-0267
Javid Iqbal, Muhammad Khalid Sohail, Muhammad Kamran Malik
Purpose This study aims to predict the financial performance of Islamic banks with sentiments of management from the textual information in annual reports. Design/methodology/approach The study uses data from 33 Islamic banks in six Islamic countries from 2006 to 2020. The authors estimate the model using the system GMM because it helps dealing with endogeneity problem, which are inherent in panel data. Findings The findings of the study reveal that there is a strong relationship between the sentiment expressed by management in annual reports and the current (future) financial performance of Islamic banks. The higher the positive sentiments of management, the better financial performance. In addition, the study also suggests that negative sentiments using term frequency-inverse document frequency is linked to a decrease in banks’ financial performance. Research limitations/implications The study does not present the Islamic view on sentiment analysis in the context of Islamic scriptures due to the unavailability of a relevant dictionary. Practical implications The findings of the study suggest that developing accurate models with the help of textual information for performance prediction of Islamic banks help shareholders, regulators and policymakers avoid devastating events. Using textual information may also help reduce the information asymmetry between the management and shareholders, which may lead to more efficient bank supervision. The study can also help investors evaluate their prospective investments in the Islamic bank. Originality/value To the best of the authors’ knowledge, this study is the first of its kind that uses management sentiments for performance prediction of the Islamic banking sector. It may add a valuable contribution to the existing literature.
目的本研究旨在利用伊斯兰银行年报中的文字信息,运用管理层的情感来预测伊斯兰银行的财务绩效。该研究使用了六个伊斯兰国家33家伊斯兰银行2006年至2020年的数据。作者使用系统GMM来估计模型,因为它有助于处理面板数据固有的内生性问题。研究结果表明,管理层在年度报告中表达的情绪与伊斯兰银行当前(未来)的财务业绩之间存在很强的关系。管理层的积极情绪越高,财务业绩越好。此外,该研究还表明,使用术语频率逆文件频率的负面情绪与银行财务业绩的下降有关。由于没有相关的词典,这项研究没有在伊斯兰经文的背景下提出伊斯兰对情感分析的观点。研究结果表明,在文本信息的帮助下开发准确的模型用于伊斯兰银行的业绩预测,有助于股东、监管机构和政策制定者避免灾难性事件。使用文本信息也有助于减少管理层和股东之间的信息不对称,从而可能导致更有效的银行监管。这项研究还可以帮助投资者评估他们在这家伊斯兰银行的潜在投资。据作者所知,这项研究是同类研究中首次使用管理情绪来预测伊斯兰银行业的业绩。它可能会对现有文献做出有价值的贡献。
{"title":"Predicting the future financial performance of Islamic banks: a sentiment analysis approach","authors":"Javid Iqbal, Muhammad Khalid Sohail, Muhammad Kamran Malik","doi":"10.1108/imefm-07-2022-0267","DOIUrl":"https://doi.org/10.1108/imefm-07-2022-0267","url":null,"abstract":"Purpose This study aims to predict the financial performance of Islamic banks with sentiments of management from the textual information in annual reports. Design/methodology/approach The study uses data from 33 Islamic banks in six Islamic countries from 2006 to 2020. The authors estimate the model using the system GMM because it helps dealing with endogeneity problem, which are inherent in panel data. Findings The findings of the study reveal that there is a strong relationship between the sentiment expressed by management in annual reports and the current (future) financial performance of Islamic banks. The higher the positive sentiments of management, the better financial performance. In addition, the study also suggests that negative sentiments using term frequency-inverse document frequency is linked to a decrease in banks’ financial performance. Research limitations/implications The study does not present the Islamic view on sentiment analysis in the context of Islamic scriptures due to the unavailability of a relevant dictionary. Practical implications The findings of the study suggest that developing accurate models with the help of textual information for performance prediction of Islamic banks help shareholders, regulators and policymakers avoid devastating events. Using textual information may also help reduce the information asymmetry between the management and shareholders, which may lead to more efficient bank supervision. The study can also help investors evaluate their prospective investments in the Islamic bank. Originality/value To the best of the authors’ knowledge, this study is the first of its kind that uses management sentiments for performance prediction of the Islamic banking sector. It may add a valuable contribution to the existing literature.","PeriodicalId":47091,"journal":{"name":"International Journal of Islamic and Middle Eastern Finance and Management","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135131745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Equity financing and Islamic bank stability: evidence from Malaysia and Indonesia 股权融资与伊斯兰银行稳定性:来自马来西亚和印度尼西亚的证据
IF 3 3区 经济学 Q2 BUSINESS, FINANCE Pub Date : 2023-09-12 DOI: 10.1108/imefm-03-2022-0106
Norfaizah Othman, Mariani Abdul-Majid, Aisyah Abdul-Rahman
PurposeThis paper aims to determine the effect of equity financing on bank stability during normal and crisis periods.Design/methodology/approachThis study uses a static panel regression that includes pooled ordinary least square, random effect and fixed effect model to examine the influence of equity financing on bank stability. In estimating bank stability during a financial crisis, the authors predict the occurrence of a crisis using the early warning system (EWS). The authors then used z-score to measure Islamic banks’ stability.FindingsIslamic banks that offer equity financing structure are more stable compared to Islamic banks without such structure. Islamic banks with medium equity financing have highest stability relative to Islamic banks with high or low equity financing. During crises, the Islamic banks with equity financing structure remain relatively stable compared to other Islamic banks.Research limitations/implicationsThe sampling coverage could have included a larger number of countries and banks.Practical implicationsThe authorities need to strengthen the banking framework to support the Islamic financial products by encouraging a wider use of risk-sharing instruments. Besides using a debt-like financing structure, Islamic banks should also place emphasis on equity financing in instilling the banking sector stability. In monitoring banks with equity financing, the authorities may need to look into the level of equity financing.Social implicationsBesides avoiding riba and gharar in financing, equity financing encourages cooperation and participation among society as they share the risks.Originality/valueThis paper analyses the effect of equity financing on the Islamic banks stability during normal and crisis periods. This paper further examines the intensity of the equity financing and its influence on bank stability.
本文旨在确定股权融资在正常和危机时期对银行稳定性的影响。设计/方法/方法本研究采用静态面板回归,包括汇集普通最小二乘,随机效应和固定效应模型来检验股权融资对银行稳定性的影响。在评估金融危机期间的银行稳定性时,作者使用早期预警系统(EWS)预测危机的发生。然后,作者使用z-score来衡量伊斯兰银行的稳定性。研究发现,提供股权融资结构的伊斯兰银行比没有股权融资结构的伊斯兰银行更稳定。中等股权融资的伊斯兰银行相对于高或低股权融资的伊斯兰银行具有最高的稳定性。在危机期间,股权融资结构的伊斯兰银行相对于其他伊斯兰银行保持相对稳定。研究局限性/影响抽样范围本可以包括更多的国家和银行。实际意义当局需要通过鼓励更广泛地使用风险分担工具来加强银行框架,以支持伊斯兰金融产品。除了使用类似债务的融资结构外,伊斯兰银行还应重视股权融资,以灌输银行业的稳定性。在监督拥有股权融资的银行时,当局可能需要考察股权融资的水平。社会意义:股权融资除了避免融资中的回扣和回扣外,还鼓励社会的合作和参与,因为他们分担风险。本文分析了股权融资在正常和危机时期对伊斯兰银行稳定性的影响。本文进一步考察了股权融资的强度及其对银行稳定性的影响。
{"title":"Equity financing and Islamic bank stability: evidence from Malaysia and Indonesia","authors":"Norfaizah Othman, Mariani Abdul-Majid, Aisyah Abdul-Rahman","doi":"10.1108/imefm-03-2022-0106","DOIUrl":"https://doi.org/10.1108/imefm-03-2022-0106","url":null,"abstract":"\u0000Purpose\u0000This paper aims to determine the effect of equity financing on bank stability during normal and crisis periods.\u0000\u0000\u0000Design/methodology/approach\u0000This study uses a static panel regression that includes pooled ordinary least square, random effect and fixed effect model to examine the influence of equity financing on bank stability. In estimating bank stability during a financial crisis, the authors predict the occurrence of a crisis using the early warning system (EWS). The authors then used z-score to measure Islamic banks’ stability.\u0000\u0000\u0000Findings\u0000Islamic banks that offer equity financing structure are more stable compared to Islamic banks without such structure. Islamic banks with medium equity financing have highest stability relative to Islamic banks with high or low equity financing. During crises, the Islamic banks with equity financing structure remain relatively stable compared to other Islamic banks.\u0000\u0000\u0000Research limitations/implications\u0000The sampling coverage could have included a larger number of countries and banks.\u0000\u0000\u0000Practical implications\u0000The authorities need to strengthen the banking framework to support the Islamic financial products by encouraging a wider use of risk-sharing instruments. Besides using a debt-like financing structure, Islamic banks should also place emphasis on equity financing in instilling the banking sector stability. In monitoring banks with equity financing, the authorities may need to look into the level of equity financing.\u0000\u0000\u0000Social implications\u0000Besides avoiding riba and gharar in financing, equity financing encourages cooperation and participation among society as they share the risks.\u0000\u0000\u0000Originality/value\u0000This paper analyses the effect of equity financing on the Islamic banks stability during normal and crisis periods. This paper further examines the intensity of the equity financing and its influence on bank stability.\u0000","PeriodicalId":47091,"journal":{"name":"International Journal of Islamic and Middle Eastern Finance and Management","volume":" ","pages":""},"PeriodicalIF":3.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43052095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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International Journal of Islamic and Middle Eastern Finance and Management
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