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Article
Publication date: 22 May 2009

Mahfuzul Haque and Imen Kouki

The purpose of this paper is to examine the volatility effects on the returns for six developed market indices factoring in the unprecedented event of September 11, 2001…

753

Abstract

Purpose

The purpose of this paper is to examine the volatility effects on the returns for six developed market indices factoring in the unprecedented event of September 11, 2001, hereafter referred to as 9/11, in the USA. It also looks at the correlations between the indices and the risk premium when uncertainty in the financial markets affects the investors psyche, eroding confidence as volatility increases.

Design/methodology/approach

The volatility of the indices in generalized autoregressive conditional heteroskedasticity (GARCH) framework, employing first the Box and Jenkins ARMA (p, q) to select models is investigated. The chosen models are based on the results obtained from Akaike information criterion and Schwartz Bayesian criterion. GARCH is a mechanism that includes past variances in the explanation of future variances.

Findings

The results highlight several findings, the variance of developed market returns appears to have increased after the 9/11 event; the correlation has increased among developed markets following 9/11; 9/11 affects developed markets, holding short‐term assets do not provide the investors with the reward they usually seek, but results are mixed in the case of holding long‐term assets; for all the period including sub‐period, signs of significant volatility clustering are found; but shocks are not explosive throughout.

Originality/value

The effect of 9/11 on the markets is different from previous worldwide crashes, such as that of October 19, 1987. This paper will be of value to policy makers and managers/institutional investors and those who have some stakes in international portfolio diversification, as the objective of diversification, is to avail the opportunity to improve portfolio performance on the low correlations across international stock markets.

Details

The Journal of Risk Finance, vol. 10 no. 3
Type: Research Article
ISSN: 1526-5943

Keywords

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Article
Publication date: 17 May 2022

Imen Fredj and Marjene Rabah Gana

This article examines the link between the structure of the board of directors and target price accuracy using a sample of 51 listed firms on the Tunisian Stock Exchange over the…

217

Abstract

Purpose

This article examines the link between the structure of the board of directors and target price accuracy using a sample of 51 listed firms on the Tunisian Stock Exchange over the period of 2011–2017.

Design/methodology/approach

In this study, the authors used the generalised method of moments (GMM) model to control the endogeneity problem.

Findings

As a result, that model can serve as a signal in the forecasting process. The authors' results suggest that target price accuracy is negatively related to board independence, and dual Chief Executive officer (CEO). In addition, CEO compensation tends to exert a negative impact on target price error.

Practical implications

The authors' findings are valuable for common investors because the findings can be useful in enhancing their capital allocation decisions by assigning higher weights to forecasts issued by firms with strong corporate governance systems. The authors' study also has practical implications for managers and policymakers. Specifically, the evidence provided herein suggests that firms with strong corporate governance mechanisms enhance the accuracy of market expectations, alleviate information asymmetry, and limit market surprises, especially in a context characterised by weak investor protection. The authors' results highlight the advantages of strong corporate governance in improving a firm's information environment and, therefore, are useful for the cost–benefit analysis of improving internal governance mechanisms. Additionally, the authors' results may prove useful to investors who can rely on the information provided by analysts for well-governed companies.

Social implications

The authors' study contributes to the literature in both corporate governance and analysts' forecasts fields. The study provides additional evidence of the benefit of board quality attributes on target price accuracy in an emerging market characterised by high information asymmetry and weak investor protection. The authors' findings exhibit the effectiveness of board attributes in producing better financial information quality in Tunisia. This is useful for investors who may improve their capital allocation decisions by assigning greater weights to target price forecasts of companies with good governance quality, suggesting that good corporate governance is a credible signal of better financial information quality. These results have important implications for capital market regulators and corporate management in encouraging the implementation of good governance practices.

Originality/value

The authors attempted to assess whether corporate governance of listed firms are priced in the Tunisian context characterised by weak governance control and to highlight which mechanism is highly considered by independent financial analysts to build their forecasts.

Details

EuroMed Journal of Business, vol. 18 no. 4
Type: Research Article
ISSN: 1450-2194

Keywords

Available. Content available
Article
Publication date: 2 May 2023

Imen Khanchel, Naima Lassoued and Oummema Ferchichi

This study examines the effect of political connections on the performance of banks in the MENA region separately and then moderated by family, institutional and state ownership.

346

Abstract

Purpose

This study examines the effect of political connections on the performance of banks in the MENA region separately and then moderated by family, institutional and state ownership.

Design/methodology/approach

A hierarchical regression method was used for a sample of 111 banks operating in 10 MENA countries observed from 2009 to 2019.

Findings

The results indicate significant negative relationships between political connections and bank performance. Furthermore, institutional and family ownership moderates this relationship; institutional investors and family shareholders attenuate separately the negative impact of political connections on bank performance. Moreover, state ownership positively moderates this relationship; states as shareholders accentuate the negative relationship between political connections and bank performance. Splitting our sample according to bank-specific features (banks in authoritarian regimes versus hybrid regimes, Islamic banks versus conventional banks) confirms our findings. Our results are robust to an alternative measure of bank performance.

Research limitations/implications

Banks operating in the MENA region have to be aware of the consequence of political connections. In addition, they have to take into account the role of ownership structure when they seek to attenuate the harmful effect of political connections.

Originality/value

This paper offers an in-depth understanding of the impact of political connections on bank performance by drawing from two institutional logics: resource dependence logic and agency logic. Some recommendations on the importance of changing the existing ownership structure are highlighted, encouraging some investors to take part in the capital of banks in this region.

Details

International Journal of Emerging Markets, vol. 20 no. 1
Type: Research Article
ISSN: 1746-8809

Keywords

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Article
Publication date: 3 February 2023

Nader Naifar and Sohale Altamimi

This paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index; Panic Index; Media Coverage…

280

Abstract

Purpose

This paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index; Panic Index; Media Coverage Index, infodemic index and coronavirus statistics) on the dynamics of bitcoin returns during the COVID-19 pandemic using an asymmetric framework.

Design/methodology/approach

The authors use an asymmetric framework based on quantile regression (QR) and quantile-on-quantile regression.

Findings

QR results show that COVID-19 panic news negatively affects bitcoin market returns at times of extreme bearish. However, COVID-19 bullish sentiment negatively impacts bitcoin market returns during bullish market conditions. Quantile-on-quantile approach's (QQA) empirical results show that the effects of COVID-19-related news on bitcoin returns were heterogeneous, mainly negative and varied across quantiles.

Research limitations/implications

The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.

Practical implications

The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.

Originality/value

This study contributes to understanding the dynamics of bitcoin returns using various COVID-19 media news.

Details

Managerial Finance, vol. 49 no. 8
Type: Research Article
ISSN: 0307-4358

Keywords

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