Regional Stock Market Research Articles

Environmental and social responsibility reporting. Do Macedonian companies disclose those information and how?

Abstract Incorporating environmental impact into financial reports is becoming standard practice in the 21st Century. Investors are aware of the need for environmentally correct operations since failures in this domain lower the price of shares. However, in terms of regulation, in most of the countries, environmental reporting remains voluntary. Institutions dealing with development and promotion of the modern accounting and financial reporting standards encourage companies to concurrently report for their environmental activities. The only question is how. Accounting may include information on the environmental impact only if it is quantitative and monetary. Since many nuances of the issues remain difficult to quantify, corporations opt to separately report on their environmental practices. The aim of this paper is to examine the accounting and stock market regulations and the practice of reporting for environmental impact of the operations of the leading Macedonian companies. We selected ten companies that make the Macedonian Stock Exchange Index and additional five companies with significant environmental impact. We reviewed their annual reports and interviewed their financial officers. The results show that the environmental and social responsibility reporting is left to the companies and their management and its perception of the need for keeping posted the major stakeholders and the most appropriate way to do it. As a consequence, many large Macedonian companies do not refer to these issues in their annual addressing to the stakeholders. The findings of this paper can motivate the regulatory body and the government to require more transparency and disclosure of the sustainability information.

Does the Pre-Open Auction Market Improve Efficiency of Price Discovery in Stock Markets? Evidence from India

The paper analyzed the impact of opening call auction on the efficiency of price discovery at the National Stock Exchange (NSE), India by studying the returns and volatility behavior of one benchmark index (NSE's Nifty) and 10 Nifty component companies selected on random. The paper used the closing prices for the period 3 years before and 3 years after the introduction of the call auction market in 2010. Descriptive statistics, one-way ANOVA, augmented Dickey-Fuller unit-root Test, and ARCH-GARCH type methodology was employed for the analysis. The paper found no significant difference in the returns during the two periods, though a reduction in volatility was observed. The introduction of the pre-open auction market resulted in an improvement in the efficiency of price discovery of various stocks. The findings of the paper offer valuable inputs for stock market regulators as well as investors.

Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis

The main purpose of this study is to analyze the interactive linkages between the sharia stocks and sukuk (Islamic bonds) in the Gulf Cooperation Countries (GCC), using the bivariate two-state Markov switching regime EGARCH of Henry (2009). The results support the presence of two different regimes in both the conditional mean and the conditional variance of those sharia stock and sukuk returns. The first regime corresponds to a high mean–low variance regime and the second is characterized by a low mean–high variance. Furthermore, our results point out that the linkages between the sharia stocks and sukuk GCC markets are also regime-dependent and the sharia stock market volatility reacts asymmetrically to events in the sukuk markets. Additionally, we provide to the literature new evidence which asserts that changes in the GCC sukuk price index have a significant impact on the probability of transmission across regimes. Our findings have several economic and managerial implications for Islamic portfolio managers, Islamic hedge funds, stock market regulators, and policy makers.

Reforma de la normativa contable española: análisis de su entramado institucional

The aim of this study is to analyze the institutional framework of the reform of the Spanish accounting standards in 2007. Using the insights of the institutional theory, we identify the interest groups that had a significant influence in the process and the consequences of such influences on the White Book of 2002 and on the 2007 Spanish GAAP. Following DiMaggio and Powell, we use the concept of isomorphism to identify the pressures that different interest groups exert on the accounting reform. We collect empirical evidence from different sources, including interviews to key participants in the process, official documents and opinions published in the press and specialized journals. Our analysis suggests that coercive pressures dominated the process, both at a national level (the role of the government through the Instituto de Contabilidad y Auditoría de Cuentas, the Spanish accounting regulator) and at a supranational level (the European Commission). We also find evidence of the influence of other regulators such as the stock market regulator (Comisión Nacional del Mercado de Valores) and the Spanish Central Bank (Banco de España). Their influence is an example of mimetic isomorphism: these regulators took the lead of the accounting reforms in their range of influence (listed companies and financial institutions, respectively). Different groups of experts (e.g., academics) also influenced the process through normative isomorphism. Finally, we highlight the dynamic and changing nature of such influences.

Variance Ratio Tests of The Random Walk in The BRVM

The hypothesis that a stock market price index follows a random walk is tested for the regional stock market of the West African Economic and Monetary Union called the Bourse Regionale des Valeurs Mobilieres (BRVM) using the Lo and MacKinlay (1988), the Chow and Denning (1993), and the Wright’s (2000) rank-based variance ratio tests. The tests are applied to daily stock price index over the period January 2, 2002 to December 31, 2004, and all three tests reveals that the null hypothesis of random walk can not be rejected in the BRVM. This result is an indication that the BRVM is weak form efficiency and has various implications for investors and regulators. The first would engage their savings into productive investments opportunities and the second will limit their intervention as securities are fairly priced.

Empirical analysis of the generalized consumption asset pricing model: Estimating the cost of capital

Other than the problematic discounted cash flow and capital asset pricing models that have been used for decades, no other asset pricing models have generally been adopted for estimating the cost of common equity capital. A recently developed and promising general consumption asset pricing model for estimating costs of common equity is successful in empirical tests and applied for estimating the cost of common equity. This research presents an empirical investigation of the model for application to the regulation of public utilities and stock market and compares the cost of capital results with the CAPM. The model is applicable for estimating the cost of common equity capital for any stock. The paper recommends that the GCAPM be considered as an additional asset model with the others that are typically used as additional information in estimating the cost of common equity capital.

Liquidity and Returns: Evidences from Stock Indexes around the World

Using data from 16 developing countries and 10 developed countries between January 2000 and December 2013, this study examines the relationship between liquidity and stock index return. The empirical results show that the higher market liquidity (trading volume, turnover ratio, and turnover volatility), the higher stock index return in developing countries. Conversely, the market liquidity (trading volume, turnover ratio, turnover volatility) corresponds negatively with return in the developed countries. During the crisis, however, the relationship between market liquidity and return show mixed results. While trading volume and turnover stays positive, yet the other liquidity measures become insignificant. In particular, for developed countries, only Amihud significantly affects return. Our results are robust even after controlling dividend yield, exchange rate, and regional stock market beta.

Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?

The purpose of this article is to examine the efficiency of the Gulf Cooperation Council (GCC) stock markets of Saudi Arabia, the United Arab Emirates, Kuwait, Oman, Qatar, and Bahrain. We attempt to answer whether GCC stock markets are weak-form efficient individually or as a group by applying a battery of parametric, nonparametric, unit root, and Johansen cointegration tests to daily index prices denominated in local currencies covering the period December 2003 to January 2013. The findings of our study show that GCC stock markets are not individually weak-form efficient. That is to say, current prices of each GCC stock markets can be predicted from past price changes in that market. The study also finds that collectively, GCC stock markets are not weak-form efficient, as the movements of past prices of one GCC market can be used to predict the current price movement of another GCC stock market. This inefficiency could be due to the weak degree of foreign participation and the high concentration in the banking and financial sectors. Finally, the study suggests a number of policy implications for academics, policy makers and investors, and directions for future research.

Regional stock market integration in Singapore: A multivariate analysis

This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for dynamic changes in the degree of market integration, regional market risk premium, regional exchange-rate risk premium, and domestic market risk premium. Our findings show several interesting facts. First, the time-varying degree of integration in the Singapore market is satisfactorily explained by the level of trade openness and the term premium of US interest rates, which have recently tended to increase, however these markets remain substantially segmented from the world market. Second, the local market risk premium is found to explain a significant proportion of the total risk premium for emerging market returns. Our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity markets. Our results are also of interest for both policymakers and investors, with respect to regional development policies and dedicated portfolio investment strategies in the ASEAN-5 region.

Regional Illiquidity Spillover

This study discusses the effect that there is an abundance of liquidity risk or illiquidity on a regional stock markets by taking samples at stocks that have a large capitalization in each country. Regional stock markets that are used in this study are the ASEAN Stock Market: Philippine, Indonesia, Malaysia, Singapore and Thailand as well as Hong Kong and Japan Stock Market as one of the world's stock market which has the largest stock capitalization. This study uses 3 liquidity measures which are Amihud illiquidity measure, Relative Bid-Ask Spread and Corwin Schultz High-Low Spread in which the results of all the measurement will be estimated using the multivariate GARCH, BEKK representative to see the effects of liquidity risk spillover. The results of the study found that for all liquidity measures, it can be seen a illiquidity spillover effects that observed between countries and regional markets which proves that liquidity is also one of the factors that have an effect on the abundance of regional stock market beside stock market return.

Canonical correlation analysis

Purpose– The purpose of this paper was to construct a canonical correlation analysis (CCA) model for the Zimbabwe stock exchange (ZSE). This paper analyses the impact of macroeconomic variables on stock returns for the Zimbabwe Stock Exchange using the canonical correlation analysis (CCA).Design/methodology/approach– Data for the independent (macroeconomic) variables and dependent variables (stock returns) were extracted from secondary sources for the period from January 1990 to December 2008. For each variable, 132 sets of data were collected. Eight top trading companies at the ZSE were selected, and their monthly stock returns were calculated using monthly stock prices. The independent variables include: consumer price index, money supply, treasury bills, exchange rate, unemployment, mining and industrial index. The CCA was used to construct the CCA model for the ZSE.Findings– Maximization of stock returns at the ZSE is mostly influenced by the changes in consumer price index, money supply, exchange rate and treasury bills. The four macroeconomic variables greatly affect the movement of stock prices which, in turn, affect stock returns. The stock returns for Hwange, Barclays, Falcon, Ariston, Border, Caps and Bindura were significant in forming the CCA model.Research limitations/implications– During the research period, some companies delisted due to economic hardships, and this reduced the sample size for stock returns for respective companies.Practical implications– The results from this research can be used by policymakers, stock market regulators and the government to make informed decisions when crafting economic policies for the country. The CCA model enables the stakeholders to identify the macroeconomic variables that play a pivotal role in maximizing the strength of the relationship with stock returns.Social implications– Macroeconomic variables, such as consumer price index, inflation, etc., directly affect the livelihoods of the general populace. They also impact on the performance of companies. The society can monitor economic trends and make the right decisions based on the current trends of economic performance.Originality/value– This research opens a new dimension to the study of macroeconomic variables and stock returns. Most studies carried out so far in Zimbabwe zeroed in on multiple regression as the central methodology. No study has been done using the CCA as the main methodology.

Regime shifts and volatility in BRIICKS stock markets: an asset allocation perspective

Purpose– The purpose of this paper is to examine the regime shifts and stock market volatility in the stock market returns of seven emerging economies popularly called as “BRIICKS” which stands for Brazil, Russia, India, Indonesia, China, South Korea and South Africa, over the period from February 1996 to January 2012 by applying Markov regime switching (MS) in mean-variance model.Design/methodology/approach– The authors apply MS model developed by Hamilton (1989) using its mean-variance switching framework on the monthly returns data of BRIICKS stock markets. Further, the estimated probabilities along with variances have been used to calculate the time-varying volatility. The authors also examine market synchronization and portfolio diversification possibilities in sample markets by calculating the Logit transformation based cross-market correlations and Sharpe ratios.Findings– The applied model finds two regimes in each of these markets. The estimated results also helped in formulating the asset allocation strategies based on market synchronization and Sharpe ratio. The results suggest that BRIICKS is not a homogeneous asset class and each market should be independently evaluated in terms of its regime-switching behavior, volatility persistence and level of synchronization with other emerging markets. The study finally concludes that Russia, India and China as the best assets to invest within this emerging market basket which can be pooled with a mature market portfolio to achieve further benefits of risk diversification.Research limitations/implications– The study does not provide macroeconomic and financial explanations of the observed differences in dynamics among sample emerging stock markets. The study does not examine these markets under multivariate framework.Practical implications– The results highlight the role of regime shifts and stock market volatility in the asset allocation and risk management. This study has important implications for international asset allocation and stock market regulation by way of identifying and recognizing the differences on regimes and on the dynamics of the swings which can be very useful in the field of portfolio and public financial management.Originality/value– The paper is novel in employing tests of MS under mean-variance framework to examine the regime shifts and volatility switching behavior in seven promising BRIICKS stock market. Further, using MS model, the authors analyze the duration (persistence) of each identified regime across sample markets. The empirical results of MS model have been used for making portfolio allocation strategies and also examine the synchronization across markets. All these aspects of stock market regime have been largely ignored by the existing studies in emerging market context particularly the BRIICKS markets.

Stock Market Volatility under Sanctions

Since 1979, Iran has faced with unilateral and multilateral harsh sanctions due to its nuclear energy program. These sanctions have resulted in significant problem to both sanctioned and sanctioning parties. Given the fact that sanctions have had significant impacts on Iran’s economy and since Iran stock market is the barometer of its economy, it is assumed that sanctions affect the Iranian stock market as well. To test this hypothesis, this study studied the Iranian stock market volatility during harsh sanctions using ARCH models. The study found that, despite all sanctions, not only Iran’s stock market shows major stylized facts of any stock market’s volatility i.e. volatility clustering, fat tails and mean reversion but also it shows no irregularity which could be attributed to effect of sanctions. This finding was consistent with Iranian stock market regulators claiming Iranian stock market growth and the U.S. Congressional Research Service report 2013. Therefore, based on findings, this study concluded that Iranian stock market has not affected by sanctions.

Exchange Traded Fund in Indian Stock Market

Exchange traded funds (ETFs) are one of the most innovative financial products introduced on exchanges. ETFs in India, investors need D-MAT account and many Indian investors do not have these accounts and therefore do not consider ETFs. ETFs have been limited to broad indexes when compare other countries markets. In USA 75% ETFs are affect the total turnover of U.S stock Exchange but in India only the 25% of ETFs are affect the total turnover of Indian Stock market. Indian stock market regulators only can regulate the way of trading ETFs and Create awareness about riskless ETFs trading to Indian traders. I. Introduction An ETF refers to a diversified basket of securities that is traded in real time like an individual stock on an exchange.Unlike regular open-ended mutual funds, ETFs can be bought and sold throughout the trading day like any other stock.An ETF is similar to an index fund, but the ETFs can invest in either all of the securities or a representative sample of the securities included in the index. Exchange-traded funds first came into existence in the USA in 1993. Importantly, the ETFs offer a one-stop exposure to a diversifi ed basket of securities that can be traded in real time like an individual stock. MEANING : EXCHANGE TRADED FUND(Etfs) A security that tracks an index, a commodity or a basket of assets like an index fund, but trades like a stock on an exchange. ETFs experience price changes throughout the day as they are bought and sold. Because it trades like a stock, an ETF does not have its net asset value (NAV) calculated every day like a mutual fund does. By owning an ETF, you get the diversification of an index fund as well as the ability to sell short, buy on margin and purchase as little as one share. Another advantage is that the expense ratios for most ETFs are lower than those of the average mutual fund. When buying and selling ETFs, you have to pay the same commission to your broker that you'd pay on any regular order. Etfs: EVOLUTION AND RECENT TRENDS The first ETF in India, the NIFTY BEES (Nifty Benchmark Exchange Traded Scheme) based on Nifty 50 was launched inDecember 2001 by Benchmark Mutual Fund. It is bought and sold like any other stock on NSE and has all characteristicsof an index fund. As of March 2013, there were 35 ETFs listed on NSE. The ETF based on Sensex is SPICE (SensexPrudential ICICI Exchange Traded Fund) which was launched by -Prudential ICICI. Growth in Gold ETFs have seen a rising trend as shown in Following Figure however other ETFs have seen a decline in activity from 2007 to 2011.

Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Parity (PPP) as well as temporal variations in both regional and local sources of risk. Using data from five major South Asian markets (Malaysia, Thailand, Singapore, Indonesia, and Sri Lanka), our results support the validity of an ICAPM and indicate that the risk is regionally priced. Furthermore, we show that changes in the degree of regional stock market integration are explained principally by the U.S. term premium, and the level of market openness, whatever the measure of currency risk. Finally, and as expected, the degree of stock market integration varies considerably over time and from one market to another. As intense market integration induces both benefits and risks, our findings should have significant implications for economic policies and market regulations in emerging, frontier-emerging and transition countries, particularly for countries from the same region.

The determinants of regional stock market integration in middle east: A conditional ICAPM approach

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intra-regional integration in the Middle East region during the period 1996–2008 using an international conditional Capital Asset Pricing Model (ICAPM) version that allows for dynamic changes in the degree of regional market integration, global risk premium, currency risk premium and local market risk premium.Our findings show that inflation, exchange rate volatility, variations in interest rate spread and global market dividend yields are key intra-regional integration variables in the Middle East context. Moreover, despite the complex economic and political situation that characterises the Middle East, our results indicate that stock markets in this area are well integrated in the regional market.

Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal variations in both regional and local sources of risk. Using data from seven major countries of the Middle East North Africa (MENA) region (Turkey, Israel, Egypt, Jordan, Syria, Kuwait and Tunisia), our results support the validity of ICAPM and indicate that the risk is regionally priced. Furthermore, we show that changes in the degree of regional stock market integration are explained principally by inflation, exchange rate volatility, rate spread variations, short-term interest rate and world market dividend yield.

A Coexceedance Approach on Financial Contagion

The paper sheds light on financial contagion within the Euro Area and Asia, and contagion from the Euro Area to Asia during two recent crises: the global financial crisis and European sovereign debt crisis. Applying the multinomial logit regression model, the paper investigates how the macro-finance variables affect the coincidence of extreme negative returns (coexceedances). In addition, I apply both original constant threshold i.e. 5% percentile of unconditional distribution of daily stock returns and Value-at-Risk to estimate extreme negative returns. These approaches offer a similar pattern. The empirical findings reveal that, in the Euro Area and Asia, the probability of the occurrence of coexceedances is strongly explained by the idiosyncratic risks: the changes in exchange rates, the regional stock market volatility, and global shocks: the changes in the U.S. long-term interest rates, the TED spread. The global volatility index is only significant to explain the likelihood of coexceedances in the Euro Area, not in Asia. These analyses lead to the conclusion that contagion in Asia is more important than in the Euro Area. Another important finding indicates the existence of contagion from the Euro Area to Asia. That is, the probability of coexceedances in Asia is predictable and depends on the number of joint occurrence of extreme return shocks in the Euro Area.

Integration In Middle East Stock Markets: Determinants, Effects And Evolutions

This article investigates the stock market integration within the Middle East region. We develop a regional dynamic version of the CAPM and estimate it using a multivariate GARCH methodology. We contribute to the financial literature by proposing the first empirical work that addresses the following three questions for emerging stock markets from Middle East region: (i) What factors determine Middle East regional stock market integration? (ii) Is exchange rate risk priced in Middle East emerging stock markets? And (iii) what are the relative contributions of regional and local risk factors to the total risk premium in Middle East emerging stock markets?

PENGARUH KRISIS EKONOMI AMERIKA SERIKAT TERHADAP BURSA SAHAM DAN PERDAGANGAN INDONESIA

This paper analyzes the impact of the financial crisis in United States 2008 on Indonesia’s economy, by using Structural Vector Autoregressive (SVAR) model of 5 variables; Dow Jones Industrial Average, exchange rate, composite stock price index (IHSG), production index and trade tax income. The result shows that the US crisis affects the capital market in Indonesia where the Dow Jones Industrial Average plays greater role in explaining the IHSG, compared to Rupiah rate, production index and the trade income tax. In addition, the US crisis affects the volume and the trade income tax in Indonesia. These empirical results bring policy implication for Bappepam-LK as stock market regulator to intervene or to suspend the trade when the volatility exceeds the psychological threshold. It also emphasizes the necessity to diversify the export country destination and to increase the quality and the value added of Indonesian export.Keywords : US Crisis, stock market, trade, SVAR.JEL Classification : G18