scholarly journals Performance comparison between Islamic and conventional stocks: evidence from Pakistan's equity market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Munazza Jabeen ◽  
Saba Kausar
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Equity Market ◽  
Performance Comparison ◽  
Parametric Estimation ◽  
Total Risk ◽  
Excess Returns ◽  
Content Type ◽  
Practical Implications ◽  
Non Parametric

PurposeThis paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock Exchange by using both parametric and non-parametric approaches. The motivation is to do risk-return analysis of Islamic stock prices and conventional stock prices.Design/methodology/approachIt uses various measures of performance, e.g. Sharpe ratio, Treynor ratio, Jensen's alpha, beta, generalized auto-regressive conditional heteroskedasticity and stochastic dominance. Using the Karachi Meezan Index-30 (KMI-30) and the Karachi Stock Exchange Index-30 (KSE-30) as proxies for Islamic and conventional stock prices, respectively, it examines the performance of Islamic and conventional stocks. The daily data of KMI-30 and KSE-30, covering period from June 9, 2009 to June 20, 2020 are used.FindingsThe results show that the overall KMI-30 outperforms the KSE-30. The returns of the KMI-30 are greater than the KSE-30. However, the risk and volatility of the KMI-30 and KSE-30 are similar. Further, the KMI-30 has higher excess returns per unit of total risk than the KSE-30. But both indexes have similar excess returns per unit of systematic risk. Moreover, the KMI-30 returns have stochastically dominance over the KSE-30 returns. These results reveal that the Islamic index performs better than the conventional index.Practical implicationsThe findings provide several practical implications in financial and investment decisions making by investors, managers and policymakers such as strategies for asset allocation and investment. Further, in risk management, it provides guidance for allocating portfolios and managing risk. The investment in Islamic stocks may mitigate potential risk within asset portfolios.Originality/valueThis research is unique in its approach to the analysis of the performance comparison of conventional and Islamic stock by using comprehensive parametric and non-parametric estimation techniques. Such research has not been undertaken in the Pakistan's equity market since.

How Moroccan institutional investors view dividend policy

2017 ◽  
Vol 43 (12) ◽  
pp. 1332-1347 ◽  
Author(s):  
H. Kent Baker ◽  
Imad Jabbouri
Keyword(s):  
Institutional Investors ◽  
Stock Prices ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Mail Survey ◽  
High Response Rate ◽  
Content Type ◽  
Listed Firms ◽  
Dividend Policies ◽  
Dividend Payments

Purpose The purpose of this paper is to examine how Moroccan institutional investors view dividend policy. It discusses the importance these investors attach to the dividend policy of their investee firms, how much influence they exercise in shaping investee firms’ dividend policies, their reactions to changes in dividends, and their views on various explanations for paying dividends. Design/methodology/approach A mail survey provides a respondent and firm profile and responses to 28 questions involving various explanations for paying dividends and 30 questions on different dividend issues. Findings Institutional investors attach substantial importance to dividend policy and prefer high dividend payments. Although liquidity needs are a major driver, taxes play little role in shaping dividend preferences. Respondents agree with multiple explanations for paying dividends giving the strongest support to catering, bird-in-the-hand, life cycle, signaling, and agency theories. Research limitations/implications Despite a high response rate, the number of respondents limits partitioning the sample and testing for significant differences between different groups. Practical implications The lack of communication between Casablanca Stock Exchange (CSE) listed firms and institutional investors may depress stock prices and increase volatility. The results suggest agency problems and a weak governance environment at the CSE. Originality/value This study documents the importance that institutional investors place on dividend policy, their reactions to changes in their investees’ dividend policy, and the methods used to influence these firms. It extends previous research by reporting the level of support Moroccan institutional investors give to various explanations for paying dividends.

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs

2018 ◽  
Vol 11 (2) ◽  
pp. 169-186 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Yener Coskun ◽  
Rangan Gupta ◽  
Chi Keung Marco Lau
Keyword(s):  
Asset Allocation ◽  
Regime Switching ◽  
Stock Exchange ◽  
Equity Market ◽  
Market Uncertainty ◽  
Content Type ◽  
Regime Switching Model ◽  
Switching Model ◽  
Market Sentiment ◽  
The Impact

PurposeThis paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016.Design/methodology/approachObservations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model.FindingsAlthough a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX).Originality/valueThe results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.

A paradigm shift in corporate social responsibility: India’s transition from mandatory regime to the COVID-19 era

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Aparna Bhatia ◽  
Amandeep Dhawan
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Paradigm Shift ◽  
Design Methodology ◽  
Gradual Increase ◽  
Stock Exchange ◽  
Content Type ◽  
Global Pandemic ◽  
Corporate Social ◽  
Practical Implications

Purpose This study aims to examine the pattern of corporate social responsibility expenditure (CSRE) incurred by Indian companies after the inception of Companies Act 2013. It also highlights the resultant change brought in the corporate social responsibility (CSR) spends of the companies because of COVID-19 pandemic. Design/methodology/approach The CSR index provided by the Ministry of Corporate Affairs under Companies (CSR Policy) Rules 2014, is adopted to measure the extent of CSRE made by top 30 Indian companies listed on Bombay Stock Exchange. To study the pattern of CSRE in various domains mentioned in the CSR index, the study is conducted over four points of time. Three alternative years since the commencement of the Companies Act 2013 i.e. 2014–2015, 2016–2017 and 2018–2019 have been taken up. Additionally, the financial year 2019–2020 is included as it marks the inception of the COVID-19 pandemic. Findings The findings show that the CSRE made by companies is increasing every year over all points of time taken in the study. In addition to this, Indian companies have voluntarily contributed a substantial amount towards COVID-19 relief over and above the required mandatory limits. Practical implications The gradual increase in CSR contributions even above the mandated amount and voluntary contribution towards COVID-19 relief by Indian companies implies that the nature of CSR in India is still philanthropic. Originality/value The study contributes to the CSR literature after the implementation of the mandatory CSR provisions in India and in the wake of the global pandemic caused by COVID-19 as so far there is no such study available in the extant literature.

Equity market timing and capital structure: evidence on post-IPO firms in Indonesia

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dewi Ratih
Keyword(s):  
Capital Structure ◽  
Market Timing ◽  
Equity Market ◽  
Content Type ◽  
Corporate Capital ◽  
Corporate Capital Structure ◽  
Short Run ◽  
Practical Implications ◽  
Equity Market Timing

Purpose The purpose of this paper is to analyze and evaluate the impacts of equity market timing on corporate capital structure policies in Indonesia by apply Baker and Wurgler’s analytical approach to firms in Indonesia to see, first, if that approach applies to Indonesian firms and, second, if it can be generalized to other emerging markets. Design/methodology/approach This study will focus on capital structure policies based on Market Timing Theory in developing countries, which uses the panel data of companies listed in Indonesian Stock Exchange after IPO. The companies used as research object are 70 firms in the non-financial/non-banking sector with the observation period of 2000–2015. The period of measurement is five years after IPO. Using a past market value in which equity market timing is measured in two-time measurements, i.e. yearly timing and long-term timing to prove its persistence. Findings Consistent with equity market timing theory, the results suggest that firms tend to issue equities when their market valuations are relatively higher than their book values and their past market values are high. As a consequence, the firms become underleveraged or have their debts reduced in the short run. The results of long-term measurement on equity market timing do not appear to affect the firms’ capital structure decisions due to the firms’ relatively quick adjustments of optimal capital structures. The conclusion is that equity market timing is an important element in the short run but not in the long run. Research limitations/implications The results of this study describe how firms in Indonesia take advantage of temporary market share fluctuations through equity market timing in their capital structure policies before ultimately making adjustments to the directions they are targeting. Practical implications The use of equity market timing is more aimed at reducing the debt ratio and avoiding unfavorable conditions in the debt market, as well as taking advantage of the capital gains derived from the differences in their stock prices. This study also has practical implications on investment policies that need to consider the adaptation factor of the industrial environment when it comes to making capital structure decisions, including how the entity must take policy when uncertain economic conditions. Social implications Through the research behavior of capital structure more in-depth decision is expected to provide an overview for investors widely in determining investment policy. Thus, the investment strategy is more planned and can also anticipate unexpected conditions. Originality/value This research is the first study to analyze and to evaluate the impacts of equity market timing on corporate capital structure policies on post-IPO firms in Indonesia. This research is an empirical study that investigates the relevance of equity market timing considerations in the determination of debt-equity choices in the capital structure, included in the conditions of the global financial crisis.

Exploring the nexus between integrated reporting and sustainability embeddedness

2019 ◽  
Vol 10 (5) ◽  
pp. 822-843 ◽  
Author(s):  
Catherine Le Roux ◽  
Marius Pretorius
Keyword(s):  
Stock Exchange ◽  
Single Case ◽  
Listed Company ◽  
Data Gathering ◽  
Integrated Reporting ◽  
Content Type ◽  
Multiple Data ◽  
Practical Implications ◽  
Insight Into

Purpose This paper aims to explore the nexus between integrated reporting and sustainability embeddedness. It seeks to contribute to a better understanding of the nexus by obtaining in-depth insight from the sensemaking of those in practice. Design/methodology/approach A single exploratory case study design strategy was applied to a leading stock exchange listed company in the property industry in South Africa. Rich qualitative data were gathered by applying multiple data gathering techniques to a diverse group of employees within the case company. Findings This empirical study contributes a metaphor of a cog and chain and nine themes that elucidate employee sensemaking at the nexus. Integrated reporting was found to drive sustainability embeddedness and foster changes within the organisation. The themes offer in-depth insight into how employees made sense of integrated reporting as a driver for sustainability embeddedness. Research limitations/implications The findings emerged from a single case study that operated in a mandatory disclosure context and are therefore not generalisable. The findings reflect the intended outcomes of integrated reporting and further research to explore the unintended outcomes and challenges associated with integrated reporting is suggested. Practical implications The study contributes to a growing practice based agenda by offering a better understanding of how integrated reporting and sustainability are conceptualised and adopted in practice. Social implications The findings offer organisations’ guidance on integrated reporting and sustainability embeddedness adoption which can have vast implications for society and the environment. Originality/value The study responds to gaps in the literature and calls for studies to explore the intersection between integrated reporting and sustainability embeddedness by engaging those in practice.

Forecasting stock returns in Saudi Arabia and Malaysia

2018 ◽  
Vol 17 (2) ◽  
pp. 259-279 ◽  
Author(s):  
Abdelmonem Oueslati ◽  
Yacine Hammami
Keyword(s):  
Saudi Arabia ◽  
Stock Returns ◽  
Equity Premium ◽  
Return Predictability ◽  
Excess Returns ◽  
Content Type ◽  
Forecasting Method ◽  
The Us ◽  
Diffusion Index ◽  
Practical Implications

Purpose This paper aims to investigate the performance of various return forecasting variables and methods in Saudi Arabia and Malaysia. The authors document that market excess returns in Saudi Arabia are predicted by changes in oil prices, the dividend yield and inflation, whereas the equity premium in Malaysia is predicted only by the US market excess returns. In both countries, the authors find that the diffusion index is the best forecasting method and stock return predictability is stronger in expansions than in recessions. To interpret the findings, the authors perform two tests. The empirical results suggest irrational pricing in Malaysia and rationally time-varying expected returns in Saudi Arabia. Design/methodology/approach The authors apply the state-of-the-art in-sample and out-of-sample forecasting techniques to predict stock returns in Saudi Arabia and Malaysia. Findings The Saudi equity premium is predicted by oil prices, dividend yield and inflation. The Malaysian equity premium is predicted by the US market excess returns. In both countries, the authors find that the diffusion index is the best forecasting method. In both countries, predictability is stronger in expansions than in recessions. The tests suggest irrational pricing in Malaysia and rationality in Saudi Arabia. Practical implications The empirical results have some practical implications. The fact that stock returns are predictable in Saudi Arabia makes it possible for policymakers to better evaluate future business conditions, and thus to take appropriate decisions regarding economic and monetary policy. In Malaysia, the results of this study have interesting implications for portfolio management. The fact that the Malaysian market seems to be inefficient suggests the presence of strong opportunities for sophisticated investors, such as hedge and mutual funds. Originality/value First, there are no papers that have studied the return predictability in Saudi Arabia in spite of its importance as an emerging market. Second, the methods that combine all predictive variables such as the diffusion index or the kitchen sink methods have not been implemented in emerging markets. Third, this paper is the first study to deal with time-varying short-horizon predictability in emerging countries.

scholarly journals Quality management vision of future early career operations managers

2019 ◽  
Vol 36 (2) ◽  
pp. 162-185 ◽  
Author(s):  
Alireza Shokri ◽  
Farhad Nabhani
Keyword(s):  
Quality Management ◽  
Design Methodology ◽  
Future Generation ◽  
Early Career ◽  
Knowledge Development ◽  
Total Quality ◽  
Content Type ◽  
Practical Implications ◽  
Non Parametric ◽  
Operations Managers

Purpose The purpose of this paper is to investigate the gap between the current vision and knowledge of future early career operations managers (OM) and a common strategic total quality management (TQM) framework. Design/methodology/approach A survey questionnaire and a non-parametric test for different groups of participants were adopted to identify the gap and analyse the significance of these groups on the factors in the TQM framework. Findings A new set of TQM factors with the necessity of more knowledge and understanding of future generation were identified, followed by the identification of clear differences amongst different groups of this generation. Practical implications A sustainable OM practice needs managers and leaders with a sustainable knowledge development of quality management (QM); and as the result of this study, the current vision of future young OM would not echo this. Originality/value This study has a systematic, non-parametric approach towards currently fragmented QM analysis, and is integrated with human resource and visionary elements of future young OM and universal QM models and theories.

Aggressive tax planning and stock price synchronicity: evidence from China

2019 ◽  
Vol 15 (5) ◽  
pp. 829-857 ◽  
Author(s):  
Hua Feng ◽  
Ahsan Habib ◽  
Gao liang Tian
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Tax Planning ◽  
Specific Information ◽  
Price Informativeness ◽  
Firm Level ◽  
Stock Price Synchronicity ◽  
Content Type ◽  
Tax Aggressiveness ◽  
Practical Implications

Purpose The purpose of this paper is to investigate the association between aggressive tax planning and stock price synchronicity. Design/methodology/approach Employing the special institutional background of China, this study constructs tax aggressiveness and stock price synchronicity measures for a large sample of Chinese stocks spanning the period 2003–2015. The authors employ OLS regression as the baseline methodology, and a fixed effect model, the Fama–Macbeth method and GMM as sensitivity checks. Matched samples and difference-in-difference analyses are used to control for endogeneity. Findings The authors find a significant and positive association between aggressive tax planning and stock price synchronicity. Because material information about risky tax transactions tends to be hidden in various tax accruals accounts, aggressive tax strategies make financial statements less transparent, thereby, increasing information asymmetry and decreasing stock price informativeness. The authors also find that the firms engaging in aggressive tax planning exhibit relatively high corporate opacity. In addition, the authors find that improvements in the tax enforcement regime, ownership status and high-quality auditors all constrain the adverse effects of tax aggressiveness. Practical implications This study has important practical implications for China’s regulators, who are striving to reduce the tax burden of enterprises. It also helps investors to consider investment decisions more appropriately from a taxation perspective. Originality/value First, this paper contributes to the stock price efficiency literature by identifying the effect of a hitherto unexamined factor, namely, firm-level aggressive tax planning, on the efficiency of stock prices. Second, this study provides further empirical evidence to support the agency view of tax aggressiveness, and the informational interpretation of stock price synchronicity. Third, this study helps us better understand the effects of firm-level tax policy on firm-specific information capitalization in an environment where overall country-level investor protection is relatively weak.

scholarly journals Intellectual capital disclosure practices of financial institutions in an emerging economy

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Syed Abdulla Al Mamun ◽  
Alima Aktar
Keyword(s):  
Financial Institutions ◽  
Intellectual Capital ◽  
Design Methodology ◽  
Stock Exchange ◽  
Emerging Economy ◽  
Content Type ◽  
Strategic Resources ◽  
Depth Analysis ◽  
External Capital ◽  
Practical Implications

Purpose The purpose of this study is to investigate the intellectual capital disclosure (ICD) practices of financial institutions in an emerging economy of Bangladesh. Design/methodology/approach Based on 93 items of intellectual capital categorized into internal capital, external capital and human capital, ICD index is developed for 53 financial institutions listed in Dhaka Stock Exchange. This study uses descriptive statistics to analyze ICD practices, and parametric and non-parametric tests to analyze the variation of ICD practices in terms of different categories as well as in terms of different sectors. Findings Results indicate that more than 70% of ICD items are generally not disclosed by financial institutions in Bangladesh. The highest of 36% of external capital disclosure items are disclosed, whereas the lowest of 18% of human resource capital elements are disclosed. Furthermore, results find the significant variability of ICD practices in terms of different intellectual capital categories and in between banking companies and non-banking financial institutions. Practical implications Findings have critical implications for managers, policymakers and regulators for setting appropriate strategies and regulations for improving the level of ICD, which, in turn, may reduce the information asymmetry problems of financial institutions as well. Originality/value In-depth analysis about variability of ICD practices creates value in the ICD literature by highlighting strategic priority of financial institutions to disclose information about the strategic resources in unique emerging economic settings such as Bangladesh.

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