Risk assessment of the Egyptian stock market in the wake of the Arab Spring

2015 ◽  
Vol 31 (2) ◽  
pp. 66-70 ◽  
Author(s):  
M. F. Omran
Keyword(s):  
Stock Market ◽  
Design Methodology ◽  
Arab Spring ◽  
Market Value ◽  
Content Type ◽  
Macroeconomic Variables ◽  
High Inflation ◽  
The Arab Spring ◽  
Macroeconomic Environment ◽  
Total Market

Purpose – The purpose of this paper is to shed some light on the Egyptian stock market and its macroeconomic environment in the wake of the Arab Spring. Design/methodology/approach – The paper examines whether the averages of the EGX30 index price changes in addition to key macroeconomic variables are statistically significant pre and post Arab Spring. Findings – High inflation in the period up to the Arab Spring was a major contributing factor for the uprising. The solutions for the EGX30 index troubles are political and macroeconomic. Originality/value – The variables examined pre and post Arab Spring are EGX30 returns, EGX30 total market value, US$ reserves kept at the Egyptian Central Bank, US$ to Egyptian pounds exchange, and inflation.

Perception of ESG criteria by mainstream investors: evidence from Tunisia

2019 ◽  
Vol 14 (5) ◽  
pp. 752-768 ◽  
Author(s):  
Souhir Khemir
Keyword(s):  
Design Methodology ◽  
Arab Spring ◽  
Emerging Countries ◽  
Investor Behavior ◽  
Allocation Decision ◽  
Structured Interviews ◽  
Content Type ◽  
Investment Allocation ◽  
The Arab Spring ◽  
Investment Choices

Purpose The purpose of this paper is to explore the perception of environmental, social and governance (ESG) criteria by mainstream investors in an emerging financial market, that of Tunisia, country at the origin of the Arab Spring. Design/methodology/approach A series of focus groups and semi-structured interviews were conducted with financial professionals. Findings Despite efforts by the Tunisian state to promote CSR and ESG criteria since the outbreak of the revolution of January 14th, 2011, the results show that these criteria are fairly well known by our interlocutors. As part of an investment allocation decision, the ESG criteria are considered as secondary to financial ones. The three criteria are classified as follows according to their usefulness in the investment choices of financial professionals: corporate governance, social and environmental. Research limitations/implications In addition to the subjective nature of the data collected, this research is limited to the input of only financial professionals. It does not inform us about ESG indicators that may influence the investment decisions of financial professionals, and thus this issue deserves further reflection. Originality/value This exploratory study sheds light on a little-explored topic in Tunisia, country at the origin of the Arab Spring. It contributes to the existing literature in the areas of investor behavior toward ESG criteria and adds to the limited literature in the area of emerging countries.

scholarly journals Social accounting in the context of profound political, social and economic crisis: the case of the Arab Spring

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Al Mahameed ◽  
Ataur Belal ◽  
Florian Gebreiter ◽  
Alan Lowe
Keyword(s):  
Economic Crisis ◽  
Design Methodology ◽  
Arab Spring ◽  
Economic Crises ◽  
Structured Interviews ◽  
Arab Region ◽  
Social Accounting ◽  
Content Type ◽  
Meaning Systems ◽  
The Arab Spring

PurposeThis paper explores how social accounting operates in the context of profound political, social and economic crises. Specifically, it examines how companies constructed strategies of action to produce and organise social accounting practices under different sociopolitical and economic contexts prior to and after the Arab Spring.Design/methodology/approachThe paper draws on Swidler's theory of “Culture Toolkit” and 43 semi-structured interviews with 17 firms and their stakeholders in the Arab region.FindingsThe study argues that context influences social accounting practices by shaping a cultural toolkit of habits, skills and styles from which companies develop their social accounting related strategies of action. During “settled” periods, companies draw on resources to develop their social accounting practices whilst they seek knowledge and feedback on boundaries and expectations of the socio-political and economic contexts. During “unsettled” periods, companies begin to adopt highly organised meaning systems (i.e. ideologies) from which new ways and methods of social accounting practices are deployed.Originality/valueThe paper contributes to the extant literature by providing insights into social accounting practices in the under-explored context of the profound political, social and economic crises that followed the Arab Spring. In addition, we introduce Swidler's Culture Toolkit theory to the accounting literature.

Default risk modelling using macroeconomic variables

2014 ◽  
Vol 6 (4) ◽  
pp. 270-285 ◽  
Author(s):  
Khushbu Agrawal ◽  
Yogesh Maheshwari
Keyword(s):  
Stock Market ◽  
Default Risk ◽  
Consumer Price Index ◽  
Negative Relationship ◽  
Matched Pair ◽  
Probability Of Default ◽  
Multiple Discriminant Analysis ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Macroeconomic Environment

Purpose – This paper aims to find out significant macroeconomic variables, incorporated as sensitivity variables (macroeconomic sensitivities), affecting financial distress for a sample of listed Indian firms. Design/methodology/approach – The study uses a matched pair sample of defaulting and non-defaulting listed Indian firms. It uses two alternative statistical techniques, viz., logistic regression and multiple discriminant analysis. The macroeconomic sensitivities are estimated by regressing the monthly stock return of the individual firm on the monthly changes in each macroeconomic variable. Findings – Sensitivity to changes in the stock market (stock market sensitivity) and sensitivity to changes in inflation [Consumer Price Index (CPI) sensitivity] have a significant impact on the default probability of a firm. Stock market sensitivity has a significant positive relationship with the probability of default, and CPI sensitivity has a significant negative relationship with the probability of default. Originality/value – The study links the developments in the external environment to the firm’s susceptibility to default. Furthermore, it highlights the significance of sensitivity of a firm to uncertainties in the macroeconomic environment and its impact on default risk. This establishes the fact that each firm is uniquely affected by the changes in the overall macroeconomic environment. The findings could be valuable to lenders such as banks and financial institutions, investors and policymakers.

A model for the elaboration of fair divisional projects in inheritance disputes

2018 ◽  
Vol 36 (2) ◽  
pp. 186-202
Author(s):  
Francesco Tajani ◽  
Pierluigi Morano
Keyword(s):  
Design Methodology ◽  
Market Value ◽  
Content Type ◽  
Mathematical Formulas ◽  
Mathematical Algorithms ◽  
Complex Inheritance ◽  
Fundamental Value ◽  
Definition Of ◽  
Calculation Software ◽  
Legal Right

Purpose The purpose of this paper is to develop a method to support the definition of efficient and fair divisional projects in particularly complex cases concerning inheritance disputes. Design/methodology/approach First, the approach involves an appraisal of the market value of the assets, along with an analysis of the respective conditions of concrete divisibility; then, two mathematical models have been developed for the assignment of the assets to the subjects involved in the divisional projects. The logic underlying of both models has been translated into mathematical algorithms that allow for the minimization of the monetary compensations resulting from the differences between the legal right shares and the actual portions to be attributed to them. Findings Both models have been developed through mathematical formulas that can be easily implemented by using an appropriate calculation software. They can be used in particularly complex inheritance divisions, in which the deceased’s assets are numerous and there are several heirs with similar or different legal right shares. Originality/value The methodology is useful in the disputes that could arise in hereditary successions. The fundamental value is that the models could support the definition of the best solution in particularly complex situations, characterized by a large number of assets to be assigned and/or the existence of “preferential” constraints for the assignment of the assets.

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ooi Kok Loang ◽  
Zamri Ahmad
Keyword(s):  
Unemployment Rate ◽  
Stock Return ◽  
Design Methodology ◽  
Specific Information ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Real Gdp ◽  
Chinese Markets ◽  
The Impact ◽  
Loser Portfolio

PurposeThis study examines the impact of firm-specific information and macroeconomic variables on market overreaction of US and Chinese winner and loser portfolio before and during COVID-19.Design/methodology/approachThe firm-specific information includes firm size, volume, volatility, return of asset (ROA), return of equity (ROE), earning per share (EPS) and quick ratio while the macroeconomic variables are export rate, import rate, real GDP, nominal GDP, FDI, IPI and unemployment rate. Besides, one-third of the top performance stocks are categorized as winner portfolio while one-third of lowest performance stocks are categorized as loser portfolio. This study uses AECR to indicate stock return and measure market overreaction. GAECR is used to determine contrarian profit. The data range of pre-COVID-19 is from 1-Jan-2015 to 31-Dec-2019 while the period of COVID-19 is from 1-Jan-2020 to 31-Dec-2020.FindingsIn pre-COVID-19, firm-specific information (volatility, ROA, ROE and EPS) and macroeconomic variables are found to be correlated to stock return in US and Chinese portfolios except Chinese winner portfolio. Nonetheless, the impact of firm-specific information has vanished and macroeconomic variables are significant to stock return in COVID-19. It shows that investors rely on the economic indicators to trade in turbulent period due to emergence of COVID-19 as a disruption in market. Furthermore, US and Chinese portfolios are overreacted during COVID-19. Chinese loser portfolio has higher tendency of overreaction than US loser portfolio while US winner portfolio has higher tendency of overreaction than Chinese winner portfolio.Originality/valueThe results of this study assists academician, practitioners and investors on understanding and create awareness to the existence of market overreaction and the determinants that can cause the phenomenon.

scholarly journals The Effect of Macroeconomic Variables On the Saudi Stock Market

2019 ◽  
Vol 7 (12) ◽  
pp. 126-152
Author(s):  
Amani Mohammed Aldukhail
Keyword(s):  
Stock Market ◽  
Performance Indicators ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Market Value ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Time Deposits

This study aimed at exploring the effect of macroeconomic variables on the activity of the Saudi stock market for the period 1997-2017. Macroeconomic variables were: GDP, interest rate on time deposits, inflation rate. The variables of the Saudi stock market activity were: stock price index, market value of shares, value of traded shares. To achieve this objective, the researcher used the ARDL model for the self-regression of the lagged distributed time gaps. The most important results of the research are: The effect of macroeconomic variables on the performance indicators in the Saudi stock market is not important in the short term and is statistically significant in the long term according to the proposed models, so investors in this market can rely on macroeconomic variables in Predict the movement of the stock market and predict long-term profits and losses.

Stock liquidity and stock return: an asymmetric impact of institutional ownership approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abbas Ali Daryaei ◽  
Yasin Fattahi
Keyword(s):  
Stock Return ◽  
Market Value ◽  
Institutional Ownership ◽  
Threshold Level ◽  
Stock Liquidity ◽  
Content Type ◽  
Asymmetric Impact ◽  
The Mean ◽  
The Relationship ◽  
Total Market

Purpose This study is primarily aimed at investigating the asymmetric impact of institutional ownership on the relationship between stock liquidity and stock return. It was conducted by testing the hypotheses regarding efficient monitoring and adverse selection from Tehran Stock Exchange (TSE). Design/methodology/approach Using a panel smooth transition regression model and selecting 183 firms for the period from 2009 to 2019 from TSE, this study examined the data to explore the asymmetric impact of institutional ownership on the relationship between stock liquidity and stock return. Findings The results show a positive impact by institutional ownership on the relationship between stock liquidity and stock return in the first regime (threshold level 39%), whereas in the second regime, there is a negative impact by institutional ownership on the relationship between stock liquidity and stock return. Furthermore, the firms were divided into two groups based on the market value. The first group includes those with a market share less than the mean total market value of the sample. The second group includes firms with a market share higher than the mean total market value of the sample (large firms). The results illustrate that the threshold level is 32% and 44% for the first and second groups, respectively. Originality/value The findings of this study suggest that institutional ownership theories require closer inquiry.

Does macroeconomic uncertainty really matter in predicting stock market behavior? A comparative study on China and USA

2020 ◽  
Vol 10 (4) ◽  
pp. 393-427 ◽  
Author(s):  
Ghulam Abbas ◽  
Shouyang Wang
Keyword(s):  
Risk Factors ◽  
Financial Crisis ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Macroeconomic Risk ◽  
Stock Market Return ◽  
Macroeconomic Uncertainty ◽  
The Impact

PurposeThe study aims to analyze the interaction between macroeconomic uncertainty and stock market return and volatility for China and USA and tries to draw some invaluable inferences for the investors, portfolio managers and policy analysts.Design/methodology/approachEmpirically the study uses GARCH family models to capture the time-varying volatility of stock market and macroeconomic risk factors by using monthly data ranging from 1995:M7 to 2018:M6. Then, these volatility series are further used in the multivariate VAR model to analyze the feedback interaction between stock market and macroeconomic risk factors for China and USA. The study also incorporates the impact of Asian financial crisis of 1997–1998 and the global financial crisis of 2007–2008 by using dummy variables in the GARCH model analysis.FindingsThe empirical results of GARCH models indicate volatility persistence in the stock markets and the macroeconomic variables of both countries. The study finds relatively weak and inconsistent unidirectional causality for China mainly running from the stock market to the macroeconomic variables; however, the volatility spillover transmission reciprocates when the impact of Asian financial crisis and Global financial crisis is incorporated. For USA, the contemporaneous relationship between stock market and macroeconomic risk factors is quite strong and bidirectional both at first and second moment level.Originality/valueThis study investigates the interaction between stock market and macroeconomic uncertainty for China and USA. The researchers believe that none of the prior studies has made such rigorous comparison of two of the big and diverse economies (China and USA) which are quite contrasting in terms of political, economic and social background. Therefore, this study also tries to test the presumed conception that macroeconomic uncertainty in China may have different impact on the stock market return and volatility than in USA.

scholarly journals Balancing deterrence: Iran-Israel relations in a turbulent Middle East

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nora Maher
Keyword(s):  
Middle East ◽  
National Security ◽  
Design Methodology ◽  
Main Approach ◽  
Content Type ◽  
East Region ◽  
Regional Dynamics ◽  
Central Argument ◽  
The Arab Spring ◽  
Middle East Region

Purpose This paper aims to examine the regional dynamics that further consolidated Israel’s national security in the Middle East in the aftermath of the Arab Spring, reflecting upon the nuclear challenge between Iran and Israel and Iran's expanding activities in the region. Design/methodology/approach To prove the central argument, the study uses a conceptual framework that centers on deterrence as the main approach used by states to consolidate their influence in the Middle East region. Findings Iran's nuclear progress and influence in the region has strengthened Israel’s security and fostered an unprecedented open rapprochement led by USA efforts with the Gulf regimes. Originality/value The paper draws particular attention to the Iran–Israel nuclear competency, and the Israeli preferred policy options regarding Iranian activities in the region amid turbulent Middle East. In addition, the paper offers insight to the regional dynamics that further consolidated Israel’s national security in the region while maintaining a status of Arab vulnerability and backwardness.

scholarly journals Information leaks before CEO change: financial gain and ethical cost

2020 ◽  
Vol 24 (1) ◽  
pp. 19-29
Author(s):  
Gregor Halff ◽  
Anne Gregory
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Design Methodology ◽  
Fortune 500 ◽  
Content Type ◽  
The Public ◽  
Financial Gain ◽  
Fortune 500 Companies ◽  
Search Patterns ◽  
A Company

PurposeThe purpose of this paper is to investigate whether there are information leaks immediately before CEOs change and – if so – whether some investors take financial advantage of such prior knowledge. It thirdly investigates the ethical, practical and professional options for communication managers to deal with such situations.Design/methodology/approachWorking from sentiment theory of financial markets, the authors studied Internet search patterns for incoming CEO names and stock market movements immediately prior to the public mention or speculation of CEO change.FindingsThe authors find that in nearly a quarter of CEO changes at Fortune 500 companies, the name of the future CEO seems to have been leaked. Additionally, nearly half of those companies also experience extreme, otherwise unexplainable movements in the stock market.Originality/valueThis paper discovers the prevalence of extreme stock market movements for a company when the name of that company's next CEO has likely been leaked. Such leaks are an opportunity for unscrupulous investors, but they create ethical dilemmas for organizations. Communication managers typically respond by organizing tighter governance. However, to keep up with the speed of information and investments traveling through algorithms, organizing radical transparency could become an alternative instead.

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