scholarly journals Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anas Alaoui Mdaghri ◽  
Abdessamad Raghibi ◽  
Cuong Nguyen Thanh ◽  
Lahsen Oubdi
Keyword(s):  
Stock Market ◽  
Negative Impact ◽  
Market Liquidity ◽  
Mena Region ◽  
Stock Market Returns ◽  
Content Type ◽  
Mena Countries ◽  
Global Pandemic ◽  
Stock Market Liquidity ◽  
The Impact

PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity.Research limitations/implicationsThis paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions.Originality/valueWhile most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.

Ownership concentration, earnings management and stock market liquidity: evidence from Malaysia

2017 ◽  
Vol 17 (3) ◽  
pp. 490-510 ◽  
Author(s):  
Hamdan Amer Al-Jaifi
Keyword(s):  
Stock Market ◽  
Earnings Management ◽  
Instrumental Variables ◽  
Generalized Method Of Moments ◽  
Market Liquidity ◽  
Ownership Concentration ◽  
Estimation Methods ◽  
Content Type ◽  
Stock Market Liquidity ◽  
The Impact

Purpose This paper aims to examine whether ownership concentration and earnings management affect the stock market liquidity of Malaysian firms. Design/methodology/approach This study uses a sample of 2,020 yearly firm observations in Bursa Malaysia over the period 2009-2012. The ordinary least square regression is used to examine the relationships. The study undertakes a sensitivity test by regressing the main study variables by using different measurements. Another robustness test is then used, where a regression based on the change in variables and a one-year lag of the independent variables are used. Furthermore, to alleviate the concern of possible endogeneity, the simultaneity and reverse causality are checked using the lag of the dependent variable, fixed effect regression, two-stage least squares using the instrumental variables and the generalized method of moments using instrumental variables analysis. Findings The study finds that firms with a high level of ownership concentration have discrepancies in information between informed and uninformed traders, which impair the stock market liquidity. In addition, this study finds that firms with high earnings management experience greater liquidity. A possible explanation for this is that firms might manage earnings to convey private information to enhance the information content of the earnings. Overall, the evidence suggests that manipulating earnings signals information informatively, particularly in a country with a higher level of ownership concentration and a higher likelihood of expropriating minority shareholders. Originality/value This study enriches the limited empirical research devoted to the impact of earnings management and ownership concentration on stock market liquidity especially in the context of emerging economies. The findings of this study are robust to alternative liquidity measurements, to alternative estimation methods, and to endogeneity bias.

International stock market liquidity: a review

2016 ◽  
Vol 42 (2) ◽  
pp. 118-135 ◽  
Author(s):  
Rui Ma ◽  
Hamish D. Anderson ◽  
Ben R. Marshall
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Liquidity ◽  
Short Sales ◽  
Liquidity Premium ◽  
Content Type ◽  
International Stock Markets ◽  
Stock Market Liquidity ◽  
Dark Pools ◽  
The Impact

Purpose – The purpose of this paper is to review the literature on liquidity in international stock markets, highlights differences and similarities in empirical results across existing studies, and identifies areas requiring further research. Design/methodology/approach – International cross-country studies on stock market liquidity are categorized and reviewed. Important relevant single-country studies are also discussed. Findings – Market liquidity is influenced by exchange characteristics (e.g. the presence of market makers) and regulations (e.g. short-sales constraints). The literature has identified the most appropriate liquidity measures for global research, and for emerging and frontier markets, respectively. Major empirical facts are as follows. Liquidity co-varies within and across countries. Both the liquidity level and liquidity uncertainty are priced internationally. Liquidity is positively associated with firm transparency and share issuance, and negatively related to dividends paid out. The impact of internationalization on liquidity is not universal across firms and countries. Some suggested areas for future studies include: dark pools, high-frequency trading, commonality in liquidity premium, funding liquidity, liquidity and capital structure, and liquidity and transparency. Research limitations/implications – The paper focusses on international stock markets and does not consider liquidity in international bond or foreign exchange markets. Originality/value – This paper provides a comprehensive survey of empirical studies on liquidity in international developed and emerging stock markets.

Corporate governance strength and stock market liquidity in Malaysia

2017 ◽  
Vol 13 (5) ◽  
pp. 592-610 ◽  
Author(s):  
Hamdan Amer Al-Jaifi ◽  
Ahmed Hussein Al-rassas ◽  
Adel Ali AL-Qadasi
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Internal Audit ◽  
Market Liquidity ◽  
Estimation Methods ◽  
Content Type ◽  
External Monitoring ◽  
Governance Effectiveness ◽  
Stock Market Liquidity ◽  
The Impact

Purpose The purpose of this paper is to examine the impact of corporate governance strength on stock market liquidity in an emerging country, namely, Malaysia, by constructing a corporate governance score that captures both internal monitoring mechanisms (board of directors’ characteristics, audit committee’s characteristics and internal audit function) and external monitoring mechanism (audit quality). Design/methodology/approach The study uses a sample of 2,020 yearly firm observations in Bursa Malaysia over the period 2009-2012. The ordinary least square regression and several estimation methods such as two-stage least squares using instrumental variables (IV-2SLS) and dynamic GMM are employed. Findings This study finds a significant positive association between corporate governance effectiveness and stock market liquidity. The finding is robust to alternative liquidity measurements, to alternative estimation methods, and to endogeneity bias. Research limitations/implications This result implies that the firms with effective monitoring mechanisms mitigate information asymmetry which leads to less adverse selection problems among traders. Practical implications This study provides implications for regulators to help design regulations that enhance stock market liquidity. This study could also help investors and traders to formulate their trading decisions, and enables firms to know the importance of strengthening the corporate governance monitoring mechanisms. Originality/value This study constructs a corporate governance effectiveness measure by combining both internal and external monitoring mechanisms. These mechanisms have not been constructed together in one score in the corporate governance literature and the impact of internal audit function, as an internal monitoring mechanism on liquidity, has yet to be examined.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Islamic calendar and stock market behaviour in India

2018 ◽  
Vol 45 (11) ◽  
pp. 1550-1566
Author(s):  
Dharani Munusamy
Keyword(s):  
Stock Market ◽  
Least Square Method ◽  
Least Square ◽  
Stock Market Returns ◽  
Content Type ◽  
Ordinary Least Square ◽  
Average Return ◽  
Year Effect ◽  
The Common ◽  
The Impact

Purpose The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the Islamic calendar. Further, the study estimates the risk-adjusted returns to test the performance of the indices during the Ramadan and non-Ramadan days. Finally, the study investigates the impact of Ramadan on the returns and the volatility of the stock market indices in India. Design/methodology/approach Initially, the study applies the Ordinary Least Square method to test the day-of-the-week and the month-of-the-year effect of the common and Shariah indices. Next, the study employs the risk-adjusted measurement to examine the underperformance and over-performance of the indices for both the periods. Finally, the study estimates the GARCH (1,1) and GJR-GARCH (1,1) models to observe the impact of Ramadan on the returns and the volatility of the Shariah indices in India. Findings The study finds that an average return of the indices during the Ramadan days are higher than non-Ramadan days. Further, the average returns of the Shariah indices are significantly higher on Wednesday than other days of the week. In addition, the highest and significant mean returns and mean risk-adjusted returns of the indices during the Ramadan days are observed. Finally, the study finds an evidence of the Ramadan effect on the returns and volatility of the indices in India. Originality/value The study observes evidence that the Ramadan effect influences the Shariah indices, but not the common indices in the stock market of the non-Muslim countries. It indicates that the Ramadan creates the positive mood and emotions in the investors buying and selling activities. The study suggests that investors can buy the shares before Ramadan period and sell them during the Ramadan days to get an abnormal return in the emerging markets.

scholarly journals Institutional and Macroeconomic Determinants of Stock Market Development in Mena Region: New Results From a Panel Data Analysis

2010 ◽  
Author(s):  
Mondher Cherif ◽  
Kaouthar Gazdar
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Institutional Environment ◽  
Panel Data Analysis ◽  
Risk Index ◽  
Market Liquidity ◽  
Market Development ◽  
Mena Region ◽  
Stock Market Development ◽  
Mena Countries

This paper provides new evidence on the influence of macroeconomic environment and institutional quality on stock market development, using data from 14 MENA countries over the period of 1990-2007. Using both panel data and instrumental variable techniques, we found that income level, saving rate, stock market liquidity, and interest rate influence stock market development with the expected theoretical signs. Our results also showed that the banking and the stock market sectors are complementary instead of being substitutes. We found that the institutional environment as captured by a composite policy risk index does not appear to be a driving force for the stock market capitalization in the region. Our last results are robust to different specifications and empirical techniques.

Basel III liquidity regulatory framework and bank liquidity creation in MENA countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anas Alaoui Mdaghri ◽  
Lahsen Oubdi
Keyword(s):  
Negative Impact ◽  
Middle Eastern ◽  
Policy Implications ◽  
Basel Iii ◽  
Bank Capital ◽  
Mena Region ◽  
Content Type ◽  
Dynamic Panel Model ◽  
Mena Countries ◽  
Coverage Ratio

Purpose This paper aims to investigate the potential impact of the Basel III liquidity requirements, namely, the net stable funding ratio (NSFR) and the liquidity coverage ratio (LCR), on bank liquidity creation. Design/methodology/approach The authors developed a dynamic panel model using the Quasi-Maximum Likelihood estimation on an unbalanced panel dataset of 129 commercial banks operating in 10 Middle Eastern and North African (MENA) countries from 2009 to 2017. Findings The results show that the NSFR significantly negatively affects liquidity creation. Similarly, the LCR exerts a substantial negative impact on the liquidity creation of the sampled MENA banks. These findings suggest that complying with both liquidity requirements tends to curtail liquidity creation. Moreover, further regression analysis of large and small bank sub-samples uncovered results similar to the overall MENA sample. Research limitations/implications The findings raise interesting policy implications and suggest a trade-off between the benefits of the financial resiliency induced by implementing liquidity requirements and the creation of liquidity essential for promoting economic growth in the region. Originality/value Most empirical research focuses on the relationship between bank capital and liquidity creation. To the knowledge, this paper is the first to provide empirical evidence on the effect of both the NSFR and LCR regulatory liquidity standards on bank liquidity creation in the MENA region.

Does gender diversity on boards reduce information asymmetry problems? Empirical evidence from the French market

2019 ◽  
Vol 10 (2) ◽  
pp. 144-166
Author(s):  
Nadia Loukil ◽  
Ouidad Yousfi ◽  
Raissa Wend-kuuni Yerbanga
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Gender Diversity ◽  
Market Liquidity ◽  
Idiosyncratic Volatility ◽  
Independent Directors ◽  
Corporate Boards ◽  
Content Type ◽  
Bid Ask Spread ◽  
The Impact

Purpose The purpose of this paper is to investigate the effect of female members in boards of directors on asymmetric information in the French stock market. Design/methodology/approach The authors use two proxies for asymmetric information: the idiosyncratic volatility and the bid-ask spread. This study is conducted on all listed firms in the SBF 120 index between 2002 and 2012. Findings Results show that gender diversity in boardrooms has a negative effect on the level of private information in stock markets and reduces the bid-ask spread. However, these effects are significant in family-controlled firms: female inside directors significantly increase the idiosyncratic volatility and the bid-ask spread, while female independent directors decrease both proxies for stock market liquidity. Research limitations/implications Our empirical findings contribute to the current debate on the benefits of gender diversity on corporate boards from the market perspective. It shows that, under specific conditions, financial markets could be receptive to the presence of female directors in boardrooms. Practical implications Practitioners and policymakers advocate the benefits of gender diversity on corporate boards. This paper shows that when the protection of minority shareholders is poor, the stock market is receptive to the presence of women independent directors, only in family controlled firms. This is a further argument that could help women to overcome glass-ceiling barriers they usually face to achieve top management positions. Originality/value This paper provides support for the increased attention paid to gender-diverse boards. It addresses the market sensitivity toward the presence of women members in French boardrooms and their positions. This is the first paper, to the best of our knowledge, to address how appointing women to different positions in the boardroom could provide signals to investors in the presence of asymmetric information. French firms are mostly family controlled. Thus, the findings bring valuable information of the impact of board diversity on the stock market considering family and nonfamily firms.

The value relevance of accounting information in the MENA region

2019 ◽  
Vol 17 (3) ◽  
pp. 519-536 ◽  
Author(s):  
Doaa El-Diftar ◽  
Tarek Elkalla
Keyword(s):  
Regression Model ◽  
Developing Economies ◽  
Negative Impact ◽  
Value Relevance ◽  
Accounting Information ◽  
Mena Region ◽  
Content Type ◽  
Ifrs Adoption ◽  
The Impact ◽  
Is Value

Purpose The purpose of this paper is to examine the value relevance of accounting information in the Middle East and North Africa region (MENA) region with an emphasis on the potential impact of IFRS adoption. This paper aims to not only examine the value relevance of accounting information in the MENA region but also draw comparisons between Gulf countries (GCC) and non-GCC country firms to determine whether there are distinct differences across the two regions. Design/methodology/approach To investigate the value relevance of accounting information in the MENA region, two pooled regression models are used based on the Ohlson (1995) model. The first regression model is conducted for the GCC and non-GCC regions separately. A second regression model is conducted using a pooled sample of the MENA region collectively with dummy and interaction variables to further explore the potential differences between the two regions in terms of the value relevance of accounting information. Findings The empirical results show that the measures of accounting information have a highly significant positive relationship with the market value per share for firms in the MENA region, thereby indicating that accounting information in the MENA region is value relevant. Although book value per share and earnings per share are significant determinants of value relevance in both GCC and non-GCC country firms, operating cash flows per share is only a significant determinant of value relevance in non-GCC country firms. The research findings of the study also show a significant negative impact of IFRS adoption on the value relevance of accounting information in the MENA region. Practical implications This research paper provides important insights for investors and regulators by providing evidence that accounting information is value relevant in the MENA region, and that IFRS adoption does not necessarily lead to a greater degree of value relevance. In fact, investors and regulators should be aware that the adoption of IFRS in MENA country firms results in diminished value relevance of accounting information. This finding is of particular significance to policymakers attempting to improve accounting disclosure. Originality/value The paper expands the value relevance of accounting information literature in the context of developing economies, in general, and the MENA region, in particular. There is a paucity of research into the value relevance of accounting information for MENA country firms, particularly in the case of the impact of IFRS adoption. Thus, this paper provides an important contribution in terms of expanding the value relevance literature in relation to IFRS adoption in the MENA region.

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