scholarly journals An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices

2017 ◽  
Vol 9 (6) ◽  
pp. 57 ◽  
Author(s):  
Nida Shah ◽  
Muhammad Nadeem Qureshi ◽  
Yasra Aslam
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Negative Impact ◽  
Least Square ◽  
Ordinary Least Square ◽  
Regression Methods ◽  
Significant Negative Impact ◽  
Equity Indices ◽  
The Impact ◽  
Global Stock

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

Consequences of Outlier Returns for Event Studies: A Methodological Investigation and Treatment

2021 ◽  
pp. 2150013
Author(s):  
Panayiotis Theodossiou ◽  
Alexandra Theodossiou
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Estimation Method ◽  
Least Square ◽  
Event Studies ◽  
Past Event ◽  
Ordinary Least Square ◽  
The Impact ◽  
Impact Events

Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier-resistant estimation method. Analytical results depicting the impact of outliers on the ordinary least square (OLS) estimated models and cumulative abnormal return (CAR) statistics are derived and validated using Monte Carlo simulations. The implications of outliers for past event studies are investigated using samples drawn randomly from the universe of stocks in the CRSP database. The OLS-CAR statistics fail to forecast about 37% of the negative-impact and 43% of the positive-impact events. These results raise serious concerns about the validity of conclusions of past event studies, especially those that rejected the hypothesis of significant-impact events.

scholarly journals Impact of Trade Openness and Human Capital on Economic Growth: A Comparative Investigation of Asian Countries

2020 ◽  
Vol 12 (7) ◽  
pp. 2930 ◽  
Author(s):  
Rabail Amna Intisar ◽  
Muhammad Rizwan Yaseen ◽  
Rakhshanda Kousar ◽  
Muhammad Usman ◽  
Muhammad Sohail Amjad Makhdum
Keyword(s):  
Economic Growth ◽  
Human Capital ◽  
Negative Impact ◽  
Trade Openness ◽  
Least Square ◽  
Ordinary Least Square ◽  
Southern Asia ◽  
Long Run ◽  
Western Asia ◽  
The Impact

The aim of this study is to analyze the impact of trade openness and human capital on economic growth in 19 Asian countries from 1985 to 2017. We selected two geographically distributed regions (Western and Southern Asia) based on difference in their GDP per capita. We applied the unit root tests to examine the level of stationarity and found that all variables were integrated at first difference. Kao and Fisher cointegration tests were employed and the results revealed the presence of a long-run relationship. We applied fully modified ordinary least square (FMOLS) and dynamic ordinary least square (DOLS) models to check the magnitude of the long-run coefficients among trade openness, human capital and economic growth. To investigate the direction of causality, we used a Dumitrescu and Hurlin (DH) causality test. The results indicated that trade openness and human capital have a significant and positive relationship while labor force participation has a negative effect on economic growth in Southern Asia, and in the case of Western Asia, the impact is positive. Foreign direct investment (FDI) has a negative and significant impact on GDP per capita (GDPPC) in Western Asia while it is positive and significant in Southern Asia; Total population (TPOP) has a negative impact on GDPPC in both regions. Furthermore, human capital has a positive and significant impact on trade openness in both panels. Meanwhile, labor force participation (LFP) has a positive and significant impact on trade openness in Southern Asia and a negative impact in the case of Western Asia. Trade openness and economic growth have bidirectional causality in Western Asia and unidirectional causality in Southern Asia. It also shows that human capital and economic growth have unidirectional causality in both regions.

scholarly journals Getting CFO on board – its impact on firm performance and earnings quality

2020 ◽  
Vol 33 (2) ◽  
pp. 435-454
Author(s):  
Lien Duong ◽  
John Evans ◽  
Thu Phuong Truong
Keyword(s):  
Firm Performance ◽  
Negative Impact ◽  
Earnings Quality ◽  
Least Square ◽  
Chief Financial Officers ◽  
Outside Directors ◽  
Content Type ◽  
Ordinary Least Square ◽  
Board Membership ◽  
The Impact

Purpose This paper aims to investigate the impact of Australian Chief Financial Officers (CFOs) as board insiders on firm performance and earnings quality with reference to agency theory and theory of friendly board. Design/methodology/approach The ordinary least square, two-stage least-squares and propensity score matching regressions are performed with various proxies for firm performance and accruals quality. Findings Firms with CFOs as board insiders experience significantly lower firm performance and earnings quality. In firms with powerful CEOs, the negative impact of CFO board membership on earnings quality is further magnified. Additionally, the negative impact of CFO board membership on firm values and earnings quality is only present in firms with bigger boards or firms with less outside directors. The findings are consistent with the agency perspective and in sharp contrast to the US market. Originality/value This is the first Australian study to examine the impact of CFO board membership on firm performance and earnings quality. The findings suggest that the monitoring of executives is best done by a small or independent board and that the insider board membership should be optimised.

scholarly journals Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns

2022 ◽  
Vol 15 (1) ◽  
pp. 28
Author(s):  
Thomas Chinan Chiang
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Return ◽  
Negative Impact ◽  
Global Market ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact ◽  
Global Stock ◽  
The U.S

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable negative effect from global EPU to U.S. stocks. Evidence suggests that the COVID-19 pandemic has a negative impact that significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in domestic EPU and, in turn, affects stock return. Evidence shows significant COVID-19 effects that change relative stock returns between the U.S. and global markets, creating a decoupling phenomenon.

scholarly journals The Impact of Female Executives’ Proportion on Corporate Performance – Evidence from China’s Garment Industry

2018 ◽  
Vol 14 (7) ◽  
pp. 55 ◽  
Author(s):  
Junchi Shi ◽  
Maoguo Wu
Keyword(s):  
Corporate Performance ◽  
Negative Impact ◽  
Garment Industry ◽  
Least Square ◽  
Fe Model ◽  
Female Executives ◽  
Ordinary Least Square ◽  
Current Asset ◽  
Asset Turnover ◽  
The Impact

With the global appeal on gender equality, female executives’ proportion in corporations has become higher and higher. As an industry closely related to the female, is the corporate performance of the garment industry influenced by female executives’ proportion? This paper attempts to answer this question by empirical testing the impact of female executives’ proportion on the corporate performance of China’s garment industry. It investigates 20 listed Chinese garment firms from 2007 to 2015. Female executives’ proportion, along with company size, current asset turnover ratio, asset-liability ratio, number of employees, staff costs, ratio of inventory to current assets, ratio of accounts receivable to current assets, number of board meetings, and net profit growth rate, is tested to analyze the relation between female executives’ proportion and corporate performance. Fixed effect (FE) model, pooled ordinary least square (pooled OLS) model, and panel corrected standard errors (PCSE) model are utilized for robustness check. Empirical results find that female executives’ proportion has a negative impact on the corporate performance of China’s garment industry. Although the female has more of connection with the garment industry, higher female executives’ proportion does not necessarily bring better corporate performance.

The effect of weather on the European stock market

2016 ◽  
Vol 43 (9) ◽  
pp. 943-958 ◽  
Author(s):  
Nikolaos Sariannidis ◽  
Grigoris Giannarakis ◽  
Xanthi Partalidou
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Negative Impact ◽  
Weather Variables ◽  
Socially Responsible ◽  
Content Type ◽  
Daily Data ◽  
Macroeconomic Indicators ◽  
Significant Negative Impact ◽  
The Impact

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

scholarly journals Factors may drive the commercial banks lending: evidence from Jordan

2017 ◽  
Vol 12 (2) ◽  
pp. 31-38 ◽  
Author(s):  
Ayman Mansour Khalaf Alkhazaleh
Keyword(s):  
Credit Risk ◽  
Commercial Banks ◽  
Negative Impact ◽  
Bank Lending ◽  
Time Frame ◽  
Least Square ◽  
Financial Reports ◽  
Ordinary Least Square ◽  
Statistical Effect ◽  
The Impact

In an attempt to shed more light on the behavior of lending in banks, especially in the environment of developing countries, this study aims at explaining the impact of some factors proposed as determinants of bank lending in Jordanian commercial banks by benefiting from the financial reports of thirteen banks during the period 2010-2016. The study, in order to achieve the objectives and to test the main hypotheses has adopted Ordinary least square model (OLS). The most important results of the study are a statistically significant adverse effect of both credit risk and liquidity on bank lending, while there is a significant positive effect of the return on assets, size of the bank measured by assets, inflation, money supply and growth in gross domestic product in determining the level of lending. In addition, the study does not show a significant statistical effect between investments, the volume of deposits and bank lending in the same time frame. The review points out that because of the negative impact of liquidity and credit risk factors, commercial banks need to focus more on reducing their impact because presence of this impact at the end will decrease the ability of these banks to provide loans and stay in the banking market.

scholarly journals THE INFLUENCES OF MACRO-ECONOMIC FACTORS ON CAPITAL MARKET PERFARMANCE IN PAKISTAN

2016 ◽  
Vol 4 (2) ◽  
pp. 139-150
Author(s):  
Abdul Kabeer Muhammad ◽  
Amir Iqbal ◽  
Rabia Najaf ◽  
Khakan Najaf
Keyword(s):  
Foreign Direct Investment ◽  
Foreign Exchange ◽  
Capital Market ◽  
Direct Investment ◽  
Negative Impact ◽  
Stock Exchange ◽  
Least Square ◽  
Economic Variables ◽  
Significant Negative Impact ◽  
The Impact

The key determination of the present research is to examine the impact of selected major variables on stock return of the Pakistani emerging capital market Karachi Stock Exchange. The researches display that capital market is inclined by transform in major economic variables. This study observes impact of three major economic variables i.e. foreign direct investment, foreign exchange rateand inflation at Karachi stock exchange. The monthly data of ten years practice in this study. To reach the objectives, study uses the Ordinary Least Square (OLS) to estimate the correlation and regression model. The Durbin-Watson statistics 1.90 value indication that there are no serial correlations issues in study.And results show that significant negative impact of inflation and Foreign exchange rate &foreign direct investment negative insignificant impact on KSE dependent variable. And overall model good fit by probability of F-statistics which less than 5%.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

scholarly journals The impact of the Ease Doing Business Indicators on Foreign Direct Investment in the European transition economies

Ekonomika ◽  
2020 ◽  
Vol 98 (2) ◽  
pp. 19-32
Author(s):  
Bersan Haliti ◽  
Safet Merovci ◽  
Sanjib SHERPA ◽  
Alban Hetemi
Keyword(s):  
Transition Economies ◽  
Negative Impact ◽  
Transition Countries ◽  
Least Square ◽  
Dynamic Panel ◽  
Ordinary Least Square ◽  
Doing Business ◽  
Ease Of Doing Business ◽  
Generalised Method Of Moments ◽  
The Impact

The objective (aim) of this paper is to explore the impact of the Ease of Doing Business Indicators on FDI on transition economies in Europe. Authors have used the dynamic panel methodology, by using three methods: Pooled Ordinary Least Square (POLS), Fixed Effect (FE), and Two Step-System Generalised Method of Moments (GMM) estimation techniques. By referring to the GMM technique, it can be seen that variables such as: Starting a Business, Registering property, Getting electricity and Resolving insolvency have a positive and significant impact in attracting FDI in 16 European transition countries, while variables as: Dealing with construction permits, Getting credit, Paying taxes, Protecting minority investors, have shown negative impact, whereas Trading Across Border and Enforcing contracts have not shown any impact on attracting FDIs in European transition countries. This paper contributes to the enrichment of existing literature in this field by using these three methods.

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