Systematic illiquidity, characteristic illiquidity, and stock returns: Timeseries analysis

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

Investigating the Impact of International Markets and New Digital Technologies on Business Innovation in Emerging Markets

International markets and digital technologies are considered among the factors affecting business innovation. The emergence and deployment of digital technologies in emerging markets increase the innovation potential in businesses. Companies with an entrepreneurial orientation also strengthen their innovation capabilities. The present study aimed to investigate the impact of international markets and new digital technologies on business innovation in emerging markets, and to estimate the mediating effect of entrepreneurial orientation on this relationship. The present research was applied research in terms of aim and descriptive survey in terms of data collection method and quantitative in terms of the type of collected data. A standard questionnaire was to collect data. The study’s statistical population consisted of all companies providing business services in Tehran, Iran. To analyse the data, the structural equation modelling method with partial least squares method and Smart PLS-3 Software was used. The results revealed that international markets and digital technologies are positively associated with innovation. They also revealed that when a company’s entrepreneurial orientation increases, the digital technologies and international markets will be more involved in mutual relationships.

Financial performance of commercial banks in the emerging markets

In the economic growth of a country, the banking sector plays a significant role (Alam, Rabbani, Tausif, & Abey, 2021). The overall objective of the study is to investigate the financial performance of commercial banks in emerging markets. The study tried to see the impact of governance, exchange rate volatility, trade openness, and internet access on the financial performance of commercial banks in Ethiopia during the years from 2014 to 2019. The study employed a random-effects model using balanced panel data. The result indicated that composite governance index, trade openness, and internet access have a positive and statistically significant effect on the financial performance of commercial banks as measured by their return on assets. However, the exchange rate volatility has a negative and statistically significant effect on the financial performance of commercial banks. On the other hand, the result of bank-specific variables considered in the study such as profit margin, asset utilization, net interest margin, overhead efficiency, and numbers of branches have a positive and statistically significant effect on the financial performance of commercial banks. Contrarily, the equity multiplier ratio has a negative and significant effect on the financial performance of commercial banks

Internationalisation strategies of emerging market firms: evidence from Sarawak, Malaysia

Purpose This study aims to explore the internationalisation paths and strategies adopted by firms from an emerging market and serves as a step towards examining the suitability of prevailing internationalisation theories in the context of emerging market firms. Design/methodology/approach This study adopted a qualitative methodology and gathered data through in-depth semi-structured interviews with 15 top managers of internationalised firms from the East Malaysian state of Sarawak. Data were analysed thematically. Findings The results revealed that the internationalisation strategies of firms from Sarawak can be classified under three main categories: motivations and markets, modes and measures. The constraints the firms faced were important determinants of their internationalisation strategies. The internationalisation paths and strategies of the firms were also found to exhibit both similarities to and deviations from the tenets of prevailing internationalisation theories. Originality/value The study contributes knowledge to the literature of both internationalisation theories and internationalisation strategies of emerging markets, in particular, it advances Fey et al.’s (2016) Five M Framework.

The Integration of Big Data and Artificial Neural Networks for Enhancing Credit Risk Scoring in Emerging Markets: Evidence from Egypt

This study investigates the effectiveness of technology models in credit risk scoring modeling in emerging markets. the study proposes evaluation methods for credit risk scoring modeling for current and potential borrowers through an investigation into the Egyptian banking industry by offering and examining a framework for the integration of big data and artificial neural networks based on systematic and unsystematic risk for both the macroeconomic environment and characteristics of current and potential borrowers. The data for the borrowers under examination covers the period from 2015 to 2019 for 75 firms, excluding 2020 and 2021 data to isolate the impact of COVID-19 on the results of the inferred statistics. Artificial Neural Networks was training within 25 firms under NeuroXL program but examination for 50 firms. The study found the ability of artificial neural networks to rank the commitment of borrowers in Egyptian banks under big data about the firm and Egyptian economy. Additions to discrepancy between the proposed model against some traditional models. Finally; The Integration of Big Data and ANN can help banks to bring out the value of data within create a level of financial stability for banks. Especially in emerging markets characterized by information inefficiency.

An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021). It researches whether the addition of the profitability and investment pattern factors show superior results in the assessment of emerging markets during the COVID-19 pandemic compared to developed markets. We use panel data covering eight indices of developed and emerging countries as well as a selection of eight companies from these markets, covering a period from 2000 to 2020. Our findings suggest that emerging markets do not generally outperform developed markets. The results underscore the need to reconsider the assumption that adding more factors to regression models automatically yields results that are more reliable. Our study contributes to the extant literature by broadening this research area. It is the first study to compare the performance of the Fama French three-factor model and the Fama French five-factor model in the cost of equity calculation for developed and emerging countries during the COVID-19 pandemic and other crisis events of the past two decades.