Bank informational opacity: evidence from the Tunisian stock market

Abstract

Purpose

The purpose of this paper is to investigate the informational opacity of Tunisian banks versus non‐banking firms taking into account information environment changes.

Design/methodology/approach

This research uses the synchronicity of stock returns as a proxy of informational opacity. It also examines bank crash risk relying on the skewness of residual returns. Finally, the study addresses the effects of mandatory disclosure requirements on firm opacity and market volatility.

Findings

The results suggest that bank stock prices incorporate less specific information than non‐banks. Moreover, banks are more likely to experience stock price crashes. However, the authors find a significant decrease of informational opacity for both banking and non‐banking firms since 2006 which supports substantial improvements in the corporate disclosure environment.

Practical implications

The findings are interesting for regulators. Banks with high stock returns synchronicity and negative residual returns skewness are more opaque and are significantly exposed to crash risk. Consequently, they deserve greater regulatory scrutiny. Thus, the opacity measures derived from the asset pricing model could be a useful tool for monitoring disclosure policies in the banking sector.

Originality/value

The paper extends the empirical literature on the determinants of bank stock returns synchronicity and skewness for an emerging economy, Tunisia. The information environment offers an empirical opportunity to examine the dynamics of opacity as well as the desirability of mandatory disclosure requirements in the banking system.

Citation

Mbarek, L. and Mezzez Hmaied, D. (2012), "Bank informational opacity: evidence from the Tunisian stock market", Journal of Financial Regulation and Compliance, Vol. 20 No. 3, pp. 278-292. https://doi.org/10.1108/13581981211237972