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This paper aims to investigate the dynamic portfolio optimisation performance of numerous samples of Shariah-compliant firms in the USA vis-à-vis the overall conventional sample.

This paper constructs efficient frontiers and subsequently the capital market line using the ovport set of commands in STATA. From the capital market line, the tangent portfolio is found, and the Sharpe ratio of the tangent portfolio is the primary measurement of the dynamic portfolio optimisation performance of the samples of Shariah-compliant samples in this study.

This paper finds that the overall conventional sample will outperform the Shariah-compliant samples in most cases. However, there exists a consistent trend whereby the performance of the overall conventional sample will converge towards the performance of the Shariah-compliant samples (and even be lower at times), as the market approaches a looming crisis suggesting that the Shariah-compliant samples do not experience significant deteriorations in their performance as compared to the conventional sample and that they provide stability during such times.

This paper assumes no transaction costs, illiquidity, bid-ask spread and non-compliant revenue purification all of which may negatively affect portfolio performance.

The findings of this paper suggest that Shariah-compliant samples should be included in portfolios during times of crisis because they are less affected by market-wide volatility.

The stability of Shariah-compliant samples reflects the conservativity of the contemporary Shariah stock screening methodologies and the Shariah itself.

Portfolio optimisation studies on Shariah-compliant samples are usually static in nature and are conducted in selected Muslim countries. This paper studies the dynamic portfolio optimisation in the USA where a liquid Islamic capital market is non-existent.

This purpose of this paper is to investigate the value relevance and incremental importance of earnings and book value in the Kuwaiti market to equity holders over time and in the context of the decade after the 2008 global financial crisis.

Following reports in the literature, the value relevance of earnings and book values was examined using the price valuation model provided by Ohlson (1995). Observations (2,817) were collected from all firms listed on the Kuwait Stock Exchange from 1994 to 2016.

The results suggest that the value relevance of earnings and book values declined over this period, and that the loss of value relevance for earnings data was greater than that for book value. The analysis provides evidence that the decline in value relevance of earnings and book value was driven by book values in the post-GFC period and suggests an exchange of value relevance between earning and book value post GFC.

The results are useful for regulators, analysts, investors and academics as an assessment of effectiveness of current financial reporting. There is a need for improvement because quality information helps equity holders determine value precisely. Timely financial reporting may mitigate the drop in value relevance of financial statements.

This is the first study to examine value relevance accounting measures of Kuwaiti companies, in the post-GFC context. It contributes to capital market research through an empirical examination of a frontier capital market.

Motivated by significant global developments affecting the sell-side industry, in particular a shift toward passive investments and growing regulation, this study examines whether financial analyst coverage declined over the past decade and if any loss of analyst coverage is associated with a change in forecast accuracy.

After investigating, and confirming, a general decline in analyst following, the authors calculate the loss of analyst coverage relative to the firm-specific maximum between 2009 and 2013. In multivariate analyses, the authors then examine whether this loss of coverage differs across geographic region, firm size and capital market development, and whether it is associated with consensus analyst accuracy.

Results indicate that between 2011 and 2021, firm-specific analyst coverage globally declined 17.8%, while the decline in the EU was an even greater, 28.5%. Within the EU, results are most pronounced for small-cap firms. As a consequence of the loss of coverage, the authors observe a global decline in forecast accuracy, with EU small-cap firms and firms domiciled in EU non-developed capital markets faring the worst.

This study is the first to document a concerning global decline in analyst coverage over the past decade. The study results provide broad-based empirical support for anecdotal reports that smaller firms in the EU and those in EU non-developed capital markets bear the brunt of consequences stemming from changes in the sell-side analyst industry.

This paper aims to examine the impact of compliance with corporate governance (CG) guidelines during the period 2002-2014 on firm financial performance and firm value of Kenyan-listed companies.

Using panel data of 520-firm year’s observations between 2005 and 2014, the authors test the hypothesis that compliance with CG guidelines issued in 2002 by Capital Markets Authority (CMA) improved firm financial performance and firm value.

Compliance with CG Index which is an aggregate of all the CG guidelines is positively and significantly related to firm performance and firm value. Board evaluation is also positively and significantly related to firm performance. The findings suggest that CG guidelines are associated with firm financial performance and firm value.

The authors provide evidence on the relationship between CG practices and firm financial performance and firm value in Kenya. Second, the authors provide evidence on board evaluation which has not been tested before in a “comply or explain” environment. Finally, they evaluate how CMA 2002 CG guidelines steered firm financial performance and firm value over its life cycle from 2002 to 2014. These results are important to CMA and other CG regulators and boards in their efforts to improve CG practices in the region.

The study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times.

Johansen cointegration test is employed to know the long run relationship among the stock market indices of Hong Kong, Indonesia, Malaysia, Korea, India, Japan, China, Taiwan, Israel and South Korea. The empirical testing was done to analyze whether any significant change has been induced by the COVID-19 pandemic on the cointegrating relationship of the selected markets or not. Through statistics of trace test and maximum eigen value, total number of cointegrating equations present among all the indices during different study periods were analyzed.

The presence of cointegration was found during all the sample periods and the findings suggests that the selected stock markets are associated with each other in general. During COVID-19 crisis period the cointegration level was reduced and again it regained its original level in the next year and again reduced in the subsequent next year. So, the cointegrating relationship among selected stock market indices remains dynamic and no evidence of impact of COVID-19 on this dynamism was found.

The study has explored the level of cointegration among the major stock indices of Asian nations in the pre, during, post-crisis and the most recent periods. The interconnectedness of the stock markets during the COVID-19 times has been compared with similar periods in different years immediately preceding and succeeding the COVID-19 times which has not been done in any of the existing study.

The purpose of this paper is to explore the co-movements among emerging markets. The authors, additionally, investigate the driven force of the within emerging markets integration. The authors provide evidence of volatility clustering, leverage effect and time-varying integration of emerging markets.

The study used dynamic conditional correlation techniques to estimate the time-varying conditional correlations among emerging markets. The cross-sectional and time series variations in the within emerging markets correlations are then described by various market and economic factors.

The authors show that investment, domestic credit to the private sector and import of financial services have a positive relation within emerging markets co-movements. However, claim on central government, current account balance and financial services exports have a negative relation with the integration among emerging markets. Evidence is also provided that liquidity and market depth explain the correlation between emerging markets.

The findings show that emerging markets ability to convert domestic assets into investments appears to be the single most important factor influencing with in emerging markets integration. The findings indicate that across-emerging markets diversification potential exists.

Relative risk ratings measure the degree by which a country’s sovereign rating is better or worse than other countries (Basu et al., 2013). However, the literature on the impacts of sovereign ratings on capital flows has not covered the role of relative risk ratings. This paper aims to examine the effect of relative risk ratings on private capital flows to emerging and frontier market economies is filled. In the analysis, the effect of relative risk ratings to that of absolute sovereign ratings in influencing private capital flows are compared.

This paper examines the influence of sovereign credit ratings and relative risk ratings on private capital flows to 26 emerging and frontier market economies using quarterly data for a 20-year period between 1998 and 2017. A dynamic panel regression model is used to estimate the relationship between ratings and capital flows after controlling for other factors that can influence capital flows such as growth and interest rate differentials and global risk conditions.

The analysis finds that while absolute sovereign credit ratings were an important determinant of net capital inflows prior to the global financial crisis in 2008, the influence of relative risk ratings increased in the post-crisis period. The post-crisis effect of relative ratings appears to be driven mostly by portfolio flows. The main results are robust to an alternate measure of capital flows (gross capital flows instead of net capital flows), to the use of fixed gross domestic product weights in calculating relative risk ratings and to the potential endogeneity of absolute and relative ratings.

This study advances the literature on being the first attempt to understand the impact of relative risk ratings on capital flows and also comparing the impact of absolute sovereign ratings and relative risk ratings on capital flows in the pre- and post-global financial crisis periods. The findings imply that emerging and frontier markets need to pay greater attention to their relative economic performance and not just their sovereign ratings.

This paper aims to empirically test, from a regulatory portfolio management standpoint, the application of liquidity-adjusted risk techniques in the process of getting optimum and investable economic-capital structures in the Gulf Cooperation Council financial markets, subject to applying various operational and financial optimization restrictions under crisis outlooks.

The author implements a robust methodology to assess regulatory economic-capital allocation in a liquidity-adjusted value at risk (LVaR) context, mostly from the standpoint of investable portfolios analytics that have long- and short-sales asset allocation or for those portfolios that contain long-only asset allocation. The optimization route is accomplished by controlling the nonlinear quadratic objective risk function with certain regulatory constraints along with LVaR-GARCH-M (1,1) procedure to forecast conditional risk parameters and expected returns for multiple asset classes.

The author’s conclusions emphasize that the attained investable economic-capital portfolios lie-off the efficient frontier, yet those long-only portfolios seem to lie near the efficient frontier than portfolios with long- and short-sales assets allocation. In effect, the newly observed market microstructures forms and derived deductions were not apparent in prior research studies (Al Janabi, 2013).

The attained empirical results are quite interesting for practical portfolio optimization, within the environments of big data analytics, reinforcement machine learning, expert systems and smart financial applications. Furthermore, it is quite promising for multiple-asset portfolio management techniques, performance measurement and improvement analytics, reinforcement machine learning and operations research algorithms in financial institutions operations, above all after the consequences of the 2007–2009 financial crisis.

While this paper builds on Al Janabi’s (2013) optimization algorithms and modeling techniques, it varies in the sense that it covers the outcomes of a multi-asset portfolio optimization method under severe event market scenarios and by allowing for both long-only and combinations of long-/short-sales multiple asset. The achieved empirical results, optimization parameters and efficient and investable economic-capital figures were not apparent in Al Janabi’s (2013) paper because the prior evaluation were performed under normal market circumstances and without bearing in mind the impacts of the 2007–2009 global financial crunch.