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Article
Publication date: 28 May 2020

Syed Qasim Shah, Izlin Ismail and Aidial Rizal bin Shahrin

The purpose of this study is to empirically test the role of heterogeneous investor’s, i.e. institutional investors, individuals and insiders in deteriorating market integrity.

Abstract

Purpose

The purpose of this study is to empirically test the role of heterogeneous investor’s, i.e. institutional investors, individuals and insiders in deteriorating market integrity.

Design/methodology/approach

The research is conducted by examining the participants of 244 market manipulation cases of East Asian emerging and developed financial markets for the period of 2001–2016. The empirical analysis is conducted using panel logistic regression.

Findings

The results show that firms with higher institutional ownership are most likely to be manipulated in both markets. Insiders are potential manipulators in developed markets and deteriorate market integrity. In contrast, individual investors behave differently in both markets. In developed markets, firms with high individual ownership are less likely to be manipulated while in emerging markets, firms with individual ownership are more prone to manipulation because of substantial participation by individual investors which invites manipulative practices. Additionally, the authors found that firms with a higher proportion of passive institutional investors are less likely to be manipulated in emerging markets.

Originality/value

This study contributes to the existing literature by identifying the potential manipulators in the financial markets who deteriorate market integrity with the additional focus of subdivision of institutional investors as active institutional investors and passive institutional investor. The findings are helpful for regulators in designing policies to ensure market integrity and to enforce the role of institutional investors and insiders.

Details

Journal of Financial Crime, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1359-0790

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Article
Publication date: 5 June 2017

Abolaji Daniel Anifowose, Izlin Ismail and Mohd Edil Abd Sukor

The purpose of this paper is to present the essential role that currency order flow plays in the foreign exchange markets of emerging economies in the determination of…

Abstract

Purpose

The purpose of this paper is to present the essential role that currency order flow plays in the foreign exchange markets of emerging economies in the determination of their currencies in the short and the long-run against major currencies of the world, which cannot be over emphasized, most especially against the US dollar. Insomuch that, if some of these emerging economies can be successfully transmitted into full development, it would be a good model for other emerging economies and the world at large.

Design/methodology/approach

A hybrid model (portfolio shift model) proposed by Evans and Lyons (2002a, 2002b) is extended to analyze a data set of every quarter of an hour currency order flow and currency exchange rate fluctuations of Thai Baht (THB) against the US$ for the period of six years (January 2010 to December 2015). To reflect the pressure of currency excess demand, the authors construct a measure of currency order flow in the Thailand currency exchange market. Vector autoregression model is applied to estimate the effectual role of currency order flow in the determination of exchange rate for the THB against the US$.

Findings

Currency order flow indeed accounted for a sizeable and significant portion of the fluctuations in the THB and the US$ exchange rate.

Originality/value

Insomuch that, the results show that currency order flow has significant explanatory power in the emerging markets economy to capture the THB exchange rate variability, and it then brings to the attention of the Thailand Monetary Authority the importance that should be attached to the market microstructure.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 10 no. 2
Type: Research Article
ISSN: 1754-4408

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Article
Publication date: 15 January 2021

Ali Fayyaz Munir, Shahrin Saaid Shaharuddin, Mohd Edil Abd Sukor, Mohamed Albaity and Izlin Ismail

This paper investigates the behavior of contrarian strategy payoffs under varying degrees of financial liberalization in the context of Asia-Pacific emerging market namely…

Abstract

Purpose

This paper investigates the behavior of contrarian strategy payoffs under varying degrees of financial liberalization in the context of Asia-Pacific emerging market namely China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines and Thailand for the period 1997–2017. These markets represent economies that display a gradual change in the degree of financial liberalization instead of fully opening their markets to foreign investors at once.

Design/methodology/approach

Using a daily dataset of 2,468 firms and four different measures of the degree of financial liberalization, the paper employs portfolio formation, panel regressions and binary modeling methods to reveal the impact of partial and complete financial liberalization on contrarian returns.

Findings

This paper documents a negative relationship between the degree of financial liberalization and contrarian strategy payoffs. The results further indicate that small-sized emerging markets reveal more significant and higher contrarian returns as compared to their larger counterparts. Moreover, the returns are significantly higher during negative market states, higher volatility and crises periods. The study findings are consistent with the investor-base broadening hypothesis.

Practical implications

The findings may serve as a useful input for investors and fund managers to devise contrarian investment strategies in emerging market economies. Together, the study provides additional insights for policymakers in managing financial liberalization and integration policies within their respective countries.

Originality/value

This study provides a novel viewpoint by examining the relationship between the degree of financial liberalization and contrarian strategy payoffs. The authors contribute to the existing debate by shifting the discussion to the investor-based broadening argument in which small and less liberalized emerging markets offer opportunities for investors and fund managers to produce abnormal contrarian returns that cannot be earned by other conventional investment strategies.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

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Article
Publication date: 3 August 2015

Muhammad Aftab, Rubi Ahmad and Izlin Ismail

This study aims to examine the dynamics between exchange rate and equities contextualizing the current liberal currency regime in China. This investigation also extends…

Abstract

Purpose

This study aims to examine the dynamics between exchange rate and equities contextualizing the current liberal currency regime in China. This investigation also extends the analysis to explore the potential important factors influencing the interactions between these two markets. After exchange rate reforms, currency issue has emerged as a new dimension in portfolio decisions and diversification strategies in Chinese equity markets.

Design/methodology/approach

This research uses the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity model proposed by Engle (2002) to explore the dynamic interactions between the currency and stock markets. Further, the paper uses regression analysis to explore the explanatory channels of the correlation. The sample comprises 1,265 listed companies over the period 2005-2012 with daily, weekly and monthly observations. To make analysis robust, the study also considers different exchange rates and equities belonging to different industries.

Findings

The findings suggest that exchange rate and stock price are related negatively. This conduit increases during the financial crisis period. This association is more prominent at monthly frequency than that of daily and weekly frequencies, which may refer to the noise factor in the high-frequency data. For a portfolio diversification point of view, currency may be considered an alternative diversifier against equity in China. The results also suggest a weak influence of market forces on the association between the currency and stock markets.

Originality/value

Much of the related past research is based on co-integration approaches and limited to the relationship between currency and equity markets without exploring the determining channels of this important connection. This study uses a more suitable approach to examine the topic and also investigates the determinants. Besides, previous studies take index data which may be poor to depict the overall market outlook. This paper proceeds with firm-level data which are more appropriate to expose the overall market outlook and investor behavior. This research also draws valuable implications.

Details

Chinese Management Studies, vol. 9 no. 3
Type: Research Article
ISSN: 1750-614X

Keywords

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Article
Publication date: 3 August 2015

Yuanhui Li and John Ferguson

The purpose of the papers included in this issue is to cover a broad range of contemporary issues in Chinese corporate financial management and therefore provide the…

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Abstract

Purpose

The purpose of the papers included in this issue is to cover a broad range of contemporary issues in Chinese corporate financial management and therefore provide the readers with important insights into Chinese financial markets as well as the social and economic consequences of firm behavior in the Chinese context.

Design/methodology/approach

The first part of this issue is a special section on “Corporate Finance and Corporate Social Responsibility”, which includes three papers that explore various aspects of corporate social responsibility (CSR) from a finance perspective – including the relationship between CSR and the cost of equity, the “insurance-like effect” of CSR and competition in corporate philanthropy. The remainder of the issue includes seven further papers that cover a wide range of finance-related topics, including currency and equity, monetary policy, cross-border mergers and acquisitions, earnings management, overseas investment, information disclosure, social capital and cosmopolitanism. All of the papers included in this issue are based on empirical research that draws on primary and secondary data from Chinese financial markets and from the information disclosures of Chinese enterprises.

Findings

The authors are confident that such in-depth discussions and analysis will help researchers and practitioners to develop a better understanding of the issues faced by Chinese managers in the context of China’s economic transformation. The findings reported in this issue will help inform and develop Chinese management theories based on a wide range of Chinese management practices.

Originality/value

Each paper in this issue reports on different aspects of finance, reporting and management in the Chinese context, discussing findings that have both relevance and significance beyond China.

Details

Chinese Management Studies, vol. 9 no. 3
Type: Research Article
ISSN: 1750-614X

Keywords

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