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Article
Publication date: 26 January 2010

Shrimal Perera, Michael Skully and J. Wickramanayake

The purpose of this paper is to investigate whether any deviations in South Asian banks' interest margins can be attributed to market concentration (MC) after controlling…

Abstract

Purpose

The purpose of this paper is to investigate whether any deviations in South Asian banks' interest margins can be attributed to market concentration (MC) after controlling for other bank‐specific factors and exogenous environmental influences.

Design/methodology/approach

The paper employs an improved structural price‐concentration model with multiple definitions of market share (MS) covering loan and deposit markets. This model is estimated using generalized least squares method and random effect estimates are reported. The sample consists of 120 South Asian banks with a total of 1,226 bank‐year observations over 1992‐2005.

Findings

The findings suggest that no significant deviations in bank interest margins can be attributed to MC. Instead, only dominant South Asian banks with larger MSs are found to extract higher interest margins.

Research limitations/implications

This paper suffers from three main limitations: first, due to data limitations the sample only consists of South Asian domestic commercial banks. Second, due to the lack of product‐specific interest rates the authors have to contend with approximated bank‐specific interest margins. Third, throughout the study, annual bank‐specific data are used due to lack of high‐frequency data.

Practical implications

The regulators should closely monitor dominant banks with larger loan and deposit shares because these institutions operate with higher interest margins. Similarly, state‐owned banks (with relatively inefficient cost structures) should also draw regulatory attention for they extract higher interest margins, possibly, for survival.

Originality/value

The existing literature is extended by utilizing a pooled cross‐section and time series data model which controls for sample heterogeneity using proxies for cost structures, risk profiles and regulatory restrictions.

Details

International Journal of Emerging Markets, vol. 5 no. 1
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 12 January 2015

Fredrik Kopsch, Han-Suck Song and Mats Wilhelmsson

The purpose of this paper is to study the determinants of aggregate fund flows to both equity and hybrid mutual funds. The authors test three hypotheses that help…

Abstract

Purpose

The purpose of this paper is to study the determinants of aggregate fund flows to both equity and hybrid mutual funds. The authors test three hypotheses that help explaining the relationship between mutual fund flows and stock market returns, namely; the feedback-trader hypothesis, the price-pressure hypothesis, and the information-response hypothesis.

Design/methodology/approach

The study relies on Swedish quarterly data on mutual fund flows over the period 1998-2013. The methodology is twofold; through the structural models (AR(1)) the authors can say something regarding the relationship between mutual fund flows and financial macro variables. The analysis is further strengthened by utilizing a vector autoregressive model to test for Granger causality in order to determine the order of events.

Findings

Similar to both Warther (1995) and Jank (2012), the authors only find support for the information-response hypothesis. Additionally, the authors find new financial variables that have predictive power in determining mutual fund flows, namely; market fear (VIX), exchange rate, households’ expectation regarding inflation as well as outflows from mutual bond funds.

Originality/value

The study contributes to the body of literature in three ways. First, it complements recent findings on determinants of mutual fund flows but the authors also add to the knowledge by included new macro financial variables describing the real economy. Second, the authors include a few additional variables. Third, the vast majority of previous studies have used US data, the authors add to that a deeper understanding of determinants of mutual fund flows in smaller economies by using Swedish data.

Details

Managerial Finance, vol. 41 no. 1
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 26 November 2019

Avisek Sen and Arindam Laha

In the present era, there is visible trend of transition of the economy from the managerial capitalism to finance capitalism, which increases the role of finance in the…

Abstract

In the present era, there is visible trend of transition of the economy from the managerial capitalism to finance capitalism, which increases the role of finance in the economic development of a country. The concept of financial development deals with the access, depth, efficiency, and stability of the financial institution and the market of a country. On the other hand, the financial integration is the degree of the financial openness of a country. There are de facto (gross stock of foreign assets and liabilities as a ratio of GDP, cross border capital flows) and de jure (capital account restrictions) measures of the financial integration. An efficient financial system increases the savings rate, which enhances capital accumulation in the economy. This process will channelize the fund from the household to the financial system. The economic liberalization induces the household to utilize their global market fund and enhance the marginal productivity of the capital. A deeper financial integration is expected to increase the public access in the domestic financial market as well as in the global market. Financial integration has some indirect effect on the economic growth through expansion and development of the financial system. In this context, this study examines the state of financial development and the financial integration across emerging countries in Asia. An attempt also was made to investigate whether the developed financial system promotes the financial integration or the financial integration induces the authority to develop the financial system. This study is based on the selected Asian countries over the period 2001–2016. Empirical evidence also support a significant positive association between the indicators of financial development and financial integration. It also indicates an empirical relationship from the financial development to the financial integration, and vice versa.

Details

The Gains and Pains of Financial Integration and Trade Liberalization
Type: Book
ISBN: 978-1-83867-004-7

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Article
Publication date: 7 March 2019

Debojyoti Das and Kannadhasan Manoharan

The purpose of this paper is to study the co-movement and market integration dynamics of the emerging/frontier stock markets in South Asia (India, Pakistan and Sri Lanka…

Abstract

Purpose

The purpose of this paper is to study the co-movement and market integration dynamics of the emerging/frontier stock markets in South Asia (India, Pakistan and Sri Lanka) with a portfolio management perspective.

Design/methodology/approach

Scholars in the past have documented the limitation of standard econometric techniques such as co-integration analysis to capture this phenomenon. The other econometric technique widely used in integration and comovement literature is dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity. This method captivates the time-varying correlations, although frequency information is absent. The wavelet-based analysis decomposes the time-series data in a time-frequency domain, which is largely useful to fund managers and policy makers. This study examines the regional integration in selected South Asian markets using wavelet analysis.

Findings

The results suggest some degree of market integration, however weak as compared to regional integrations in developed markets. Pakistan and India were found to be the potential leaders at varying time scales in the region. Weaker co-movement phenomena may offer ample arbitrage opportunities to investors in this region. In addition, the authors also find that the structure of correlation changes after some of the major macroeconomic events.

Originality/value

This study is among the first to examine co-movement and integration of stock returns in a time-frequency domain for South Asia. In addition, the authors also highlight weak integration in these markets, which may be beneficial for portfolio diversification.

Details

International Journal of Managerial Finance, vol. 15 no. 2
Type: Research Article
ISSN: 1743-9132

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Book part
Publication date: 6 September 2018

Wonlop Buachoom

As there is inclusive evidence on relationship between board characteristics and firm performance in the Thai context, and mixed findings of this relationship are usually…

Abstract

As there is inclusive evidence on relationship between board characteristics and firm performance in the Thai context, and mixed findings of this relationship are usually reported from previous studies, this study tries to clarify a reason for the mixed finding by determining the impact of board structures on different quantile levels of firm performance. Building on extant literature and using a developed econometric technique, the Quantile Analysis, on a sample of 446 listed firms in Thailand for a 15-year period ranging from 2000 to 2014, empirical evidence is provided which is consistent with prior studies that some characteristics of the board as the core mechanisms of corporate governance, i.e., board independence, board size, board meeting frequency, and dual role leadership on board, have significant influence on performance of Thai firms. In particular, when considering different quantile levels of firm performance, board structures are found to have different effects across quantile of performance distribution. Board independence and dual role leadership on board are found to have a significant influence on only moderate-performing firms, while board size and board meeting frequency are revealed as having significant impact on only firms with high-performance which need more effectiveness of the board in overseeing and supervising decision-making of the executives. Thus, these findings indicate that considering different quantile levels of firm performance for the board structures and performance relationship should be a reason of previous mixed findings. Moreover, the findings should be important information in encouraging better understanding an optimal governance system in Thailand for related stakeholders such as policymakers, corporate firms, and investors.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-78756-446-6

Keywords

Content available
Article
Publication date: 25 March 2021

Mohd Adil, Yogita Singh and Mohd. Shamim Ansari

The purpose of the study is to examine the impact of behavioural biases (i.e. overconfidence, risk-aversion, herding and disposition) on investment decisions amongst…

Abstract

Purpose

The purpose of the study is to examine the impact of behavioural biases (i.e. overconfidence, risk-aversion, herding and disposition) on investment decisions amongst gender. The authors further examine the moderation effect of financial literacy in the relationship between behaviour biases and investment decisions amongst gender.

Design/methodology/approach

The study considered a cross-sectional research design. For this survey, the data have been collected through a structured questionnaire from 253 individual investors of the Delhi-NCR region. To analyse the validity and reliability, the Pearson correlation and Cronbach's alpha test have been taken into account respectively. For testing the hypothesis, hierarchical regression analysis has been used in the study.

Findings

The results of the study reveal that amongst male investors, the influence of risk-aversion and herding on investment decision was negative and statistically significant, while the influence of overconfidence on investment decision was positive and significant. However, the influence of disposition was found statistically insignificant. The results stated that amongst female investors the effect of risk-aversion and herding on investment decision was negative and statistically significant. However, the effect of overconfidence and disposition was statistically insignificant influence the investment decision. It has been observed that financial literacy has significantly influenced investment decisions amongst male and female investors. The results of the interaction effect amongst male investors stated that the interaction between overconfidence and investment decision was significantly influenced by financial literacy. However, the interaction of financial literacy with the remaining three biases, i.e. risk-aversion, herding and disposition was found insignificant. The results for the interaction effect of financial literacy with overconfidence, risk-aversion, disposition and herding were found statistically significant amongst female investors.

Research limitations/implications

Based on this present research finding, the study is more productive for the portfolio manager and policymakers at the time of making an investment portfolio for the investors based on their behavioural biases. The study recommends that investors need training programmes, workshops and seminars that enhance financial literacy and financial knowledge of investors which helps them to overcome the behavioural biases while making an investment decision.

Originality/value

The current study aims to explore whether several behavioural biases can affect investment decisions amongst gender. Moreover, the authors would like to examine whether these associations are moderated by financial literacy. In this sense, financial literacy might also show a substantial part in the prediction of investments. The current study might be of the first study that examines the moderation effect financial literacy amongst male and female investors.

Details

Asian Journal of Accounting Research, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2443-4175

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Article
Publication date: 7 September 2012

Rakesh Gupta and Thadavillil Jithendranathan

The purpose of this paper is to examine the various segments of the managed funds market to establish if there is any significant difference in the way the assets are…

Abstract

Purpose

The purpose of this paper is to examine the various segments of the managed funds market to establish if there is any significant difference in the way the assets are allocated into various asset categories and if investors base their investment decisions based on the past performance of the fund.

Design/methodology/approach

An average investor who does not possess superior investment knowledge may base their investment decision on the past performance of funds resulting in flow based on past performance. This study uses a panel regression model to test the relationship between net flows and past excess returns.

Findings

Significant differences are found in asset allocation between the retail and wholesale segments. Retail investors prefer less risky investments compared to wholesale investors and have lower preference for overseas investments. The results indicate that investors base their investment decisions on the past performance of funds, with the retail segment showing a higher level of influence of past performance, as compared to the wholesale segment. The results further show less evidence of a reaction to risk among the managed investment categories.

Practical implications

Fund managers use fund performance for marketing purposes and results of the study may be of importance to the managers and investors in understanding this objective. The findings are also of significance for policy makers in terms of understanding investor behaviour.

Originality/value

This is the first study of the Australian managed funds industry (including wholesale and retail funds) that tests the link between past performance and fund flows. The study includes data until June 2008, which includes a period when a number of policy changes occurred in Australian superannuation industry.

Details

Accounting Research Journal, vol. 25 no. 2
Type: Research Article
ISSN: 1030-9616

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Article
Publication date: 1 February 2021

Yaman Omer Erzurumlu and Idris Ucardag

This paper aims to investigate private pension fund investor sentiment against fund performance and cost in an environment of frequent regulatory changes. The analyses are…

Abstract

Purpose

This paper aims to investigate private pension fund investor sentiment against fund performance and cost in an environment of frequent regulatory changes. The analyses are conducted in a low return, high-cost private pension fund market environment, which makes it easier to observe the relationship between investor sentiment to return and cost.

Design/methodology/approach

This paper conducts fixed effect, random effect and random effect within between effect panel data analyses of all Turkish private pension funds from 2011 to 2019. This paper conducts the analyses using aggregate data and subsets based on fund characteristics and pre-post regulation periods.

Findings

When regulations provide compensation and improve market efficiency in a pension fund market, investor focus shifted from performance to cost. Investors allocated assets with respect to return realization when adequately compensated for risk or had favorable cost contract clauses. Consequently, investors in pension funds with lower expected returns and no special fee reduction clauses tended to adopt the strategy of cost minimization.

Research limitations/implications

The overlap of regulatory change periods could complicate the ability to distinguish the impact of any one specific change. The findings therefore cannot be generalized to differently structured markets.

Practical implications

Regulatory changes could lead to a switch of investor objectives. When regulatory changes compensate investors and increase market efficiency, investors objective could switch from performance to cost.

Originality/value

This study investigates investor sentiment in a relatively young private pension fund market, in which the relevant regulatory body ambitiously implements frequent changes in regulation. The selected market is unique in the sense that it has negative real returns and high costs, which make investor focus to return and cost more readily apparent.

Details

Journal of Financial Regulation and Compliance, vol. 29 no. 2
Type: Research Article
ISSN: 1358-1988

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Article
Publication date: 17 August 2012

Anil Perera and J. Wickramanayake

The purpose of this paper is to examine financial market integration in major South Asian financial markets: Bangladesh, India, Pakistan and Sri Lanka. Also to identify…

Abstract

Purpose

The purpose of this paper is to examine financial market integration in major South Asian financial markets: Bangladesh, India, Pakistan and Sri Lanka. Also to identify the required policy interactions and structural changes vital for broader economic integration.

Design/methodology/approach

This research opted for an empirical study employing co‐integration and causality techniques using a sample of stock and bond market data for major South Asian countries.

Findings

Empirical results show that both stock and bond returns are co‐integrated, indicating common stochastic trends. Stock market integration appears to be much stronger compared to the less developed and data deficient bond markets.

Research limitations/implications

The study relies on widely cited empirical methodology. However, adopting alternative specifications and also allowing for time variant factors while examining inter‐linkages between stock and bond markets seem to be appropriate for robustness of results.

Practical implications

Increased integration would help in reducing arbitrage opportunities in these financial markets, having implications for market participants and promoting economic growth through financial deepening, in general. Since the degree of integration is dependent on policy and institutional infrastructure, ongoing efforts to develop financial sectors and reforms would need to be accelerated to further strengthen the degree of convergence between securities markets.

Originality/value

The paper fulfills an identified need to examine financial market integration in the SAARC region, using data for both stock and bond markets. This is the first study to use bond market data for SAARC countries and it also adds to the limited literature of bond market integration.

Details

South Asian Journal of Global Business Research, vol. 1 no. 2
Type: Research Article
ISSN: 2045-4457

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Article
Publication date: 24 December 2020

Naser Yenus Nuru and Habtamu Kefelegn

The purpose of this paper is to investigate the effects of unanticipated monetary policy innovations on output and price for Ethiopia from 1991:Q1 to 2016:Q1.

Abstract

Purpose

The purpose of this paper is to investigate the effects of unanticipated monetary policy innovations on output and price for Ethiopia from 1991:Q1 to 2016:Q1.

Design/methodology/approach

Short run and long run identification schemes on structural vector autoregressive model are employed in this study.

Findings

The impulse response function results generated show that while a positive shock in interest rate causes a reduction in output and price puzzle, a positive shock to broad money supply has a positive and significant effect on output and price. A positive shock in real effective exchange rate has also an expansionary, though insignificant, effect on impact on both output and price. These results are especially true for the short run identification scheme. As to the results from the variance decomposition, the study shows that the highest variation in output and price is caused by broad money supply shock in the short run.

Originality/value

It adds to the scarce empirical literature on the effects of monetary policy innovations on the Ethiopian economy.

Details

African Journal of Economic and Management Studies, vol. 11 no. 1
Type: Research Article
ISSN: 2040-0705

Keywords

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