Search results
1 – 10 of 73Shrimal 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 for…
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
Keywords
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 explaining the…
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
Keywords
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) with a…
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
Keywords
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 gender. The…
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
Keywords
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 allocated…
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
Keywords
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 the…
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
Keywords
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
Keywords
This study aims to examine the role of fund family size on the money flow of Saudi Arabian open-end equity mutual funds. The author also investigates whether the relationship…
Abstract
Purpose
This study aims to examine the role of fund family size on the money flow of Saudi Arabian open-end equity mutual funds. The author also investigates whether the relationship between fund flow and past return varies based on the fund's family size.
Design/methodology/approach
The study analyses 256 equity funds that operated in Saudi Arabia from 2006 until 2017. Pooled and fixed-effect regression models are used to test the relationship between mutual fund flow and family size.
Findings
The results indicate that fund flow is higher for large size family funds. The results also show that the relationship between mutual fund flow and past performance is more pronounced for large size families, which supports the concept that investors pay extra attention to funds' return and size.
Research limitations/implications
The author provides evidence of the significant effect of family size of mutual funds on future money flow, which helps fund managers to understand investors' motivations for allocating their cash.
Originality/value
This paper contributes to the literature by examining the impact of family size level on the interaction between fund flow and past performance. This study is believed to be the first to investigate the family size factor in Saudi Arabia using a comprehensive data set.
Details
Keywords
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