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1 – 10 of 746The aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2…
Abstract
Purpose
The aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2) to investigate co-movements between the ten developing stock markets, the sentiment investor's, exchange rates and geopolitical risk (GPR) during Russian invasion of Ukraine in 2022, (3) to explore the key factors that might affect exchange market and capital market before and mainly during Russia–Ukraine war period.
Design/methodology/approach
The wavelet approach and the multivariate wavelet coherence (MWC) are applied to detect the co-movements on daily data from August 2019 to December 2022. Value-at-risk (VaR) and conditional value-at-risk (CVaR) are used to assess the systemic risks of exchange rate market and stock market return in the developing market.
Findings
Results of this study reveal (1) strong interdependence between GPR, investor sentiment rational (ISR), stock market index and exchange rate in short- and long-terms in most countries, as inferred from (WTC) analysis. (2) There is evidence of strong short-term co-movements between ISR and exchange rates, with ISR leading. (3) Multivariate coherency shows strong contributions of ISR and GPR index to stock market index and exchange rate returns. The findings signal the attractiveness of the Vietnamese dong, Malaysian ringgits and Tunisian dinar as a hedge for currency portfolios against GPR. The authors detect a positive connectedness in the short term between all pairs of the variables analyzed in most countries. (4) Both foreign exchange and equity markets are exposed to higher levels of systemic risk in the period of the Russian invasion of Ukraine.
Originality/value
This study provides information that supports investors, regulators and executive managers in developing countries. The impact of sentiment investor with GPR intensified the co-movements of stocks market and exchange market during 2021–2022, which overlaps with period of the Russian invasion of Ukraine.
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Without theoretically specifying the future of money as an equivalent commodity of other commodities, it is impossible to reveal the recent role of the emergence of…
Abstract
Without theoretically specifying the future of money as an equivalent commodity of other commodities, it is impossible to reveal the recent role of the emergence of cryptocurrencies, as a reflection of speculative competition increasingly sophisticated in its technological aspect and in response to the abusive use of the spurious competition of the big banks promoting the huge financial bubbles that have haunted the world economy, such as the one unleashed from Wall Street in 2008. The explosive growth of transactions in cryptocurrencies may mean, at some point, in the capitalist economic cycle, the possibility of a new financial bubble, as well as the emergence of new swindles to investors; but valid answers can also come from those actors who until now have had to endure the almost exclusive dominance of the international monetary system by the currency issued by the US government, the main exporter of inflation on a global scale.
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Firda Nosita and Rifqi Amrulloh
The authors believe the COVID-19 pandemic has an impact on supply and demand. The potential decline in real sector performance leads to lower expectations of securities…
Abstract
The authors believe the COVID-19 pandemic has an impact on supply and demand. The potential decline in real sector performance leads to lower expectations of securities performance. The uncertainty of future performance can change investor behaviour. This study tried to gain insight into stock investor behaviour during the COVID-19 pandemic. The results showed that the majority of the investor realized and believed the pandemic would affect the stock market performance. Hence, they did not show herding behaviour and were very confident during the COVID-19 pandemic. The survey also indicates that investors tend to avoid risk rather than take the opportunity to buy at a lower price. Moreover, investors believe that the COVID-19 vaccine will soon be found, and the economy will return to normal. Government and self-regulated organizations (SRO) are responsible for making effective policies to convince the investors about the future prospect.
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De-Wai Chou, Pi-Hsia Hung and Lin Lin
This study focuses on listed and over-the-counter (OTC) companies in the Taiwan Stock Exchange. It found that an increase in the ownership proportion of institutional investors…
Abstract
This study focuses on listed and over-the-counter (OTC) companies in the Taiwan Stock Exchange. It found that an increase in the ownership proportion of institutional investors (INs), including foreign investors, investment trusts, and dealers can enhance the informativeness of stock prices. The relationship between these factors follows an inverted U-shaped pattern, indicating that excessively high ownership ratios can actually lead to a decrease in the informativeness of stock prices. Additionally, increasing the ownership proportions of foreign investors and investment trusts can reduce the risk of stock price collapse, while dealers show no significant relationship in this regard. This study also reveals that the technical variable of the price deviation rate is an important explanatory factor for post-collapse returns. It is positively correlated with the magnitude of the price decline after a collapse, meaning that stocks with weaker pre-collapse performance experience larger post-collapse declines. When the data during the 2020 pandemic period are excluded, changes in foreign ownership ratios show a significant positive correlation with postcrash returns in both the long and short term. The significant correlation in the short term may be due to a high proportion of foreign ownership. Any reduction in this could put pressure on stock prices, and retail investors may follow suit and sell-off, using foreign investors as a reference. The significant correlation in the long term might be due to foreign investors themselves possibly also trying to avoid the pressure that their own short-term sell-offs could exert on stock prices. The changes in the ownership ratios of investment trusts and dealers indicate that medium and long-term changes have a significant impact on postcrash returns, while the changes in the major players' ownership show no significant correlation. When data from 2020 are included in the analysis, the significance of all INs decreases.
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Pushpesh Pant, Pradeep Rathore, Krishna kumar Dadsena and Bhaskar Shandilya
This study examines the performance effect of working capital for a large sample of Indian manufacturing firms in light of supply chain disruption, i.e. the COVID-19 pandemic.
Abstract
Purpose
This study examines the performance effect of working capital for a large sample of Indian manufacturing firms in light of supply chain disruption, i.e. the COVID-19 pandemic.
Design/methodology/approach
This study is based on secondary data collected from the Prowess database on Indian manufacturing firms listed on the Bombay Stock Exchange (BSE) 500. Panel data regression analyses are used to estimate all models. Moreover, this study has employed robust standard errors to consider for heteroscedasticity concerns.
Findings
The results challenge the current notion of working capital investment and reveal that higher working capital has a positive and significant impact on firm performance. Further, it highlights that Indian manufacturing firms suffered financially post-COVID-19 as they significantly lack the working capital to run day-to-day operations.
Originality/value
This research contributes to the scant literature by examining the association between working capital financing and firm performance in light of the COVID-19 pandemic, representing typical developing economies like India.
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Rosa Maria Marques and Paulo Nakatani
This text analyzes the relationship between crises and the dominance of interest-bearing capital, with particular emphasis on fictitious capital, which forms a striking feature of…
Abstract
This text analyzes the relationship between crises and the dominance of interest-bearing capital, with particular emphasis on fictitious capital, which forms a striking feature of contemporary capitalist economies. It discusses how capitalist crises are commonly viewed and how we should understand them, on several dimensions of reality, based on a comprehensive reading of Marx. We follow with a reflection on the nature and characteristics of interest-bearing capital and on fictitious capital and fictitious profit, given that the high activity of this last form of capital is a hallmark of current capitalism and is itself the maximum expression of the fetishism engendered by it. We conclude that what is understood as a crisis by people in general is, in fact, a source of enormous enrichment for the owners of fictitious capital.
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Saleh F.A. Khatib, Dewi Fariha Abdullah and Hamzeh Al Amosh
The literature has dealt with the relationship between board characteristics (BC) and firm performance (FP) on a large scale. However, it yielded inconsistent results. Thus, this…
Abstract
Purpose
The literature has dealt with the relationship between board characteristics (BC) and firm performance (FP) on a large scale. However, it yielded inconsistent results. Thus, this paper aims to examine the indirect relationship between BC and FP through the mediating role of the capital structure (CS).
Design/methodology/approach
This study used a sample of 528 non-financial companies listed on Bursa Malaysia from 2015 to 2019. Also, a two-step system generalised method of moments estimation technique was applied.
Findings
The results show that board diversity and the frequency of board meetings positively affect financial performance, and it is negatively influenced by board turnover, size and independence. Also, the results indicate a positive relationship between the independence of the board and all CS variables. Importantly, the findings support the policy-setting role of the board of directors where CS (measured by total debt and short-term debt) suppresses some governance mechanisms’ detrimental effect on FP. Hence, the board of directors, apart from the monitoring function, introduce various policies (financial and non-financial) that enhance the overall performance of companies.
Originality/value
These results are consistent with the agency’s perspective that management practices in selecting the optimal capital reduce agency costs and improve performance. The findings contribute to developing a broader theoretical framework that accounts for the policy-setting role of the board of directors. The current study model of corporate governance offers insight for policymakers into the role of corporate governance other than monitoring functions in organisations and how CS should be taken into consideration with corporate governance and FP association.
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Florin Aliu, Vincenzo Asero, Alban Asllani and Jiří Kučera
Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political…
Abstract
Purpose
Paper aims to investigate the interdependencies and spillover effects that the Visegrad (V4 hereafter) Equity Markets hold on each other. The V4 group stands for the political alliance of four Central European countries: Poland, the Czech Republic, Hungary and Slovakia.
Design/methodology/approach
The study uses Wavelet coherence, dynamic conditional correlation GARCH (1, 1) and unrestricted vector autoregression (VAR) methodologies. Daily data series (covering the period from January 2, 2006, to February 2, 2023) are analyzed to assess coherence, time-varying conditional correlation and shock transmission among the V4 Equity Markets.
Findings
Wavelet analysis reveals that the Slovak equity market does not maintain coherence with three other equity markets. The time-varying conditional correlation documents for the high interdependence during the COVID-19 outbreak of the four indexes. The VAR estimates reveal that shocks in the Warsaw equity market are easily transmitted in Prague and Budapest exchanges but not in Bratislava. The results show that the Slovak equity market tends to be isolated from the influence of other three V4 exchanges. This isolation is attributed to its size, limited volume and adoption of the euro in 2009. The study emphasizes the Slovak financial system’s gravitation toward the Eurozone after euro adoption.
Originality/value
Notably, the findings provide important signals for local and international investors as the results cover four significant international shocks. The global meltdown of 2008/09, the Greek debt crisis of 2010/11, the COVID-19 pandemic and the Russia-Ukraine war.
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Ezra Valentino Purba and Zaäfri Ananto Husodo
This study aimed to know the effect of cross-sectional risk, which comprises business-specific risk and stock market volatility, as a variable for estimating macroeconomic risk in…
Abstract
This study aimed to know the effect of cross-sectional risk, which comprises business-specific risk and stock market volatility, as a variable for estimating macroeconomic risk in Indonesia. This study observes public companies in Indonesia and Indonesian macroeconomic data from 2004 to 2020. In this study, the author uses term spread as the dependent variable that reflects macroeconomic risk. The cross-sectional risk comprises financial friction (FF), cash flow (CF), debt–service ratio, and stock market volatility as independent variables. By using the Autoregressive Distributed Lag (ARDL) Model method, this study shows that business-specific and stock market risk can estimate macroeconomic risk, so that it becomes an early signal of economic shock, such as recession or high inflation, in the future. The model in this study also examines the cross-sectional risk relationship with other macroeconomic indicators, such as the Consumer Confidence Index (CCI), money supply (M0), and Indonesia’s trade balance (TB).
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