| 1. |
- Bhuyan, R, et al.
(författare)
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Determinants of Dividend Policy in Emerging Stock Markets : Evidence from Bangladesh
- 2006
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Ingår i: International Journal of Business Research. - 1554-5466. ; 5:1, s. 175-186
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Tidskriftsartikel (refereegranskat)abstract
- The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and no study on this area has been performed on the Dhaka Stock Exchange (DSE). The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes the daily price indices of all the listed securities on the DSE for the period of 1988 to 1997. The hypothesis of the study is whether the Dhaka Stock Market is weakform efficient. The results of both non-parametric (Kolmogrov –Smirnov normality test and run test) test and parametric test ( Auto-correlation test, Auto-regression, ARIMA model ) provide evidence that the share return series do not follow random walk model and the significant autocorrelation co-efficient at different lags reject the null hypothesis of weak-form efficiency. The results are consistent in different sub-sample observations, without outlier and for individual securities. The issues are important to security analysts, investors and security exchange regulatory bodies in their policy making decisions to improve the market condition. This study deserves a continuous research on this area to reach an ultimate conclusion about the level of efficiency of less developed market.
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| 2. |
- Mobarek, Asma, et al.
(författare)
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A Cross-Country Analysis of Herd Behavior in Europe
- 2014
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Ingår i: Journal of international financial markets, institutions, and money. - : Elsevier BV. - 1042-4431 .- 1873-0612. ; 32, s. 107-127
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global financial crisis and Nordic countries during the Eurozone crisis. However, PIIGS countries are the victims in both crises. Furthermore, we find evidence that the cross sectional dispersions of returns can be partly explained by the cross sectional dispersions of the other markets, with Germany having the greatest influence on the regional cross-country herding effect. Apprehensions heighten among the regulators, policy makers, and investors in the European markets for the herding behavior during volatile market conditions.
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| 3. |
- Mobarek, Asma, et al.
(författare)
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Comparative performance analysis between conventional and Islamic banks : empirical evidence from OIC countries
- 2014
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 46:3, s. 253-270
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the performance of Islamic (IBs) versus conventional banks (CBs) around the recent financial crisis in 18 OIC (Organization of Islamic Conference) countries. The study primarily employs two dominant frontier approaches of efficiency measurement in banking literature. The study also estimates the soundness score of the banks by using Z-score methodology and attempts to explore the relationship between efficiency and financial stability of banks. The results based on the data envelopment analysis (DEA) and stochastic frontier analysis (SFA) approaches report that CBs are more efficient than their Islamic counterparts. On the contrary, Z-score reports that IBs were financially more stable than CBs. However, the dominance of IBs has been drastically lost afterwards. This might be originated by the decrease of Z-score of IBs in Bahrain, Kuwait and UAE, which were found as main front-runners among IBs in terms of financial stability. To the best of authors' knowledge, it is the first study that examines the efficiency of IBs versus CBs using two different frontier efficiency analyses and collates the result of frontier efficiency methods with stability indicator. The practical implication of the findings for IBs is to explore additional investment opportunity and for CBs is to uphold more financial stability.
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| 4. |
- Mobarek, Asma, 1971-, et al.
(författare)
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Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods
- 2016
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Ingår i: Journal of Financial Stability. - : Elsevier BV. - 1572-3089 .- 1878-0962. ; 24, s. 1-11
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we use the DCC MIDAS approach to assess the validity of the wake-up call hypothesis for developed and emerging markets during the global financial crisis (GFC). We use this approach to decompose the total correlations into short- (daily) and long-run (quarterly) correlations for the period from 1999 to 2011. We then examine the transmission mechanisms by regressing the quarterly economic, financial, and behavioral variables on the quarterly DCC–MIDAS correlations. We find that country specific factors are crisis contingent transmission mechanisms for the co-movements of emerging country pairs and mixed pairs of advanced and emerging countries during the global financial crisis. However, we do not observe wake-up calls in the transmission of the crisis among advanced country pairs. The classification of the transmission mechanisms for crisis and non-crisis periods with the different country pairs has important implications for crisis management as well as for portfolio investment strategies. Thus, our findings contribute to the discussion on the role and effectiveness of the international financial architecture.
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| 8. |
- Mobarek, Asma, et al.
(författare)
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Market Volatility Across Countries- Evidence from International Markets
- 2009
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Ingår i: Studies in Economics and Finance. - : Emerald. - 1086-7376. ; 26:4, s. 257-274
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Tidskriftsartikel (refereegranskat)abstract
- Purpose – The purpose of this paper is to investigate the time-varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets.Design/methodology/approach – This paper uses nonlinear ARCH and GARCH-family models for testing the volatility both in developed and emerging markets.Findings – The findings of the paper suggest that there is a long-term persistence shock in emerging markets compared to developed markets.Research limitations/implications – The data set used for the developed and emerging markets is not consistent in terms of sample period. However, this paper explores the venues for further research on the global diversification.Practical implications – The implication of volatility measurement is vital in determining the cost of capital for investment and portfolio management, option pricing and for market regulations.Originality/value – The unique features of the paper include large sample size with updated data set that reveals the nature of world economy and empirical evidence on volatility testing that reports the risk return characteristics of both developed and emerging markets.
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| 9. |
- Mobarek, Asma, 1971-
(författare)
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Regional volatility: common or country specific? Exploration of international stock market
- 2014
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Ingår i: Studies in Economics and Finance. - 1086-7376. ; 31:4, s. 406-425
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Tidskriftsartikel (refereegranskat)abstract
- Purpose– The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country-specific for 46 international markets of the Asian, European, African and Latin American regions using the Morgan Stanley Capital International daily prices in the period from January 1998 to December 2009. Further, the study has been divided into two sub-periods to distinguish the effects of the current sub-prime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility.Design/methodology/approach– The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or common across the countries.Findings– The results evidence that the volatility of stock returns is due to common factors, rather than country-specific ones, but this is not always the case. However, this common component is more stable in European and Latin American countries than in the Asia-Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current sub-prime financial crisis.Practical implications– The study has implication for domestic and international investors, portfolio managers, as well as policy-makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards.Originality/value– To the best of the authors’ knowledge, this is the first study to include four regional samples and test the common component of fluctuations of regional stock markets volatility.
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