Int. J. Financial Stud.2016, 4(2), 10; doi:10.3390/ijfs4020010 - published 17 May 2016 Show/Hide Abstract
Abstract: This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling beta estimation. Market integration variable between these two countries is constructed using the International Capital Asset Pricing Model (ICAPM). To check the impact of market integration, foreign portfolio equity holding and inflation rate on Pakistan-Indian stock market co-movement, we applied autoregressive distributed lag (ARDL) estimation. ARDL estimation is applied due to different stationarity levels of the included variables. The level of convergence speed is measured by the introduction of error correction term (ECT) followed by variance decomposition analysis. Results of the study indicated presence of long term relationship among the included variables along with significance variance in bilateral co-movement due to inflation rate differential. The significance of inflation rate differences between these two countries are in accordance with portfolio balance theory stating that investors possess information about the macroeconomic variables thereby readjusting their portfolios for effective diversification.
Int. J. Financial Stud.2016, 4(2), 11; doi:10.3390/ijfs4020011 - published 17 May 2016 Show/Hide Abstract
Abstract: In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an alternative to the ARCH family models. Empirical analysis of the study consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for the stock index returns of Croatia, Greece, Poland and Turkey. In the second section, 1000 paths were obtained for each model using Monte Carlo simulations. We then compared the scaling function values of simulated and original time series for different q orders (1–5). According to the obtained results, the MMAR is mostly superior to other models and presents the best replica of the original time series. Another important finding is the achievement of the MRS-GARCH. We found that for lower levels of persistency (long memory) of return series, the performance of the MRS-GARCH excels, and for H = 0.5, it narrowly outperforms the MMAR.
Int. J. Financial Stud.2016, 4(2), 9; doi:10.3390/ijfs4020009 - published 9 May 2016 Show/Hide Abstract
Abstract: The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market—Turkey. In the paper, competitiveness is proxied by a firm’s financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005 and 2014. Results from a firm-level panel data model indicate that return on assets is positively related to firm size, international sales, liquidity and growth, and negatively related to leverage and R&D expenditures. On the other hand, gross profit margin is positively related to size and international sales, and negatively related to leverage and R&D expenditures. Finally, results show that Tobin’s Q ratio is higher for firms with higher levels of debt and higher liquidity levels.
Int. J. Financial Stud.2016, 4(2), 8; doi:10.3390/ijfs4020008 - published 15 April 2016 Show/Hide Abstract
Abstract: By using corporate governance data on 22 publicly traded Turkish companies we estimate the determinants of corporate governance ratings for these companies with a focus on ownership structure. Our results show that company earnings, financial risk and firm size positively influence the corporate governance ratings (CGR) that Turkish firms receive. In the meantime, we find some weak evidence that family ownership has a negative and foreign ownership has a positive impact on CGR scores.
Int. J. Financial Stud.2016, 4(2), 7; doi:10.3390/ijfs4020007 - published 7 April 2016 Show/Hide Abstract
Abstract: This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday in nearly all years. It also reconciles and explains how some prior studies reached such an erroneous conclusion.
Int. J. Financial Stud.2016, 4(2), 6; doi:10.3390/ijfs4020006 - published 30 March 2016 Show/Hide Abstract
Abstract: The primary objective of this article is to answer the following two research questions: has the growing public debt of state governments promoted increased public investment? If the answer is yes, then does any increase in public investment lead to more growth in the Mexican states? Dynamic Models of panel data and the Generalized Method of Moments, with information for 32 states from 1993 to 2012, were used for this purpose. The econometric results confirmed that public debt is positively correlated with public investment and that this in turn generates economic growth. This does not mean that a good economic policy strategy has been followed, since the marginal positive impact of public investment, and therefore the public debt on the production per person, is reduced (1% increase in the interaction between public investment and public debt variable causes a 0.0005% increase in economic growth). This suggests deviations from the debt contracted for purposes other than production, which could lead to a situation of unsustainability of state public finances in the medium term.