Index
Global Tensions in Financial Markets
ISBN: 978-1-78714-840-6, eISBN: 978-1-78714-839-0
ISSN: 0196-3821
Publication date: 19 March 2018
This content is currently only available as a PDF
Citation
(2018), "Index", Kensinger, J.W. (Ed.) Global Tensions in Financial Markets (Research in Finance, Vol. 34), Emerald Publishing Limited, Leeds, pp. 229-236. https://doi.org/10.1108/S0196-382120170000034012
Publisher
:Emerald Publishing Limited
Copyright © 2018 Emerald Publishing Limited
INDEX
abnormal trading volume analysis
, 44, 49, 52–53
academic impact, defined
, 218
academic institutions
, 218
Action Aid International Vietnam (AAV)
, 179
adjusted beta
, 8
sample statistics of
, 9
alpha formula
, 185
alternate hypothesis
, 30, 31
ANOVA (analysis of variance)
, 10–11
three-factor
, 7, 10, 14
Arbitrage Pricing Theory
, 221
asset returns (Ri)
, 5–7
ATMs
, 120, 121–122, 129–130
P-value for
, 132
autocorrelation test
, 28–29
bancarization
, 143, 148
Bank Indonesia
, 24
banking companies, Peru
, 147–148
banks
, 92–94, 118.
see also Egyptian banks
ATM services
, 120, 121, 129–130
Egyptian. see Egyptian banks
European
, 98–99
nature and mode of operations
, 95
performance. see performance, of banks
private vs. public
, 99
profit, FI impact on
, 119–120
U.S.
, 97–98
BAPEPAM (capital market regulatory body)
, 23
behavioural biases
, 189
behavioural finance
, 187–188
Bessembinder and Lemmon model (B/L model)
, 60
results from
, 62–69
betas
adjusted
, 8, 9
calculations of
, 7
consumption
, 8–9
historical (market)
, 8, 9
portfolio returns and
, 3
regression of
, 18
BI rate
, 24, 37
Black-Scholes
, 221
formula
, 81
block-trade approach
, 78
Bolsa de Valores de Lima (BVL)
, 144, 162, 163
Breeden, Douglas
, 8
Breusch-Pagan test
, 128
business and investment banks
, 95
CAAR. see cumulative average abnormal return (CAAR)
Caja Municipal de Huancayo (CMAC)
, 153–161
analysis of management
, 155
anchoring of
, 159–160
certificates of deposit
, 160–161
composition and structure
, 156
evolution of balances
, 156
liquidity
, 157–159
patrimony
, 157
profitability
, 157
Capital Asset Pricing Model (CAPM)
, 8–9, 220
assumptions
, 4
overview of
, 2–3
capital investment decisions
, 219
Capitalism and Freedom (Friedman)
, 188
Capital Market Law (CML)
, 95
capital markets
, 20, 23
information of instruments in
, 163, 164
transactions
, 220
capital structure decisions
, 219
capital value risk
, 191
CAPM. see Capital Asset Pricing Model (CAPM)
CBE. see Central Bank of Egypt (CBE)
CCAPM. see Consumption Capital Asset Pricing Model (CCAPM)
Center for Research in Security Prices (CRSP) database
, 46
Central Bank of Egypt (CBE)
, 92, 93–94, 95, 96–97, 109, 111
Central Bank of Jordan (CBJ)
, 118–119
certificates of deposit, CMAC Huancayo
, 160–161
chief executive officer (CEO)
, 206
average age of
, 213
date of joining
, 209
outsider vs. insider
, 206, 207–208
salary of
, 211
selection of
, 212
tenure of
, 207, 209–210, 211–213
citations
, 224
CML. see Capital Market Law (CML)
Coefficient of Multiple Determination (R2)
, 33, 36
commercial banks
, 95
domestic
, 106–107
Commodity Price Index
, 24
constant returns to scale (CRS)
, 106, 171, 172, 174
consumption beta
, 8–9
sample statistics of
, 9
Consumption Capital Asset Pricing Model (CCAPM)
, 8–9
consumption growth rate
, 8
corporate voting rights. see voting rights
Cost of Living Index
, 24
cost push inflation
, 24
CPI
, 24
credit cards
, 120
effect on banks’ performance
, 122
cumulative average abnormal return (CAAR)
, 48, 52
data and methodology
asset returns
, 5–7
for banks’ performance study
, 124–126
CAPM
, 4–9
Dogs of the Dow portfolio
, 46–53
market return
, 4–5
Midcontinent Independent System Operator
, 61
quantitative research. see quantitative research
risk-free rate
, 5
voting rights
, 80–81
data envelopment analysis (DEA)
, 93, 94, 98, 99, 100–101, 106, 171–172
day-ahead prices for electricity
, 58–59, 61, 67–68
DEA. see data envelopment analysis (DEA)
debit cards
, 121–122
demand pull inflation
, 24
dependent variables
, 28, 30, 36
descriptive statistics
, 33–34, 82–84
Dodd-Frank Act
, 2010, 190
Dogs of the Dow (DOD) portfolio
, 41–54
annual additions and deletions
, 47
annual changes in
, 44, 46
data and methodology
, 46–49
framework of
, 42–43
literature and hypothesis developemnt
, 44–45
overview of
, 42–44
performance of
, 43
“dog stocks,”
, 42
domestic commercial banks
, 106–107
double voting rights
, 76
real options and
, 79–80
d-test
, 29
dual-class shares
, 78, 81
economic downturn
, 186
impact on society
, 187
efficient market theory
, 188
Egyptian banks
, 92–94
financial reforms and
, 94–97
impact of global financial crisis on
, 111
literature on efficiency and productivity change
, 97–103
portfolios of
, 97
privatisation of
, 95–96
productivity of
, 92–93
electricity exchange
, 58, 60, 65–69
electricity forward premia
, 59–60
entity for the development of Small and medium enterprises (EDPYME)
, 149–150
European banks
, 98–99
event study method
, 46, 50, 51
exchange rate
, 25, 31–32, 143–145
expected returns
, 2, 7, 9
exponential generalized autoregressive conditional heteroscedastic (EGARCH) model
, 46, 48
ex-post forward premium
, 59–60
Fama–MacBeth
, 7, 12
Federal Energy Regulatory Committee (FERC)
, 58
FERC. see Federal Energy Regulatory Committee (FERC)
FI. see financial inclusion (FI)
finance research
, 218, 219
financial crisis
, 184, 187
financial inclusion (FI)
indicators of
, 119, 125
inpact on banks’ performance
, 119–120
in Jordan
, 118–119
meaning of
, 118
and SMEs
, 123
financial institutions
, 118, 186, 189, 190, 200
financial indicators of
, 146
financial leasing
, 198
financial markets, criticisms of
, 190–191
financial property framework
, 186–187
Financial reforms, and Egyptian banks
, 94–97
fixed-fee insurance
, 193
Florange Act
, 2014, 76, 78, 81, 82
FMAE. see forecast mean absolute errors (FMAE)
forecast
, 7, 9, 15–16
forecast mean absolute errors (FMAE)
, 10, 17–18
forward premiums for electricity
, 59–60
hourly
, 62
forward prices for electricity
, 59–60
France, voting rights in. see voting rights
Friedman, Milton
, 188
F-test
, 30–31, 34–35
GBM. see geometric Brownian motion (GBM)
GDP. see gross domestic product (GDP)
GDP growth rate
, 25–26, 32, 37–38
geometric Brownian motion (GBM)
, 84, 85
Glejser test
, 30
global financial crisis (GFC)
, 111, 112
Goldman Sachs
, 198
government policies
, 186
Great Depression
, 186
gross domestic product (GDP)
, 141
growth rate
, 25–26, 32, 37–38
gross income
, 119, 125
Group 20 (G20)
, 119, 125
Hausman test
, 132, 138
hedging housing value risk
, 191–199
hedging instruments
, 185, 189
public incentives for developing
, 199–200
HEFI. see home equity fractional interest (HEFI)
heteroscedasticity test
, 29–30, 128, 138
historical (market) beta
, 8
sample statistics of
, 9
home equity fractional interest (HEFI)
, 192
home equity value insurance
, 193
H-test
, 29
hypothesis
, 26, 209–211
developemnt of
, 44–45
null
, 30, 31–32, 45
price pressure
, 44, 45, 46, 48–49
hypothesis testing
F-test
, 30–31
T-test
, 31–33
IDX. see Indonesia Stock Exchange (IDX)
IMF. see International Monetary Fund (IMF)
impact
, 218–219
examples of
, 219–220
measurement of
, 225–226
impact ratio
, 225–226
independent variables
, 28, 33, 34, 35
Indonesia
capital markets
, 20, 23
monetary condition, instability of
, 20
Indonesia Stock Exchange (IDX)
, 20–22, 23
inflation
, 141–142
inflation rate
, 24
innovation
in mortgage agreements
, 192
need in property risk management for households
, 186–191
services of banks
, 122, 130
insider CEO
average age of
, 213
outsider CEO vs., 206
, 207–208
tenure of
, 209–210, 211–213
insurance, home equity value
, 193
interest rates
, 24
inter-hub trading profits
, 70–71
International Monetary Fund (IMF)
, 95
Intertemporal Capital Asset Pricing Model (ICAPM)
, 221
Italy, voting rights in. see voting rights
Jordan
financial inclusion in
, 118–119
financial institutions in
, 118
performance of banks in
, 117–133
SMEs in
, 130–131
unemployment in
, 119
journal rating system
, 222–223
lease-purchase agreements
, 198–199
leverage cycle
, 191
Lima, stock change of
, 162
linear regression
, 82, 83–84
LMP. see locational marginal price (LMP)
loan-to-value analysis
, 185
locational marginal price (LMP)
, 58–59, 61
loyalty voting rights
, 79, 80
Lucas, Robert
, 8
macroeconomics
, 22–23
exchange rate
, 143–145
gross domestic product
, 141, 142
inflation
, 141–142
small and medium entities. see small and medium enterprises (SMEs)
trade balance
, 142–143
Malmquist productivity indices (MPI)
, 93, 94, 99, 101
total factor productivity
, 103–111
market efficiency
, 220–222
market portfolio
, 4
market return (Rm)
, 4–5
sample statistics of
, 9
methodology. see data and methodology
MFS. see microfinance services (MFS)
microfinance
, 140
advantages of
, 140
disadvantages of
, 140–141
Microfinance Information Exchange (MIX)
, 147
banking companies
, 147–148
market share
, 150–152
non-banking companies
, 149–150
microfinance institutions (MFIs) efficiency, in Vietnam
, 170
empirical study on
, 176–178
literature review of
, 170–174
measurement of
, 171–174
output/input ratio
, 172, 173–174
and poverty reduction
, 176–181
scores, average value of
, 174–176
statistics descriptions of determinants
, 175
microfinance services (MFS)
, 170–171
Microfinancial Reporting Standard (MFRS)
, 171
Midcontinent Independent System Operator (MISO)
, 58–59
and Bessembinder and Lemmon model
, 60, 61, 62–71
data description and methodology
, 61
MISO. see Midcontinent Independent System Operator (MISO)
MIX. see Microfinance Information Exchange (MIX)
Monte-Carlo simulation
, 84
mortgage agreements, innovation in
, 192
MPI. see Malmquist productivity indices (MPI)
multicollinearity test
, 28, 127, 137
municipal savings banks
, 150, 151, 153–161
net interest margin (NIM)
, 112
NIETA variable
, 112
non-banking companies
, 149–150
noninformation-motivated demand shifts
, 44
non-performing loans (NPL)
, 94, 96
normality test
, 27
NPL. see non-performing loans (NPL)
null hypothesis
, 30, 31–32, 45
ordinary leased square (OLS) regression
, 126, 128, 129
results of
, 131
outsider CEO
dependent variable
, 214
insider CEO vs., 206
, 207–208
tenure of
, 209–210, 211–213
turnover
, 210
Oxfam
, 179
pass-through insurance
, 193
Paulson & Co
, 197
performance, of banks
ATMs and
, 121
data and methodology to study
, 124–126
descriptive statistics
, 126–133
effect of credit cards on
, 122
impact of FI on
, 119–120
indicators of
, 119
literature on, review of
, 121–124
measurements of
, 122
Peru
financial system
, 146–147
macroeconomic indicators
, 141–145
Microfinance Information Exchange. see Microfinance Information Exchange (MIX)
Peruvian financial system
, 146–147
PLAM. see price level-adjusted mortgages (PLAM)
portfolio returns
and beta
, 3
sample statistics of
, 9
portfolios
, 6–7, 195
Dogs of the Dow. see Dogs of the Dow portfolio
market
, 4
replicating
, 6
returns. see portfolio returns
poverty reduction, in Vietnam
, 176–181
challenges in
, 180
price index
, 24
price level-adjusted mortgages (PLAM)
, 192
price pressure hypothesis
, 44, 45, 46, 48–49
private banks
, 99
privatisation, of Egyptian banks
, 95–96
Producer Price Index
, 24
profit, of banks
FI impact on
, 119–120
property finance
, 184
property finance, owner-occupied
, 191–199
public banks
, 99
P-value, for ATMs
, 132
quality research
, 224
quantitative research
, 27
autocorrelation test
, 28–29
heteroscedasticity test
, 29–30, 128, 138
multicollinearity test
, 28, 127, 137
normality test
, 27
population and sample
, 27
random effect estimation results
, 132–133
real estate cycle
, 186–187
real estate derivatives
, 193–194
cases of
, 197–198
entry barriers to
, 194–195
hedging values of property abroad
, 196
property sector swaps
, 196
single specific property swap
, 195
structured real estate index notes
, 196
synthetic options
, 197
traded index futures
, 196–197
real estate downturns, hedging against
, 195
Real Estate Investment Trusts (REITs)
, 189
real options, and double voting rights
, 79–80
regional transmission operators (RTOs)
, 58
regression
of betas
, 18
linear
, 82, 83–84
second-stage
, 113
replicating portfolios
, 6
return on asset (ROA)
, 102, 119, 125, 126, 130
lagged
, 132
model variables
, 128
return on equity (ROE)
, 102, 112
returns
, 2
expected
, 2, 7, 9
market
, 4–5
risk and
, 4
risk, and return
, 4
risk-free rate (Rf)
, 5
risk management
, 189
analysis of
, 185
household property
, 189–190
property, for households
, 186–191
ROA. see return on asset (ROA)
ROE. see return on equity (ROE)
RTOs. see regional transmission operators (RTOs)
rural savings banks
, 151–152
second-stage regression
, 113
security market line (SML)
, 2
services, banks
, 120
SFA. see stochastic frontier analysis (SFA)
Sharpe ratio
, 221
single specific property swap
, 195
small and medium enterprises (SMEs)
, 118, 120
credits
, 120, 130
deposits
, 132
financial inclusion and
, 123
in Jordan
, 130
SML. see security market line (SML)
Social Sciences Citation Index
, 224
S&P500
, 5
specialised banks
, 95
spot prices for electricity
, 59–60
stewardship theory
, 207
stochastic frontier analysis (SFA)
, 171
stock price
, 22, 26
analysis of standard deviations of
, 85
evolution
, 84–85
volatility
, 21, 23
subprime mortgage crisis
, 186–187
synthetic options
, 197
tenure, of CEO
, 207, 209–210, 211–213
TFP. see total factor productivity (TFP)
30a program
, 179
three-factor ANOVA
, 7, 10, 14
Toronto 35 Index
, 43
total factor productivity (TFP)
, 93, 100
determinants of
, 111–113
growth
, 109–111
Malmquist index
, 103–111
trade balance
, 142–143
traded future
, 196–197
T-test
, 10, 31–33, 35–36
2-limit tobit model
, 175–176
U.S. banks
, 97–98
value of tolerance
, 28
variable returns to scale (VRS)
, 106, 171, 172, 174
variables
dependent
, 28, 30, 36
independent
, 28, 33, 34, 35
variance inflation factor (VIF)
, 28, 127
Vietnam, microfinance institutions in. see microfinance institutions (MFIs)
VIF. see variance inflation factor (VIF)
virtual bidding
, 61
voting rights
, 75–85
acquisition cost of
, 80
descriptive statistics of
, 82–84
double
, 76
empirical analysis
, 82–85
loyalty
, 79, 80
methodology
, 80–81
valuation of
, 76–78
VRS. see variable returns to scale (VRS)
Wilshire 5000 index
, 4–5
World Bank
, 95, 179–180
- Prelims
- A Practitioner’s Guide to the CAPM: An Empirical Study
- The Influence of Macroeconomic Factors on Stock Price: The Case of Real Estate and Property Companies
- Existence of Price Pressures Surrounding Annual Changes in the “Dogs of the Dow” Portfolio
- An Examination of Prices on the MISO Exchange
- The Value of Corporate Voting Rights: Valuation of Loyalty Voting Rights and Empirical Evidence from France and Italy
- Determinants of the Productivity Change for the Banking Sector in Egypt
- Does Financial Inclusion Improve the Banks’ Performance? Evidence from Jordan
- MicroFinance Sector in Emerging Capital Markets: Peruvian Financial Entity CMAC (Caja Municipal de Huancayo)
- Evaluating the Efficiency of Microfinance Institutions in Vietnam and the Impact of This Efficiency on Poverty Reduction
- Humanizing Finance by Hedging Property Values
- Insider or Outsider CEO: Choosing Wisely in Different Circumstances
- The Impact of Academic Research in Finance (Impact Ratio)
- Index