Online from: 1992
Subject Area: Accounting and Finance
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|Title:||Bank informational opacity: evidence from the Tunisian stock market|
|Author(s):||Lassaâd Mbarek, (Central Bank of Tunisia, Tunisia and Institut des Hautes Etudes Commerciales de Carthage, Carthage, Tunisia), Dorra Mezzez Hmaied, (Institut des Hautes Etudes Commerciales de Carthage, Carthage, Tunisia)|
|Citation:||Lassaâd Mbarek, Dorra Mezzez Hmaied, (2012) "Bank informational opacity: evidence from the Tunisian stock market", Journal of Financial Regulation and Compliance, Vol. 20 Iss: 3, pp.278 - 292|
|Keywords:||Bank opacity, Banks, Crash risk, Disclosure, Information environment, Stock markets, Synchronicity, Tunisia|
|Article type:||Research paper|
|DOI:||10.1108/13581981211237972 (Permanent URL)|
|Publisher:||Emerald Group Publishing Limited|
|Acknowledgements:||The views expressed in this paper do not necessarily represent those of the Central Bank of Tunisia.|
Purpose – The purpose of this paper is to investigate the informational opacity of Tunisian banks versus non-banking firms taking into account information environment changes.
Design/methodology/approach – This research uses the synchronicity of stock returns as a proxy of informational opacity. It also examines bank crash risk relying on the skewness of residual returns. Finally, the study addresses the effects of mandatory disclosure requirements on firm opacity and market volatility.
Findings – The results suggest that bank stock prices incorporate less specific information than non-banks. Moreover, banks are more likely to experience stock price crashes. However, the authors find a significant decrease of informational opacity for both banking and non-banking firms since 2006 which supports substantial improvements in the corporate disclosure environment.
Practical implications – The findings are interesting for regulators. Banks with high stock returns synchronicity and negative residual returns skewness are more opaque and are significantly exposed to crash risk. Consequently, they deserve greater regulatory scrutiny. Thus, the opacity measures derived from the asset pricing model could be a useful tool for monitoring disclosure policies in the banking sector.
Originality/value – The paper extends the empirical literature on the determinants of bank stock returns synchronicity and skewness for an emerging economy, Tunisia. The information environment offers an empirical opportunity to examine the dynamics of opacity as well as the desirability of mandatory disclosure requirements in the banking system.
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