September 2015 (Global Economy and Finance Journal)

September 2015 (Global Economy and Finance Journal)

Total Articles - 7

Pages 1 – 13

Author: Mitchell Ratner and Chih-Chieh (Jason) Chiu

Investors derive the greatest risk reduction benefit from portfolio diversification by holding assets with a low co-movement. As correlations between stocks worldwide have been increasing over time, interest in alternative assets such as commodities is also rising. This study examines the risk reducing properties of commodity investment from the perspective of 10 emerging markets from January 1991 through December 2013. Tests of GARCH dynamic conditional correlation coefficients indicate that commodities are portfolio diversifiers, but do not provide a significant long-term hedge. In times of extreme stock market volatility commodities provide a weak safe haven against risk in most countries. During the 1994-95 Mexican peso crisis, the 1997-98 Asian currency crisis, and the 9/11/01 attack, commodities demonstrate significant safe haven properties. However, commodities do not offer significant risk reduction in the 2008 global financial crisis and the 2010 European debt crisis.

Pages 14 – 30

Author: Thomas Hering and Christian Toll

In this paper, a company owner (valuation subject) is interested in selling a company (valuation object). The potential seller must conduct a business valuation to determine what minimum price he must demand without the transaction proving disadvantageous. The purpose of our paper is to show how alternative valuation formulas solve this valuation problem under realistic imperfect market conditions. As a main conclusion, the business value can usually not be calculated using the future earnings method.

Pages 31– 40

Author: Razzaque H Bhatti

This paper examines the inverted Fisher hypothesis (FH) for five countries of the Common Wealth of Independent States – Armenia, Georgia, Kazakhstan, Kyrgyzstan and Moldova – using quarterly data on three-month Treasury bills interest rates and consumer prices over the period 1995:01-2010:02. Results based on regression analysis are strongly supportive of the inverted FH in all cases, except for Kazakhstan. The regression estimates of the coefficient on inflation rate are not only correctly significantly signed in all cases but are also very close to unity. The results show that the proposition of a oneto-one proportionality between real interest and inflation rates cannot be rejected in all cases. One important implication that emerges from these results is that Treasury bills markets in the CIS countries are unlikely to provide any hedge against inflation. Another important implication is that monetary policy cannot be conducted effectively to contain inflation by reducing nominal interest rates.

Pages 41– 62

Author: Mohammed M. Elgammal and Mohamed Abdelaziz Eissa

This paper explore whether market anomalies can predict economic growth and other macroeconomic factors using the time-varying volatility methodology. The findings indicate that risk premia have different and significant relationship with different macroeconomic factors in the U.S market. The findings of using different univariate and multivariate specification of Ordinary Least Squares and TARCH models suggest that momentum can predict economic growth while there is no evidence that value premium, size premium or momentum can do. However there is strong evidence that the liquidity crisis can predict the economic growth.

Pages 63 – 78

Author: Anwar Al-Gasaymeh and John Kasem

The purpose of this paper is to move beyond the developed countries dichotomy to investigate the role of country characteristics on purchasing power parity. The distinction is to investigate whether trade, inflation and geographical (distance) contribute towards the validity of purchasing power parity. This requires a sample that includes developing countries because the former contain too little variation to address the question. The stationary attributes of real exchange rates are examined by using four types of panel unit root tests for a group of countries for the period 2004Q1-2014Q4. We conclude that purchasing power parity depends on the country’s characteristics with this perspective, it is appropriate to investigate purchasing power parity among countries with similar characteristics.

Pages 79 – 94

Author: Sharif Nurul Ahkam and Tawfiq Mostafa

We have examined the right offers made between January 2010 to October 2012 by companies listed on the Dhaka Stock Exchange and tested the speed of adjustment of market price of the issuers to the right issues.  The analysis leads to the conclusion that the adjustment is not immediate, the market price is about 10-11 percent higher than the right adjusted price on the average and the difference is statistically significant.  It takes about 15 days for the market price to reach a stage where the difference between the market price and right adjusted price is no longer statistically significant.  This delay in adjustment can actually lead to a profitable strategy for investors in which the investor holds the stock till record date and then sells the stocks at the first opportunity after the record date.

Pages 95 – 111

Author: Norazwa Ahmad Zolkifli, Mohamad Abdul Hamid and Hawati Janor

This paper presents the determinants of liquidity risk and performance in conventional and Islamic bank. The data have collected from 2008 to 2014 and panel data analysis was used. The results revealed that the most significant factor is the capitalization. Capitalization also has a strong relationship with performance using parsimonious model. The best model from the result is Bahrain conventional bank. Based on finding, problem of liquidity risk related to regulatory requirement will decrease and this will gives banks to increase their profitability and improve their financial performance.

Total Articles- 7

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