Journal of Capital Markets Studies最新文献

{"title":"Deep learning with small and big data of symmetric volatility information for predicting daily accuracy improvement of JKII prices","authors":"Mohammed Ayoub Ledhem","doi":"10.1108/jcms-12-2021-0041","DOIUrl":"https://doi.org/10.1108/jcms-12-2021-0041","url":null,"abstract":"PurposeThe purpose of this paper is to predict the daily accuracy improvement for the Jakarta Islamic Index (JKII) prices using deep learning (DL) with small and big data of symmetric volatility information.Design/methodology/approachThis paper uses the nonlinear autoregressive exogenous (NARX) neural network as the optimal DL approach for predicting daily accuracy improvement through small and big data of symmetric volatility information of the JKII based on the criteria of the highest accuracy score of testing and training. To train the neural network, this paper employs the three DL techniques, namely Levenberg–Marquardt (LM), Bayesian regularization (BR) and scaled conjugate gradient (SCG).FindingsThe experimental results show that the optimal DL technique for predicting daily accuracy improvement of the JKII prices is the LM training algorithm based on using small data which provide superior prediction accuracy to big data of symmetric volatility information. The LM technique develops the optimal network solution for the prediction process with 24 neurons in the hidden layer across a delay parameter equal to 20, which affords the best predicting accuracy based on the criteria of mean squared error (MSE) and correlation coefficient.Practical implicationsThis research would fill a literature gap by offering new operative techniques of DL to predict daily accuracy improvement and reduce the trading risk for the JKII prices based on symmetric volatility information.Originality/valueThis research is the first that predicts the daily accuracy improvement for JKII prices using DL with symmetric volatility information.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132167137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stock market development and agricultural growth of emerging economies in Africa","authors":"C. A. Ngong, Kesuh Jude Thaddeus, Lionel Tembi Asah, G. Ibe, J. Onwumere","doi":"10.1108/jcms-12-2021-0038","DOIUrl":"https://doi.org/10.1108/jcms-12-2021-0038","url":null,"abstract":"PurposeThis research investigates the bond between stock market development and agricultural growth in African emerging economies from 1990 to 2020.Design/methodology/approachAgricultural value added to the gross domestic product measures agricultural growth and market capitalization and stock value traded measure stock market development.FindingsThe findings disclose that market capitalization negatively affects agricultural growth while stock value traded positively affects agricultural growth in the fully modified and dynamic ordinary least square techniques. The findings unveil bidirectional causality between labour and agricultural value added with unidirectional causality flow from agricultural value added to market capitalization and stock value traded.Research limitations/implicationsThe governments should promote agricultural growth initiatives which stimulate stock market development. Effective methods required to encourage credit flow to the agricultural enterprises through the stock markets' intermediation should be promoted using aggressive policies which eliminate credit flow bottlenecks. Policy makers and regulatory authorities should implement policies which attract investors to the agricultural sector and encourage companies' listing in the stock markets. The capital market funding should be expanded to boost economic growth through agricultural value added.Originality/valueLiterature reveals divergent results on the relationship between stock market development and agricultural growth. Earlier studies provide conflicting findings on the bond between stock market development and agricultural growth. Some findings indicate positive link between stock market development and agricultural growth, while others show a negative association. Studies' results reveal opposing directions of causality between stock market development and agricultural growth.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131640771","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Technical trading rules' profitability and dynamic risk premiums of cryptocurrency exchange rates","authors":"Khumbulani L. Masuku, T. Gopane","doi":"10.1108/jcms-10-2021-0030","DOIUrl":"https://doi.org/10.1108/jcms-10-2021-0030","url":null,"abstract":"PurposeThe study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate returns.Design/methodology/approachThe study tests the technical trading rule of fixed moving average (FMA) on daily actual and equilibrium returns of Bitcoin exchange rates. The equilibrium returns are computed using dynamic CAPM in conjunction with a VAR-MGARCH (1, 1) system. The empirical evaluation of the study uses a case study of four Bitcoin exchange rates (BTC/AUD, BTC/EUR, BTC/JPY and BTC/ZAR) for the period 19 June 2010 to 30 October 2020.FindingsThe findings are consistent with related studies in conventional foreign exchange markets that find TA to be profitable, especially in emerging markets. Nevertheless, the consideration of risk premium has the effect of reducing the abnormal returns. Also, further robust tests reveal that Bitcoin returns possess a momentum effect which prompts further study in efficient market hypothesis research.Practical implicationsThe empirical findings of this study should benefit portfolio managers and active investors on the strength of TA to predict returns in a speculative market like the Bitcoin exchange rate market.Originality/valueThe study takes cognisance that cryptocurrency trading is speculative in nature which renders it a good candidate for TA methods. While there are studies that have explored the value of TA in Bitcoin exchange rates, these studies fail to incorporate the effects of time-varying risk premiums, the strength and focus of the current paper.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133093813","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A comparison of international market indices for measuring market efficiency based on price-volume relationship","authors":"Sunay Çıralı","doi":"10.1108/jcms-11-2021-0037","DOIUrl":"https://doi.org/10.1108/jcms-11-2021-0037","url":null,"abstract":"PurposeThe main purpose of the research is to determine if the relationship between trading volume and price changes is connected to market effectiveness and to use the volume-price relationship to compare the efficiency levels of foreign markets. The degree of the relationship is determined in this study, and the efficiency levels of different countries' capital markets are compared.Design/methodology/approachIn this study, 1,024 observations are used as a data set, which includes daily closing prices and trading volume in the stock market indices of 25 countries between the dates of 01.12.2016 and 31.12.2020. In the first step of the analysis, descriptive statistics of price and volume series are examined. The stationarity of the series is then controlled using the ADF unit root test. Simple linear regression models with the dependent variable of trading volume are generated for all stock market indices after each series has reached stationarity, and the ARCH heteroscedasticity test is used to determine whether these models contain the ARCH effect. Because all models have the ARCH effect, autoregressive models are chosen, and EGARCH models are conducted for all indices to see whether there is an asymmetry in the price-volume relationship.FindingsThe study concludes that the stock market in the United States is the most effective, since it has the strongest relationship between trading volume and price changes. However, because of the financial distress caused by the COVID-19 pandemic, the relationship between price and trading volume is lower in Eurozone countries. The price-volume relationship could not be observed in some shallow markets. Furthermore, whereas the majority of countries have a negative relationship between price changes and transaction volume, China, the United Arab Emirates and Qatar have a positive relationship. When prices rise in these countries, investors buy with the sense of hope provided by the optimistic atmosphere, and when prices fall, they sell with the fear of losing money.Research limitations/implicationsThe study's most significant limitation is that it is difficult to ascertain a definitive conclusion about the subject under investigation. In reality, if the same research is done using data from different countries and time periods, the results are quite likely to vary.Practical implicationsAs a result of the study, investors can decide which market to enter by comparing and analyzing the price-volume relationship of several markets. According to the study's findings, investors are advised to examine the price-volume relationship in a market before beginning to trade in that market. In this way, investors can understand the market's efficiency and whether it is overpriced.Social implicationsThe relationship between price movements and trade volume gives crucial information about a capital market's internal structure. Some concerns can be answered by assessing this relationship, such as whether the market has a s","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123858038","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stock market development: a reflection of governance regulatory framework in Nigeria","authors":"Fisayo Fagbemi, O. Adeosun, K. Bello","doi":"10.1108/jcms-07-2021-0022","DOIUrl":"https://doi.org/10.1108/jcms-07-2021-0022","url":null,"abstract":"PurposeThe article examines the possible long-run and short-run impact of regulatory quality on stock market performance in Nigeria for 1996–2019 period.Design/methodology/approachThe study adopts autoregressive distributed lag (ARDL) bounds test and cointegrating regression techniques.FindingsFindings reveal that regulatory quality positively and significantly influences the performance of stock market, which strengthens the view that market-enhancing governance can engender an improvement in stock market performance. The study further demonstrates that quality of the regulatory environment is a critical component of market operations, since the improvement of the operation of stock market performance depends on appropriate policy measures, which could be the outcome of improved governance.Practical implicationsIt is suggested that, while improving the institutional environment is a challenge to regulators, there is need for strong and effective regulatory mechanism to enhance the development of stock market in the country.Originality/valueBased on the two competing hypotheses and limited attention, previous studies accorded the role of regulatory quality in the performance of stock market in the context of Nigeria. This study assessed the gap in the literature by taking the task of validating the impact of regulatory quality on stock market development.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122958740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investigating the relationship between bank performance and accounting standards: evidence from M&As in European banking","authors":"A. Akgün","doi":"10.1108/jcms-10-2021-0032","DOIUrl":"https://doi.org/10.1108/jcms-10-2021-0032","url":null,"abstract":"PurposeThe study aims to identify whether international financial reporting standards (IFRS) or local generally accepted accounting principles (GAAP) reporting provides investors and senior management of acquirer banks with superior information on target banks under post-merger bank performance.Design/methodology/approachThe authors examine the claim that IFRS improves corporate transparency and increases financial reporting quality in European Bank merger and acquisitions (M&As). The authors compare the financial performance of merged banks where the target and acquirer banks employed the same reporting system (up to 305 merged banks) to the performance of a control group of banks not engaged in M&A activity (up to 1,690 European banks).FindingsLocal GAAP reporting allows a more transparent assessment of financial performance using traditional indicators, making it a superior tool for assessing potential acquisition targets.Practical implicationsOverall, the empirical findings are consistent with prior studies and indicate a significant relationship between local GAAP and post-merger performance, while IFRS does not contribute to post-merger bank performance.Originality/valueThe study is one of the very few studies to investigate the relationship between bank performance, M&A activity and accounting standards in EU-28 countries. The primary contribution the finding of poor performance of IFRS reporting merged banks compared to local GAAP banks in EU-28 countries in line with prior results of Huian (2012). In addition, several deal- and bank-specific characteristics that affect accounting standards influence M&A transactions in European banks.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128980556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Integration in banking efficiency: a comparative analysis of the European Union, the Eurozone, and the United States banks","authors":"Dimitra Loukia Kolia, Simeon Papadopoulos","doi":"10.1108/jcms-08-2021-0026","DOIUrl":"https://doi.org/10.1108/jcms-08-2021-0026","url":null,"abstract":"PurposeThis paper investigates the development of efficiency and the progress of banking integration in the European Union by checking for convergence among banks of European and Eurozone countries as well as contrasting the results with those of United States banks.Design/methodology/approachInitially, we employ the two-stage semi-parametric double bootstrap DEA method, which absorbs the effects of possible integration barriers in the measurement of efficiency. Afterwards, we apply a panel data model, in order to investigate the process of banking integration by testing for convergence and for convergent clusters in banking efficiency.FindingsOur main findings show that the bank efficiency of the US is considerably higher than that of the Eurozone and the European Union. Although there is no evidence of convergence across the banking groups, our results indicate the presence of club convergence. We also conclude that the US banking system is closer to convergence than the Eurozone and the European Union banks. Nevertheless, this outcome is subject to change in the future due to the fact that Eurozone and European Union banks' speed of convergence is higher than that of US banks.Originality/valueOur survey is unique in trying to check for convergence while controlling for country-specific and bank-specific factors that affect the efficiency of European and Eurozone banks. Moreover, recent literature does not compare the convergence of efficiency of Eurozone, European and US banking. Finally, in our paper special consideration was given to the comparison of commercial, cooperative and savings banks, as subsets of our banking groups.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133733578","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Equity crowdfunding and financial literacy of individual investors in Japan","authors":"M. Fujii, Chie Hosomi, Yoshiaki Nose","doi":"10.1108/jcms-03-2021-0007","DOIUrl":"https://doi.org/10.1108/jcms-03-2021-0007","url":null,"abstract":"PurposeThis study aims to fill the gap in previous research that focuses on the superficial aspects of equity crowdfunding (ECF) campaigns and financial practices by examining financial literacy aspects, such as due diligence and valuation, in terms of factors that influence Japanese individual investors' investments in ECF.Design/methodology/approachThe status of information disclosure in ECF campaigns is checked. In addition, the feasibility of the initial due diligence and valuation using this information is verified. Specifically, the lack of financial literacy hypothesis is developed and (1) expected market capitalization in the final fiscal year of the business plan and (2) expected returns on investment (IRR: internal rate of return) are estimated.FindingsECF campaigns in Japan disclose information equivalent to that obtained by professional venture capitalists. Analysis of the disclosed business plan allows for initial due diligence and valuation. By contrast, due diligence reveals that some projects are unlikely to be listed even if their business plans are met, and others have low IRRs. In addition, a stock acquisition rights project, in which even professional investors are unable to calculate IRRs, is completed at the same rate as a common stock project; this suggests that individual investors lack financial literacy.Originality/valueAnalyzing ECF from financial literacy aspects, such as due diligence and valuation, is unique. Such aspects are essential for private equity investments but have not been addressed in previous studies.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126782055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cracking the fault line in stock markets: the case of bonus issue announcements","authors":"Murat Isiker, O. Tas","doi":"10.1108/JCMS-03-2021-0008","DOIUrl":"https://doi.org/10.1108/JCMS-03-2021-0008","url":null,"abstract":"PurposeThe paper aims to measure the magnitude of the event-induced return anomaly around bonus issue announcement days in Turkey for recent years. Also, by describing the information content of these announcements with the current data, the study tries to find out the factors that cause return anomaly in Borsa Istanbul when firm boards release the bonus issue decision.Design/methodology/approachThe paper conducts event study methodology for detecting market anomaly around bonus issue announcements. For the pairwise comparison purpose, t-test and one-way ANOVA methods are applied to examine if abnormal returns vary according to the information content of the announcements.FindingsAnnouncement returns for bonus issues from internal resources outperform the issues that are distributed from last year's net income as bonus shares. Findings indicate different return behaviour among internal resources sub-groups. Findings also suggest that investors in Turkey welcome larger-sized issues, while cumulated returns for the initial offers significantly differ from the latter issues.Research limitations/implicationsFindings are limited to the Turkish equity market. Also, the Public Disclosure Platform of Turkey, which is the main data source of the study, does not provide bonus issue announcements before 2010. Therefore, the previous year's data cannot be included in the analysis.Originality/valueThis paper is novel in terms of considering the main resources of the bonus issue in detail to measure the announcement's impact on stock returns.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130315946","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Leverage and firm performance: new evidence on the role of economic sentiment using accounting information","authors":"P. Kalantonis, Christos Kallandranis, M. Sotiropoulos","doi":"10.1108/JCMS-10-2020-0042","DOIUrl":"https://doi.org/10.1108/JCMS-10-2020-0042","url":null,"abstract":"PurposeThe goal of this paper is twofold. First, to examine the role of expectations in shaping agents' behaviour within an extended time frame which incorporates a prolonged harsh downturn of economic activity. Therefore, the authors allow for an indirect impact of economy-wide expectations operating via their coexistence with firms' balance sheet factors. Second, it is tested whether the behaviour of listed firms as regards to debt follows the pecking order theory.Design/methodology/approachThe authors use the panel data methodology in the estimation of the financial structure models since unobservable heterogeneity is an important determinant towards the target leverage. A fixed effects estimation procedure, with robust intercepts allowed to vary across firms, was employed to examine the relationship between leverage and performance.FindingsThe findings offer evidence of patterns of pecking order behaviour and thus for the necessity of internal financing over external debt. The authors also extended the set of determinants by investigating the effect of macroeconomic conditions on the debt decision of firms. Contrary to the authors’ expectations, short-run beliefs of economic agents appear to play a negative role in leverage.Originality/valueThis paper contributes to the literature in a number of ways. First, following the growing literature of loan dynamics, the findings provide useful insights into corporate capital structure decisions in an economy in which businesses were almost excluded from external financing for over a decade. Second, in order to better understand corporate financing decisions, it is necessary to consider the overall economic framework in which companies and especially the listed ones operate.","PeriodicalId":118429,"journal":{"name":"Journal of Capital Markets Studies","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128382201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}