发布求助
文献互助 智能选刊 最新文献

American J. of Finance and Accounting最新文献

筛选
英文 中文
Speculative bubbles and the real estate market application of the sequential ADF test 投机泡沫与房地产市场应用序列ADF检验
American J. of Finance and Accounting Pub Date : 2015-10-22 DOI: 10.1504/ajfa.2015.072592
Kamel Naoui, A. Bassem
{"title":"Speculative bubbles and the real estate market application of the sequential ADF test","authors":"Kamel Naoui, A. Bassem","doi":"10.1504/ajfa.2015.072592","DOIUrl":"https://doi.org/10.1504/ajfa.2015.072592","url":null,"abstract":"The aim of this paper is to detect the presence of a real estate bubble in the US home market. Inability of classic methods such as stationary tests and co-integration methods to determine explosive behaviour in financial markets was our motivation to use a recent econometric technique developed by Phillips, Shi and Yu. This method is perfectly efficient and is considered as a bubble-detecting algorithm. Our empirical results point to the presence of an explosive behaviour in the data. Therefore, we concluded that the US home market was shaken by several bubbles before the sub-prime crisis.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120970797","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}
引用次数: 0
Volume–herding interaction in the American market 美国市场的成交量羊群互动
American J. of Finance and Accounting Pub Date : 2015-03-06 DOI: 10.1504/AJFA.2015.067837
Ahmed BenSaïda, Mouna Jlassi, Houda Litimi
{"title":"Volume–herding interaction in the American market","authors":"Ahmed BenSaïda, Mouna Jlassi, Houda Litimi","doi":"10.1504/AJFA.2015.067837","DOIUrl":"https://doi.org/10.1504/AJFA.2015.067837","url":null,"abstract":"This paper examines the existence of herding in the US market. We study the turnover effect on herding movement by modifying the Cross-Sectional Standard Deviation (CSSD) model and the Cross-Sectional Absolute Deviation (CSAD) model. Results are inconclusive about the presence of herding in the US financial market. However, we find that trading volume can trigger herding. By applying VAR and Granger causality tests, we find a strong link between herding and trading volume in both directions. More particularly, we find that trading volume can enhance herding behaviour and vice versa, i.e. herding intensifies trading. Moreover, we examine the herding behaviour during the subprime crisis, and find that herding is inhibited during this period.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128493796","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}
引用次数: 26
Return and volatility spillover among the PIIGS economies and India PIIGS经济体和印度之间的回报和波动溢出效应
American J. of Finance and Accounting Pub Date : 2015-03-06 DOI: 10.1504/AJFA.2015.067811
Dilip Kumar, S. Maheswaran
{"title":"Return and volatility spillover among the PIIGS economies and India","authors":"Dilip Kumar, S. Maheswaran","doi":"10.1504/AJFA.2015.067811","DOIUrl":"https://doi.org/10.1504/AJFA.2015.067811","url":null,"abstract":"This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility spillover between the Indian stock market and each market from the PIIGS economies using the VAR-bivariate-EGARCH model. We observe strong evidence of a return and volatility spillover effect from Greece to India from both the bivariate and multivariate models. Greece acts as a major source of information influencing the volatility process of the other markets.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127154189","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}
引用次数: 3
Herding behaviour and market dynamic volatility: evidence from the US stock markets 羊群行为与市场动态波动:来自美国股市的证据
American J. of Finance and Accounting Pub Date : 2015-03-06 DOI: 10.1504/AJFA.2015.067844
Mouna Jlassi, Kamel Naoui
{"title":"Herding behaviour and market dynamic volatility: evidence from the US stock markets","authors":"Mouna Jlassi, Kamel Naoui","doi":"10.1504/AJFA.2015.067844","DOIUrl":"https://doi.org/10.1504/AJFA.2015.067844","url":null,"abstract":"This paper documents the effect of herd behaviour on the US S%P100 and US DJIA stock market's stocks volatility. We investigated the presence and the change of herding behaviour in the US S%P100 and US DJIA stock markets during January 2000 to July 2012. Results provide strong and coherent evidence on the occurrence of herding at only daily frequency. In particular, the findings indicated a significant change in herding tendency across sub-periods of the subprime crisis. The different tests report that herding is only prevailing during bull period and during days of high trading volumes. Moreover, empirical evidences report a significant relationship between market sentiment and herd behaviour. We show that herding contributes not only in fuelling market excessive volatility but also in raising the housing bubble during the subprime crisis. Surprisingly, we find that asymmetric herding exists during days of low volatility.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122484584","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}
引用次数: 11
Stock market development, banks and firms growth: empirical evidence from Saudi Arabia 股市发展、银行和企业成长:来自沙特阿拉伯的经验证据
American J. of Finance and Accounting Pub Date : 2014-05-26 DOI: 10.1504/AJFA.2014.060817
Najeb Masoud, Glenn Hardaker
{"title":"Stock market development, banks and firms growth: empirical evidence from Saudi Arabia","authors":"Najeb Masoud, Glenn Hardaker","doi":"10.1504/AJFA.2014.060817","DOIUrl":"https://doi.org/10.1504/AJFA.2014.060817","url":null,"abstract":"This study provides new and updated empirical investigation on the effect of stock market development, banks development and firms growth using Saudi Arabia industrial firm-level data set for the period 1995-2013 and applying GMM, MG techniques model developed for dynamic panels. The econometric results reveal that with more development in the stock market firms that use equity finance heavily grow faster than firms that do not. These findings provide firm-level support for the proposition that the development of the stock market facilitates economic growth in Saudi Arabia. Our results also show that both the stock market and the banking sector development are significant in facilitating the firm's growth in Saudi Arabia. In particular, we find that measures of both market and banking development independently predict firm's growth when entered together in firm growth regressions. The results are consistent with the hypothesis that the stock market and the banking sector development have different effects on small and large firms.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"147 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133288557","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}
引用次数: 7
Risk premiums over varying market conditions 不同市场条件下的风险溢价
American J. of Finance and Accounting Pub Date : 2013-10-25 DOI: 10.1504/AJFA.2013.057205
Praveen K. Das
{"title":"Risk premiums over varying market conditions","authors":"Praveen K. Das","doi":"10.1504/AJFA.2013.057205","DOIUrl":"https://doi.org/10.1504/AJFA.2013.057205","url":null,"abstract":"Bhardwaj and Brooks (1993) and Kim and Burnie (2002) look at the size effect during expansion and recession but come to different conclusions. While Bhardwaj and Brooks report reversal of size effects, Kim and Burnie show that the size effect is strong during economic expansion. A possible reason for these conflicting conclusions might be model misspecification. Both studies use a single-factor CAPM model to calculate the average returns. In this paper, the Fama-French three-factor model with betas conditioned on the market states is used. It has been found that the reverse size effect is limited to growth stocks. The size effect among value stocks is observed in expansion as well as recession. Furthermore, regression results using the three-factor model with time-varying betas show that there is a negative book-to-market premium.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129846600","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}
引用次数: 0
Comparative performance of Islamic and conventional banks in Europe 欧洲伊斯兰银行与传统银行的比较表现
American J. of Finance and Accounting Pub Date : 2013-10-25 DOI: 10.1504/AJFA.2013.057167
A. Abu-Alkheil, Hans-Peter Burghof, Walayet A. Khan
{"title":"Comparative performance of Islamic and conventional banks in Europe","authors":"A. Abu-Alkheil, Hans-Peter Burghof, Walayet A. Khan","doi":"10.1504/AJFA.2013.057167","DOIUrl":"https://doi.org/10.1504/AJFA.2013.057167","url":null,"abstract":"We employ data envelopment analysis (DEA) to examine the relative efficiency of Islamic and conventional banks in the UK and Switzerland during 2008-2009, accounting ratio analysis to measure the financial performance of the European Islamic Investment Bank (EIIB) during 2005-2008, and a matched-pairs t-test to determine the differences in the EIIB performance in the pre-versus post financial crisis periods, respectively. Results suggest that the Islamic banks in Europe experience lower cost efficiency, higher allocative inefficiency and poor, but relatively better, technical efficiency compared to conventional banks. The inefficiency of the banks is mostly due to their sub-optimal size of operations. Findings further show that the EIIB exhibits a clear paradox between its high operating efficiency and low profitability. EIIB gradually became illiquid but still remains solvent. A comparison of the bank's performance in the periods before and after the crisis does not show statistically significant differences.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131335553","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}
引用次数: 5
Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach 石油价格波动和动态系统风险在科威特股票部门投资组合使用卡尔曼滤波方法
American J. of Finance and Accounting Pub Date : 2013-10-25 DOI: 10.1504/AJFA.2013.057173
Abdulwahab A. Alsarhan, Ahmed A. Khalifa, Omar Al‐Titi
{"title":"Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach","authors":"Abdulwahab A. Alsarhan, Ahmed A. Khalifa, Omar Al‐Titi","doi":"10.1504/AJFA.2013.057173","DOIUrl":"https://doi.org/10.1504/AJFA.2013.057173","url":null,"abstract":"The paper investigates the impact of oil price volatility on the dynamics of systematic risk in eight equity sectors for Kuwait. To achieve this goal, it uses the Kalman filter approach to estimate the time-variant systematic risk in those sectors. This approach enables us to study the dynamicity of systematic risk of a portfolio comprised of those sectors during the period 2000-2012. Additionally, the Kalman filter approach estimates the relative importance of the trend the random walk and cycle components of the sectors 'Betas'. The estimated time-variant coefficients (Alpha and Beta) allow for the estimation of the impact of oil price volatility and the financial crises on the systematic risk of the sectors over time.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133901970","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}
引用次数: 0
ERP system integrated accounting course: an analysis of students' viewpoints ERP系统集成会计课程:学生观点分析
American J. of Finance and Accounting Pub Date : 2013-10-25 DOI: 10.1504/AJFA.2013.057206
Yunus Kishali, H. Sharma, Rakesh Gupta
{"title":"ERP system integrated accounting course: an analysis of students' viewpoints","authors":"Yunus Kishali, H. Sharma, Rakesh Gupta","doi":"10.1504/AJFA.2013.057206","DOIUrl":"https://doi.org/10.1504/AJFA.2013.057206","url":null,"abstract":"Researchers are focusing on developing ERP integrating courses in all areas of business discipline including accounting. However, successful implementation of ERP integrated courses requires coordination among vendor, IT department, and academic discipline. We examined the issues pertaining to ERP integrated accounting courses, and assessed the impact on student learning. We conducted this study by evaluating student perceptions before and after taking an ERP integrated accounting course at Kocaeli University, Kocaeli, Turkey. A survey designed for the study included 31 questions. We converted survey responses using a 5-point Likert scale. We performed data analysis using descriptive statistical analysis tools including, frequency distribution, mean, and Mann-Whitney U-test. The findings of the study revealed student opinion exhibited significant differences in their pre- and post-responses. We also noticed insignificant differences of student opinions based on either gender or course sessions. Additionally, the student comments and responses revealed key benefits to them such as software knowledge and application, and job opportunities from the course.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128848941","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}
引用次数: 1
Initial public offerings and investor heterogeneity: evidence from Malaysia 首次公开募股和投资者异质性:来自马来西亚的证据
American J. of Finance and Accounting Pub Date : 2013-10-25 DOI: 10.1504/AJFA.2013.057176
S. Low, Othman Yong
{"title":"Initial public offerings and investor heterogeneity: evidence from Malaysia","authors":"S. Low, Othman Yong","doi":"10.1504/AJFA.2013.057176","DOIUrl":"https://doi.org/10.1504/AJFA.2013.057176","url":null,"abstract":"We examine IPO underpricing, offer size, over-subscription ratio, and listing board, in relation to investors' heterogeneous beliefs. Since investors' beliefs are not directly observable, our proxies for investor heterogeneity are specifically tied to variables that reflect investors' behaviour in the IPO immediate aftermarket, namely first-day turnover and first-day price spread. For the entire sample and for the hot issues, we find that IPOs that are highly underpriced, small in offering size and are listed on the MESDAQ Market tend to have high level of heterogeneous beliefs among investors. Investor disagreement is likely to create significant trading volume and result in large price spread. For cold IPOs, the results show that IPOs listed on the MESDAQ market induce high divergence of opinions among investors. It is also shown that initial return of cold IPOs is irrelevant in explaining IPO share turnover and price spread on the first trading day.","PeriodicalId":379725,"journal":{"name":"American J. of Finance and Accounting","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127690209","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}
引用次数: 18
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信