International portfolio management is influenced by the existence of “frictions”, factors or events that interfere with trade, which are linked in financial literature to market-specific factors, ...such as available information, restrictions, investor protection, or market liquidity. Given the wide variety of factors that can be included in these categories, scientific studies typically focus on a reduced number of indicators at a time in order to offer an in depth analysis of their impact. We offer a consolidated view of the perspectives observed in financial literature by proposing a novel index for market frictions that includes all these four components and rank fifteen post-communist East European capital markets based on their index values. We then constructed various scenarios by assuming different levels of importance for the criteria used in index construction. By employing grey clustering analysis, we cluster these capital markets into three categories—strongly recommended, recommended with some reserve, and not recommended—based on the importance given by the decision maker to these factors. The results show that some of the studied markets are in the same cluster, irrespective of the chosen scenario. The only market always included in the “strongly recommended” category is Hungary, indicating that it is a good investment option for international participants. Bulgaria and Slovakia are always regarded as “recommended with reserve” markets, whereas the Republic of Moldova is part of the “not recommended” category. The other markets show a degree of variability that can be explained by different investor perspectives. This study contributes to the existing literature by combining the advantages of grey clustering and portfolio analysis. Investors can use this approach during the decision-making process related to their investments.
The purpose of this study is to emphasize the main aspects regarding the evolution of the capital market in Romania in the context of the COVID-19 pandemic. This study tries to present the main ...aspects which marked the evolution of the national capital market in the last period. The domestic capital market went through a delicate period during the beginning of 2020, since in times of crisis the stock markets react emotionally and thus, are recorded relatively important fluctuations. Although the COVID-19 pandemic created a lot of uncertainty in the capital market, the end of 2020 brought back optimism among investors. In 2021, the d domestic capital market recovered all the decreases registered in 2020 and ended this year with very good results.
This study analyzes the financial performance of sustainable investments against conventional investment products in an emerging market context using a sample of sustainable and governance equity ...investment funds that focus solely on the Brazilian stock market. A quantitative analysis is used to compare monthly returns, volatility, and Jensen’s alpha for the period of January 2017 to December 2019 (bull market) and January 2020 and December 2021 (bear market). The study finds that sustainable investments do not diverge from conventional stock funds during a bear market period in terms of financial performance and present similar volatility. The main findings of this study corroborate the latest research from the ANBIMA reports related to sustainability practices in the Brazilian capital markets. The study also contributes to the academic literature by providing empirical evidence from an emerging economy such as Brazil of reasonable performance from sustainable investments in different periods of an economic cycle. The study has a few limitations such as the lack of a taxonomy and an ESG regulatory framework for the sustainable and governance equity investment funds and the small number of sustainable and governance equity investment funds in Brazil.
Sharia stock is the Islamic capital market’s instrument used as a proof of a company’s shareholder ownership. It must be in line with the Quran, Sunnah, and Ulama’s ijtihad. To include a company’s ...shares in the sharia category, there are several criteria and screening processes taken by the issuer. This study examines and analyzes tafriq halal wal haram theory in the screening process of the Indonesian Islamic capital market and compares it to Malaysia. Comparative approach and content analysis were used here. Qualitative method investigates whether the company involves in riba activities, gharar, producing non-halal products, gambling, and so forth. This is a normative study to review Indonesia Financial Services Authority regulations and stock exchange regulations. The results indicate that the Indonesian Sharia Capital Market uses an interest-based debt ratio limit compared to a maximum total asset of 45% while Malaysia uses a 20% limit, and the ratio of non-halal income to total income should not be more than 10%. This study can be the reference for Muslim countries to apply the theory of tafriq halal ‘an haram in the selection of sharia stocks in sharia capital market.Saham syariah adalah instrumen pasar modal syariah yang digunakan sebagai bukti kepemilikan pemegang saham suatu perusahaan. Hal tersebut harus sejalan dengan Al-Qur’an, Sunnah, dan ijtihad Ulama. Untuk memasukkan saham perusahaan dalam kategori syariah, ada beberapa kriteria dan proses penyaringan yang dilakukan emiten. Penelitian ini mengkaji dan menganalisis teori tafriq halal wal haram dalam proses penyaringan pasar modal syariah Indonesia dan membandingkannya dengan Malaysia. Kedua negara menggunakan metode kualitatif dan kuantitatif dalam proses penyaringan stok. Metode kualitatif menyelidiki apakah perusahaan terlibat dalam kegiatan riba, gharar, memproduksi produk yang tidak halal, perjudian, dan sebagainya. Kajian ini merupakan kajian normatif untuk mengkaji fatwa dan peraturan OJK dan peraturan Bursa. Pendekatan komparatif dan analisis isi digunakan di sini. Hasil penelitian menunjukkan bahwa Pasar Modal Syariah Indonesia menggunakan batas rasio utang berbasis bunga dibandingkan dengan total aset maksimum 45% sedangkan Malaysia menggunakan batas 20%, dan rasio pendapatan non-halal terhadap total pendapatan tidak boleh lebih 10%. Artikel ini dapat dijadikan sebagai rujukan negara muslim untuk membuat tafriq halal ‘an haram dalam melakukan seleksi saham syariah pada pasar modal syariah.
COVID-19 is an event that has harmed various sectors, one of which is the capital market sector. The high uncertainty caused by the COVID-19 outbreak caused investors to react to this event, which ...could cause an overreaction phenomenon. The events taken in this study sample are two events related to COVID-19. This study aims to analyze the phenomenon of overreaction in Islamic stocks and the factors that influence the phenomenon of overreaction by using the two-sample difference test method and cross-sectional regression. The results showed that in the lockdown event (Event 2) was proven that there was a significant overreaction phenomenon in the winner stock category. The factors that influence the overreaction phenomenon in this event are proven to be significantly and negatively influenced by leverage and market capitalization. In contrast, trading volume significantly and positively influenced the overreaction phenomenon.
Research and development (R&D) investments are strategic choices that firms make to create and sustain competitive advantage. Extant literature proposes that firms’ R&D investments and their ...profitability and capital market performance are reciprocally related. However, the direction of these relationships and their temporal nature are unclear. We take a real options perspective to argue that the long-run firm performance effects of R&D investments are better than their short-term ones, and that the initial level of R&D intensity influences the nature of these relationships. We apply panel vector autoregression (P-VAR) to a sample of 6623 U.S. firms over the 1990–2020 period in order to test our hypotheses. Our results indicate that increases in R&D intensity have negative effects on profitability in the short term, yet these effects diminish relatively quickly. The effects of increases in R&D intensity on capital market performance are positive and persist over time. Consistent with our predictions, they are contingent on the initial levels of R&D intensity and performance. The findings are fundamentally in line with the real options perspective employed here, yet they add important nuance to our understanding of when, how, and under which conditions R&D investments and firm performance affect one another.
Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot market transactions. We examine the performance consequences of this organizational ...structure in the context of relationships established when VCs syndicate portfolio company investments. We find that better-networked VC firms experience significantly better fund performance, as measured by the proportion of investments that are successfully exited through an IPO or a sale to another company Similarly, the portfolio companies of better-networked VCs are significantly more likely to survive to subsequent financing and eventual exit. We also provide initial evidence on the evolution of VC networks.
Originality/value: This paper offers possible future research direction for scholars who are interested in issues related to IPO underwriters and price stabilization in Asia.
The establishment of government investment funds serves as a crucial measure for governments at all levels to leverage their certification role and financial resources in attracting social capital to ...support enterprise development. This paper empirically examines the guiding certification effect and governance supervision effect of government investment funds on enterprise value enhancement, utilising panel data from listed companies and government investment fund investment event data spanning the period from 2011 to 2021. The research findings reveal that government investment funds significantly enhance the value of recipient enterprises. By leveraging their guidance and certification effects and governance supervision effects, these funds alleviate financing constraints, actively participate in corporate governance, and ultimately enhance corporate value. The impact of government investment funds is negatively moderated by the age and size of the enterprise, indicating that the “invest in early-stage and small businesses” investment strategy yields better results in promoting value enhancement. Furthermore, heterogeneity analysis demonstrates that government investment funds have a more pronounced impact on the value of non-heavily polluting industries, enterprises located in the eastern and southern regions of China, and non-state-owned enterprises. This article expands the research scope of government investment funds at the micro level, providing empirical evidence and theoretical support for optimising government investment funding policies and fostering the development of a modern capital market with distinctive Chinese characteristics.
We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a ...larger role than does liquidity hoarding: the day after Lehman Brothers' bankruptcy, loan terms become more sensitive to borrower characteristics. In particular, poorly performing large banks see an increase in spreads of 25 basis points, but are borrowing 1% less, on average. Worse performing banks do not hoard liquidity. While the interbank market does not freeze entirely, it does not seem to expand to meet latent demand.
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