The Economics and Finance Letters

Published by: Conscientia Beam
Online ISSN: 2312-430X
Print ISSN: 2312-6310
Quick Submission    Login/Submit/Track

Recent Articles

Structural Breaks, Electricity Generation and Economic Growth in Nigeria

Pages: 170-177
Find References

Finding References


Structural Breaks, Electricity Generation and Economic Growth in Nigeria

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.170.177

Iyabo Adeola Olanrele

Export to    BibTeX   |   EndNote   |   RIS

Akinlo, A.E., 2009. Electricity consumption and economic growth in Nigeria: Evidence fromcointegration and co-feature analysis. Journal of Policy Modeling, 31(5): 681–693.Available at: https://doi.org/10.1016/j.jpolmod.2009.03.004.

Blanchard, O. and J. Gali, 2007. The macroeconomic effects of oil shocks: Why arethe 2000s so different from the 1970s?” NBER Working Paper No. 13368.

Edquist, H. and M. Henrekson, 2006. Technological breakthroughs and productivity growth. Research institute of industrial economics. IFN Working Paper No. 665.

Electricity Installed Capacity, 2018. Nigeria energy profile. Available from https://www.indexmundi.com/nigeria/energy_profile.html.

Farzanegan, M.R. and G. Markwardt, 2009. The effects of oil price shocks on the Iranian economy. Energy Economics, 31(1): 134-151.Available at: https://doi.org/10.1016/j.eneco.2008.09.003.

International Electricity Agency, 2018. Electricity information. Available from https://webstore.iea.org/electricity-information-2018.

Iwayemi, A., 2016. No fuel, no power: Towards a sustainable exit strategy from Nigeria’s persistent energy paradoxes. Nigeria Association of Energy Economics  (NAEE) Forum. 4th Edn., Available from: https://www.naee.org.ng.

Iwayemi, A. and B. Fowowe, 2011a. Impact of oil price shocks on selected macroeconomic variables in Nigeria. Energy Policy, 39(2): 603-612.Available at: https://doi.org/10.1016/j.enpol.2010.10.033.

Iyke, B.N., 2015. Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate, Energy Economics, 51(c): 166-167.

Lee, C.-C. and C.-P. Chang, 2005. Structural breaks, energy consumption, and economic growth revisited: Evidence from Taiwan. Energy Economics, 27(6): 857-872.

Naka, A. and D. Tufte, 1997. Examining impulse response functions in cointegrated systems. Applied Economics, 29(12): 1593-1603.Available at: https://doi.org/10.1080/00036849700000035.

National Electric Power Authority (NEPA), 2004. Power reform and power-generation plans in the public and private sectors. Abuja, Nigeria.

Ogagavwodia, J., E. Matthew and B. Ohwofasa, 2014. Power supply and national development, 1980-2012: The Nigeria experience. International Journal of Humanities and Social Science, 4(8): 144-154.

Ogundipe, A.A. and A. Apata, 2013. Electricity consumption and economic growth in Nigeria. Journal of Business Management and Applied Economics, 2(4): 1-14.

Straub, S., 2008. Infrastructure and growth in developing countries: Recent advances and research challenges. World Bank, Policy Research Working Paper No. 4460, Washington D.C.

Turhan, I., E. Hacihasanoglu and U. Soytas, 2012. Oil prices and emerging market exchange rates. Bank of the Republic of Turkey Working Paper, No. 12/01.

World Bank World Development Indicator (WDI), 2018. Electricity generation by fuel. Available from https://data.worldbank.org/country/nigeria.

Yoo, S.-H. and Y. Kim, 2006. Electricity generation and economic growth in Indonesia. Energy, 31(14): 2890-2899. Available at: https://doi.org/10.1016/j.energy.2005.11.018.

No any video found for this article.
Iyabo Adeola Olanrele (2019). Structural Breaks, Electricity Generation and Economic Growth in Nigeria. The Economics and Finance Letters, 6(2): 170-177. DOI: 10.18488/journal.29.2019.62.170.177
Instability and low electricity generation in Nigeria has continued to raise concerns. The power sector reforms aimed at enhancing increased and stable electricity generation over the decades have not been economic growth oriented. Among other factors, obsolete and poor infrastructural equipment as well as inadequate investment has continued to impede the optimal impact of the power sector. This paper used full sample VAR and structural breaks approach-rolling impulse response(RIR) model-to obtain evidence for changes in the impact of electricity generation on Nigerian economic growth based on quarterly data from 1970 to 2016. Findings revealed that electricity generation does not Granger-cause real GDP growth rate and gross fixed capital formation, while a short-run relationship exist for labour force. No strong dynamic relationship exists between electricity generation and real GDP growth over the lag period. Lastly, result from RIR technique also showed that real GDP growth rate does not respond to impulses from electricity generation over the years, but for weak impact in the early 1980s.
Contribution/ Originality
This study contributes to the existing literature by examining the relationship between electricity production and economic growth in Nigeria using a recent innovative structural break approach (Rolling impulse response). The approach was used to capture the variations in economic growth that arises from structural changes relating to electricity generation overtime.

The Effect of Selected Factors on Tax Revenue Mobilization in Ethiopia: The Case of Amhara Region

Pages: 110-119
Find References

Finding References


The Effect of Selected Factors on Tax Revenue Mobilization in Ethiopia: The Case of Amhara Region

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.110.119

Tilahun Aemiro Tehulu

Export to    BibTeX   |   EndNote   |   RIS


Tilahun Aemiro Tehulu (2019). The Effect of Selected Factors on Tax Revenue Mobilization in Ethiopia: The Case of Amhara Region. The Economics and Finance Letters, 6(2): 110-119. DOI: 10.18488/journal.29.2019.62.110.119
While many African countries raise 15% or more in tax revenue, some countries like Ethiopia still do not raise the necessary amount of resources to allow for the sound functioning of domestic institutions and basic service delivery. Therefore, this study investigated the perceived effect of selected factors on tax revenue mobilization in Ethiopia. Data is collected through a structured questionnaire and analyzed using univariate statistics namely one sample T-test and other descriptive statistics including proportions and means. The findings revealed that the political instability of the country has negatively affected the normal business operation of firms; reduced investments due to lower confidence of investors and negatively affected the taxable income of business firms. The results, however, revealed that closeness to general elections doesn’t affect normal business operation of firms. The findings also revealed that there is high corruption by tax officials in our region; taxpayer awareness creation to report any corruptive practices is also weak; measures by the tax authority to improve the accountability of tax officials are also limited or none and those corruptive practices have negatively affected the amount of tax the revenue office could mobilize. Finally, the study uncovered that the present tax audit practice does not reduce tax evasion and other irregularities in our region and that the awareness of taxpayers of tax audit per se doesn’t make the tax payers render a satisfactory tax return. We also found that the tax administrative structure lacks autonomy and there is the inadequacy of skilled and competent employees in the tax administration.
Contribution/ Originality
This study contributes to the existing literature by investigating the relationship among tax revenue mobilization of the recent political instability, the level of corruption, the present tax audit practice, the level of autonomy of the tax authority and competence of revenue collectors in Ethiopia, specifically, in Amhara region.

The Mediating Effect of Financial Self-Efficacy on the Financial Literacy-Behavior Relationship: A Case of Generation Y Professionals

Pages: 120-133
Find References

Finding References


The Mediating Effect of Financial Self-Efficacy on the Financial Literacy-Behavior Relationship: A Case of Generation Y Professionals

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.120.133

Dipendra Singh , Albert A. Barreda , Yoshimasa Kageyama , Nripendra Singh

Export to    BibTeX   |   EndNote   |   RIS


Dipendra Singh , Albert A. Barreda , Yoshimasa Kageyama , Nripendra Singh (2019). The Mediating Effect of Financial Self-Efficacy on the Financial Literacy-Behavior Relationship: A Case of Generation Y Professionals. The Economics and Finance Letters, 6(2): 120-133. DOI: 10.18488/journal.29.2019.62.120.133
A comprehensive financial literacy questionnaire surveyed prospective psychological constructs as antecedents (financial literacy, economic perception, financial self-confidence, financial behavior, and personal financial performance) of applying financial self-efficacy in a large sample of working students in the hospitality and tourism industry. It is expected that financial literacy and economic perception are key antecedents of financial self-efficacy, which in turns may influence financial behaviors and personal financial performance in shaping a working student’s future skills for designing effective financial plans. For this purpose, the structural equations model was empirically tested. Moreover, the mediating indirect effects of financial self-efficacy in the relationships between financial literacy and economic environment on financial behavior and financial performance were tested through a two-phase methodological analysis. This study contributes to the literature by investigating the effects of financial self-efficacy, financial literacy and economic perception on personal financial behavior. The significance of the contribution is to propose and examine empirically a theory-based model of financial self-efficacy and financial behavior-performance in a service context among Generation Yers.
Contribution/ Originality
The financial efficacy model presented is applicable to different contexts, while the significant power of economic perception and financial knowledge shapes the formation of an adequate financial behavior and performance. This research not only tests the direct relationship of the constructs but also test the mediating power of financial self-efficacy.

Exploring the Asymmetric Linkage between Commodity Prices and Fiscal Performance in Nigeria

Pages: 134-148
Find References

Finding References


Exploring the Asymmetric Linkage between Commodity Prices and Fiscal Performance in Nigeria

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.134.148

Opeoluwa Adeniyi Adeosun , Fisayo Fagbemi

Export to    BibTeX   |   EndNote   |   RIS

Agénor, P.R., 2016. Optimal fiscal management of commodity price shocks. Journal of Development Economics, 122: 183–196.Available at: https://doi.org/10.1016/j.jdeveco.2016.05.005.

Anayiotos, G. and H. Toroyan, 2009. Institutional factors and financial sector development: Evidence from Sub-Saharan Africa, IMF Working Paper No WP/09/258.

Araujo, J.D., B.G. Li, M. Poplawski-Ribeiro and L.-F. Zanna, 2016. Current account norms in natural resource rich and capital scarce economies. Journal of Development Economics, 120: 144-156.Available at: https://doi.org/10.1016/j.jdeveco.2015.10.005.

Arezki, R. and M. Brückner, 2010. International commodity price shocks, democracy, and external debt (No. 10-53). International Monetary Fund.

Arreaza, A., B.E. Sorensen and O. Yosha, 1999. Consumption smoothing through fiscal policy in OECD and EU countries. In: Poterba, J.M., von Hagen, J. (Eds.), Fiscal Institutions and Fiscal Performance. University of Chicago Press, Chicago IL, pp: 59–80.

Badinger, H. and E. Nindl, 2014. Globalisation and corruption, revisited. The World Economy, 37(10): 1424-1440.Available at: https://doi.org/10.1111/twec.12156.

Barro, R.J., 1979. On the determination of the public debt. Journal of Political Economy, 87(5): 940-971.

Beegle, K., R.H. Dehejia, R. Gatti and S. Sofya Krutikova, 2008. The consequences of child labor: Evidence from longitudinal data in rural Tanzania. Policy Research Working Paper No. 4677, World Bank, Washington, DC.

Berg, A., R. Portillo, S.-C.S. Yang and L.-F. Zanna, 2013. Public investment in resource-abundant developing countries. IMF Economic Review, 61(1): 92-129.Available at: https://doi.org/10.1057/imfer.2013.1.

Borensztein, E. and C.M. Reinhart, 1994. The macroeconomic determinants of commodity prices. Staff Papers, 41(2): 236-261.Available at: https://doi.org/10.2307/3867508.

Bruckner, M. and A. Ciccone, 2010. International commodity price shocks, growth, and the outbreak of Civil War in Sub-Saharan Africa. The Economic Journal, 120(544): 519-534.Available at: https://doi.org/10.1111/j.1468-0297.2010.02353.x.

Bry, G. and C. Boschan, 1971. Cyclical analysis of time series: Selected procedures and computer programs. New York.

Cashin, P., C.J. McDermott and A. Scott, 2002. Booms and slumps in world commodity prices. Journal of Development Economics, 69(1): 277-296.Available at: https://doi.org/10.1016/s0304-3878(02)00062-7.

Cespedes, L.F. and A. Velesco, 2013. Was this time different?: Fiscal policy in commodity republics. Journal of Development Economics, 106(2014): 92-106.Available at: http://dx.doi.org/10.1016/j.jdeveco.2013.07.012.

Cuddington, J., 1989. Commodity export booms in developing countries. The World Bank Research Observer, 4(2): 143-165.Available at: https://doi.org/10.1093/wbro/4.2.143.

El Anshasy, A.A. and M.-S. Katsaiti, 2013. Natural resources and fiscal performance: Does good governance matter? Journal of Macroeconomics, 37: 285-298.Available at: https://doi.org/10.1016/j.jmacro.2013.05.006.

Erbil, N., 2011. Is fiscal policy procyclical in developing oil-producing countries? IMF Working Paper No 171.

Gavin, M., R. Hausmann, R. Perotti and E. Talvi, 1996. . Managing fiscal policy in Latin America. OCE Working Paper No 326. Office of the Chief Economist, Inter-American Development Bank, Washington, D.C.

Hodler, R., 2006. The curse of natural resources in fractionalized countries. European Economic Review, 50(6): 1367-1386.Available at: https://doi.org/10.1016/j.euroecorev.2005.05.004.

Ibrahim, M.H., 2015. Oil and food prices in Malaysia: A nonlinear ARDL analysis. Agricultural and Food Economics, 3(1): 1-14.Available at: https://doi.org/10.1186/s40100-014-0020-3.

Jensen, R., 2000. Agricultural volatility and investments in children. American Economic Review, 90(2): 399-404.Available at: https://doi.org/10.1257/aer.90.2.399.

Kaminsky, G., 2010. Terms of trade shocks and fiscal cycles. NBER Working Paper, No 15780.

Kumah, F.Y. and J.M. Matovu, 2007. Commodity price shocks and the odds on fiscal performance: A structural vector autoregression approach. IMF Staff Papers, 54(1): 91-112.Available at: https://doi.org/10.1057/palgrave.imfsp.9450001.

Labys, W.C. and A. Maizels, 1993. Commodity price fluctuations and macroeconomic adjustments in the developed economies. Journal of Policy Modeling, 15(3): 335-352.Available at: https://doi.org/10.1016/0161-8938(93)90037-q.

Lane, P.R., 2003. The cyclical behaviour of fiscal policy: Evidence from the OECD. Journal of Public Economics, 87(12): 2661-2675.Available at: https://doi.org/10.1016/s0047-2727(02)00075-0.

Makin, A., 2013. Commodity prices and the macroeconomy: An extended dependent economy approach. Journal of Asian Economics, 24: 80-88.Available at: http://dx.doi.org/10.1016/j.asieco.2012.10.001.

Medas, P. and D. Zakharova, 2009. A primeron fiscal analysis in oil-producing countries. IMF Working Paper, 2009(56): 1-47.Available at: http://dx.doi.org/10.5089/9781451872033.001.

Medina, J.P. and C. Soto, 2016. Commodity prices and fiscal policy in a commodity exporting economy. Economic Modelling, 59: 335-351.Available at: https://doi.org/10.1016/j.econmod.2016.08.002.

Medina, L., 2010. The dynamic effects of commodity prices on fiscal performance in Latin America. IMF Working Paper, WP/10/192:1-28. Available from https://www.imf.org/external/pubs/ft/wp/2010/wp10192.pdf.

Nashashibi, K. and S. Bazzoni, 1994. Exchange rate strategies and fiscal performance in sub-Saharan Africa. Staff Papers, 41(1): 76-122.Available at: https://doi.org/10.2307/3867486.

Nziramasanga, M.T. and C. Obidegwu, 1981. Primary commodity price fluctuations and developing countries: an econometric model of copper and Zambia. Journal of Development Economics, 9(1): 89-119.Available at: https://doi.org/10.1016/0304-3878(81)90006-7.

Pesaran, M. and Y. Shin, 1999. An autoregressive distributed lag modelling approach to cointegration analysis. In: Storm S (Ed) Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Chapter 11. Cambridge University Press, Cambridge.

Pesaran, M.H., Y. Shin and R.J. Smith, 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3): 289-326.Available at: https://doi.org/10.1002/jae.616.

Proshare, 2018. Driving effective fiscal spending in Nigeria as a part of fiscal consolidation. Proshare Economy Webpage. Available from https://www.proshareng.com/news/Driving-Effective-Fiscal-Spending-In-Nig/Driving-Effective-Fiscal-Spending-In-Nig/41413.

Rautava, J., 2004. The role of oil prices and the real exchange rate in Russia's economy—a cointegration approach. Journal of comparative economics, 32(2): 315-327.Available at: https://doi.org/10.1016/s0147-5967(04)00021-6.

Schady, N.R., 2004. Do macroeconomic crises always slow human capital accumulation? The World Bank Economic Review, 18(2): 131-154.Available at: https://doi.org/10.1093/wber/lhh036.

Shin, Y., B. Yu and M. Greenwood-Nimmo, 2011. Modelling asymmetric cointegration and dynamic multiplier in a nonlinear ARDL framework, Mimeo.

Sinnott, E., 2009. Commodity prices and fiscal policy in Latin America and the Caribbean. World Bank Group. First draft:1-40.September 2009.

Spatafora, N. and I. Samake, 2012. Commodity price shocks and fiscal outcomes. IMF Working Paper, WP/12/112:1-47. Available from http://econpapers.repec.org/RePEc:imf:imfwpa:12/112.

Stein, E., E. Talvi and A. Gristani, 1999. Institutional arrangements and fiscal performance: The Latin American experience. In: Poterba, J.M., von Hagen, J. (Eds.), Fiscal Institutions and Fiscal Performance. University of Chicago Press, Chicago IL, pp: 103–13.

Talvi, E. and C.A. Vegh, 2005. Tax base variability and procyclical fiscal policy in developing countries. Journal of Development Economics, 78(1): 156-190.Available at: https://doi.org/10.1016/j.jdeveco.2004.07.002.

Tornell, A. and P.R. Lane, 1999. The voracity effect. American Economic Review, 89(1): 22-46.Available at: https://doi.org/10.1257/aer.89.1.22.

UNCTAD, 2017. Commodities and development report 2017: Commodity markets, economic growth and development. New York and Geneva: United Nations Publication

Van der Ploeg, F. and S. Poelhekke, 2009. Volatility and the natural resource curse. Oxford Economic Papers, 61: 727–760.

Zettelmeyer, J. and I.V. Hollar, 2008. Fiscal positions in Latin America: Have they really improved? IMF Working Paper, WP/08/137:1-30. May 2008.

Opeoluwa Adeniyi Adeosun , Fisayo Fagbemi (2019). Exploring the Asymmetric Linkage between Commodity Prices and Fiscal Performance in Nigeria. The Economics and Finance Letters, 6(2): 134-148. DOI: 10.18488/journal.29.2019.62.134.148
The paper examines the asymmetric relationship between commodity prices and fiscal performance in Nigeria between 1984 and 2017 using the non-linear autoregressive distributed lag (NARDL) cointegration technique. In the analysis, the existence of a long-run cointegration relationship between the oil prices, cocoa prices and fiscal outcome is confirmed as well as the asymmetric impact of commodity prices. The study shows that changes in oil prices have a substantial influence on both debt (% of GDP) and external debt stocks. It is demonstrated that since Nigeria’s fiscal operation is largely financed by the proceeds from commodity exports, especially crude oil, in the long run, unanticipated rise or decline in oil prices could have significant effect on public debt levels in the country. Further evidence reveals that an increase in cocoa prices positively and strongly enhances debt (% of GDP), but with no evidence of such effect on external debt stocks, indicating that an increase in cocoa price may not result to a large reduction in external debt stocks. In sum, the study asserts that there is a host of potential significant impacts associated with primary commodity prices (cocoa) on fiscal policy design and economic development in both long and short run. Hence, the study posits that to cushion the effect of commodity price fluctuations, it is crucial to launch several initiatives that would enhance the diversification of the economy. This can be better achieved through the provision of financial incentives and strong regulatory framework for the development of agricultural sector.
Contribution/ Originality
This study contributes to the existing literature by examining empirically possible asymmetry in the nexus between commodity prices and fiscal outcomes in the context of Nigeria.

Analysis of Effect of Profitability, Capital, Risk Financing, the Sharia Supervisory Board and Capabilities Zakat in Islamic Perspective with Circular Approach Causastion on Islamic Banks in Indonesia

Pages: 149-158
Find References

Finding References


Analysis of Effect of Profitability, Capital, Risk Financing, the Sharia Supervisory Board and Capabilities Zakat in Islamic Perspective with Circular Approach Causastion on Islamic Banks in Indonesia

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.149.158

Raja Ria Yusnita , Yuzwar Z. Basri , Tatik Mariyanti , Zulhelmy . , Willy Arafah

Export to    BibTeX   |   EndNote   |   RIS

Abdullah, F.M., 2005. Fundamentals of financial management, print fifth. 2nd Edn., Malang: Publishing Muhammadiyah University.

Achmad, T. and K.K. Willyanto, 2003. Analysis of financial ratios as indicators in predicting the potential bankruptcy of banking in Indonesia. Economic and Business Media, 15(1): 54-75.

Ahmed, A.A.A., 2012. Accounting in Islamic perspective: A timely opportunity challenge. ASA University Review, 6(2): 11–30.

Al-Manaseer, M., R.M. Al-Hindawi, M.A. Al-Dahiyat and I.I. Sartawi, 2012. The impact of corporate governance on the performance of Jordanian banks. European Journal of Scientific Research, 67(3): 349-359.

Alam, C.M. and S.H. Sofyan, 2008. Interrelationship between Zakat, Islamic bank and the economy: A theoretical exploration. Managerial Finance, 34(9): 610-617.Available at: 10.1108/03074350810890967.

Ali, M., 2006. Risk management - banking strategy and business world facing the challenges of business globalization. Jakarta: Rajawali Press.

Almilia, L.S. and W. Herdinigtyas, 2006. CAMEL ratio analysis of prediction of problematic conditions in banking institutions in the period 2000-2002. Accounting and Financial Journal, 7(2): 131-147.

Amirah and T.B. Raharjo, 2014. Effects of alms fund allocation on financial performance of Islamic banking. National Seminar and Call For Paper.

Antonio, M.S., 2001. Sharia bank from theory to practice. Jakarta: Gema Insani Press.

Aulian, F., 2016. The influence of financial performance and Sharia supervisory board on disclosure of corporate social responsibility for Sharia editions. Essay. Semarang: Faculty of Economics and Business, Diponegoro University.

Bank Indoneisa, 2004b. Members of Shariah of advisory council of Islamic bank. June. Directoriate of Islamic Banking.

Budi, R., 2009. Basics of stock fundamental analysis of company financial statements. Gajah Mada University Press Publisher.

Buyung, N.A., 2009. Analysis of the effect of NPL, CAR, LDR, and BOPO on bank profitability (Comparison of Go Public Banks and Non Go Public Commercial Banks in Indonesia for the Period of 2005-2007). Thesis. Diponegoro University Semarang Master of Management Study Program Muammar, A.N., 2010. Analysis of the Effects of Financial Performance on Zakat Ability at Bank Syariah Mandiri and Mega Syariah Bank. Thesis of the Walisongo State Islamic Institute. pp: 5.

Choudhury, M., 2011. A probabilistic model of learning fields. The Journal of Muamalat and Islamic Finance Research, 7(1).

Choudhury, M.A., 1998. Why cannot neoclassicism explain resource allocation and development in the Islamic political economy?. In Studies in Islamic Science and Polity. London: Palgrave Macmillan. pp: 114-134.

Chtourou, S.M., J. Bedard and L. Courteau, 2001. Corporate governance and earnings management. Working Paper. Quebec City, Canada: Universite Laval.

Dewi, A.M. and S.M. Ade, 2017. Analysis of company size influence, capital Adequacy ratio (CAR), non performing financing (NPF), Return On Asset (ROA), Financing Deposit Ratio (FDR) on Disclosure of Corporate Social Responsibility (CSR) of Sharia Commercial Banks in Indonesia Period 2012-2015 Human Falah, 4(1).

Dipika, N.A., 2014. Effects of good corporate governanc, company size, and profitability on Islamic social reporting disclosures: Case study on Islamic banking in Indonesia period 2010-2012. Essay. Yogyakarta: Faculty of Sharia and Law of the State Islamic University of Sunan Kalijaga Yogyakarta.

DSN MUI, 2000. DSN Fatwa association: DSN Decree No. 03 of 2000, concerning implementation guidelines for determination of members of the Sharia supervisory board in Islamic Financial Institutions. 2nd Edn., Jakarta: PT. Intermasa, 2003.

Evandini, C. and D. Darsono, 2014. Factors influencing the disclosure of corporate social responsibility in manufacturing companies listed on the IDX. Diponegoro Journal of Accounting, 3(3): 1-11.

Filzah, A.N., 2016. Influence analysis of CAR, ROA, ROE, NPF, FDR, NIM, and BOPO against payment of Alms in Islamic commercial Banks. Essay. Syari'ah Faculty of Bandung Islamic University.

Firmansyah, I. and A.S. Rusydiana, 2013. Effect of profitability on Zakat expenditure on Islamic commercial banks in Indonesia with company size as moderating variables. Liquidity, 2(2): 110-116.

Hafidhuddin, D., 2008. The power of zakat comparative study of zakat management in Southeast Asia. Islamic University of Negri Malang in Collaboration with the Center for Zakat Study and Endowments "El-Zawa".

Hameed, S., A. Wirma, B.A. Rrazi, M.N. Bin Mohamed Nor and S. Pramono, 2004. Alternative disclosure and performance for IslamicBank’s. Proceeding of The Second Conference on Administrative Science: Meeting The Challenges of The Globalization Age. Dahran, Saud Arabia.

Haniffa, R. and M. Hudaib, 2010. Islamic finance: From sacred intentions to secular goals? Journal of Islamic Accounting and Business Research, 1(2): 85-91.Available at: https://doi.org/10.1108/17590811011086697.

Harahap, S.S., 2002. Fixed assets accounting. Jakarta: Bumi Aksara.

Harahap, S.S., 2008. Critical analysis of financial statements. Jakarta: Raja Grafindo Persada.

Hermawan, A., 2009. Business research. Jakarta: PT. Grasindo.

Ifhan, S.A., 2010. Sharia economy. Jakarta: PT Gramedia Main Library.

Istiani, F., 2015. Effect of bank size, profitability, liquidity, and leverage on disclosure of Islamic social reporting (Empirical Study of Sharia Commercial Banks in Indonesia in 2011-2014). Essay. Syarif Hidayatullah UIN.

Kasmir, 2004. Banks and other financial institutions. 6th Edn., Jakarta: PT. Raja Grafindo Persada.

Khoirudin, A., 2013. Corporate governance and disclosure of Islamic social reporting in Islamic banking in Indonesia. Accounting Analysis Journal, 2(2): 227-232.

Khoirul, A.I.S., 2000. Thesis: Analysis of the effect of financial performance on Zakat ability at Islamic financial institutions. Master of Management Study Programs at Diponegoro University, Semarang.

Muammar, A.N., 2010. Analysis of the effect of financial performance on Zakat ability at Bank Syariah Mandiri and mega Syariah bank. Thesis of the Walisongo State Islamic Institute. pp: 5.

Mudrajad, K., 2002. Suhardjono, management of banking theory and applications. Yogyakarta: UGM Faculty of Economics.

Mufraini, M.A., 2006. Zakat management accounting: Communicating awareness and building networks. Kencana, Jakarta.

Obaidullah, M., 2016. Revisiting estimation methods of business Zakat and related tax incentives. Journal of Islamic Accounting and Business Research, 7(4): 349-364.Available at: https://doi.org/10.1108/JIABR-10-2014-0035.

Qardhawi, Y., 1999. State guidelines in the Islamic perspective. North Jakarta: Al-Kautsar Library.

Rahmanti, V.N., A.D. Mulawarman and A. Kamayanti, 2013. Shifting the stock concept paradigm towards flow concept: Net revenue sharing criticism on Mudharabah accounting. Review of Islamic Economy and Culture of Islamic Culture, 1(1): 8-22.

Sembiring, 2005. Corporate characteristics and disclosure of social responsibility: Empirical study on companies listed on the Jakarta stock exchange. Paper Presented at the National Accounting Seminar, Solo.

Siamat, D., 2005. Financial management monetary and banking policy. Jakarta: Faculty of Economics, University of Indonesia.

Siamat, D., 2008. Management of financial institutions monetary and banking policies. Jakarta: Intermedia.

Sidik, I. and Reskino, 2016. Effect of Zakat and ICSR on reputation and performance. National Accounting XIX Symposium, Lampung, 2016.

Sinungan, M.D., 2000. Bank fund management. Jakarta: PT Budi Aksara.

Susilo, D.K.K., 2000. Efficiency performance in commercial banks. Paper in Proceeding PESAT (Psychology, Economics, Literature, Architecture, and Civil) Auditorium of the Gunadarma Campus Date 21-22 August 2000. Jakarta. Taiwan, 2010. Banking Management Concepts, Techniques, and Applications. Yogyakarta: UPP STIM YKPN, 2.

Sutojo, 2008. Modern financial management (modern financial modern). Jakarta: Damar Mulia Pustaka.

Taswan, 2010. Banking management concepts, techniques, and applications. Yogyakarta: UPP STIM YKPN.

Wahyudi, D., 2015. Empirical analysis of the effects of corporate social responsibility (CRS) activities on tax avoidance in Indonesia. Journal: Indonesian Widyaiswara Association (IWI), Banten.

Widyanto, E.A., 2012. Analysis of bank soundness and financial performance using the CAMEL method. Eksis Journal, 8(2): 2168-2357.

Winarsih and S. Sigit, 2011. Factors affecting profit growth in Sharia Banks in Indonesia. Journal of Educational Sciences, 18(31): 1-17.

Zaitun, S., 2001. Thesis, analysis of the effect of profitability ratio on Zakat at PT. Bank Muamalat Indonesia. Master of Management Study Program at Diponegoro University, Semarang.

Raja Ria Yusnita , Yuzwar Z. Basri , Tatik Mariyanti , Zulhelmy . , Willy Arafah (2019). Analysis of Effect of Profitability, Capital, Risk Financing, the Sharia Supervisory Board and Capabilities Zakat in Islamic Perspective with Circular Approach Causastion on Islamic Banks in Indonesia. The Economics and Finance Letters, 6(2): 149-158. DOI: 10.18488/journal.29.2019.62.149.158
This study aimed to analyze the effect of profitability, capital, financing risks, the ability of Sharia supervisory boards and zakat from an Islamic perspective in the circular causation approach, on Sharia banks in Indonesia. This study used a methodology to integrate the TSR of interaction, integration, and evolustion (IIE) to produce factors that affect the ability of zakat and the factors that affect the profitability of Indonesian Islamic banks. The study used the purposive sampling method with a sample of five Islamic banks from 2014 until 2017. This study uses Two Stage Least Square (2SLS) analysis to solve the problem with the Eviews program. The results demonstrated that the ability of zakat can be influenced by profitability, risk financing and capital while the Sharia supervisory board does not have a significant effect on the zakat capability. Profitability may be affected by the ability of zakat, risk financing and capital but not the Sharia supervisory board. The implications show that there is a simultaneous relationship between the ability of zakat and profitability. We recommend that Islamic banks that adhere to Islamic principles should not be afraid to issue zakat as the tithe does not diminish but increases wealth.
Contribution/ Originality
This study used Two Stage Least Square (2SLS) analysis to solve the problem with the Eviews program. This study created a new formula for the interaction, integration and evolution (IIE) process resulting from the Tawhidi String Relation (TSR) calculation. This study found no reciprocal relationship between zakat capability and profitability. This paper contributes to the first logical analysis that the traffic zakat Islamic banks can be influenced by profitability, the risks of financing and the Sharia supervisory board. Profitability may be affected by the ability of zakat, risk financing, and Sharia supervisory board. Capital has no effect on the ability of zakat and profitability. The results show that Islamic banks should adhere to Islamic principles and not be afraid to issue zakat as the tithe does not diminish but increases wealth.

Incidence of Short Term Private Capital Outflow: Empirical Analysis in Nigeria

Pages: 159-169
Find References

Finding References


Incidence of Short Term Private Capital Outflow: Empirical Analysis in Nigeria

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.159.169

Raji, Rahman Olanrewaju

Export to    BibTeX   |   EndNote   |   RIS

Ajayi, S.I., 1992. An economic analysis of capital flight from Nigeria. Policy Research Working Papers, Country Operations. World Bank WPS 993 A.

Alam, I. and R. Quazi, 2003. Determinants of capital flight: An econometric case study of Bangladesh. International Review of Applied Economics, 17(1): 85-103.Available at: https://doi.org/10.1080/713673164.

Ayadi, F.S., 2008. Econometric analysis of capital flight in developing countries: A study of Nigeria. Paper Presented at the 8th Global Conference on Business and  economy Florence Italy October 18th – 19th.

Box, G.E.P. and G.M. Jenkins, 1970. Time series analysis forecasting and control. San Francisco, CA, USA: Holden-Day.

Boyce, J., 1992. The revolving door external debt and capital flight; A Philippine case study.  World Development, 20(3): 335-349.Available at: https://doi.org/10.1016/0305-750x(92)90028-t.

Boyce, J.K. and L. Ndikumana, 2001. Public debts and private assets: Explaining capital flight from Sub- Saharan  African countries. World Development, 31(1): 107–130.

Chipalkatti, N. and M. Rishi, 2001. External debt and capital flight in the Indian economy. Oxford Development Studies, 29(1): 31-44.Available at: https://doi.org/10.1080/13600810124596.

Collier, P., A. Hoeffler and C. Pattillo, 2001. Flight capital as a portfolio choice. World Bank Economic Review, 15(1): 55-80.Available at: https://doi.org/10.1093/wber/15.1.55.

Cuddington, J.T., 1986. Capital flight: Estimates, issues, and explanations. Princeton, NJ: International Finance Section, Department of Economics, Princeton University, 58.

David, K.G. and I.K. Ampah, 2018. Macroeconomic volatility and capital flights in Sub-Saharan Africa a dynamic panel estimation of some selected HIPC countries. Mediterranean Journal of Social Sciences, 9(5): 165-176.Available at: https://doi.org/10.2478/mjss-2018-0148.

Eryar, D., 2005. Capital flight from Brazil (1981 -2000). In G. Epstein (Ed.), Capital flight and capital controls in developing countries. Edward Elgar Spring.

Forson, R., K.C. Obeng and W. Brafu-Insaidoo, 2017. Determinants of capital flight in Ghana. Journal of Business and Enterprise Development, 7: 151 - 180.

Hermes, N. and R. Lensink, 2000. The magnitudes and determinants of capital flight: The case of  Six Sub-Saharan countries. Gronigen the Netherlands: University of Gronigen

Lawanson, A.O., 2007. An econometric analysis of capital flight from Nigeria: A portfolio approach. Africa Economic Research Consortium, Nairobi. Paper No 166.

Le, Q.V. and P.J. Zak, 2006. Political risk and capital flight. Journal of International Money and Finance, 25(2): 308-329.Available at: https://doi.org/10.1016/j.jimonfin.2005.11.001.

Levin, A., C.F. Lin and C.S.J. Chu, 2000. Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108(1): 1–24.

Levišauskait, K., 2010. Investment analysis and portfolio management. Development and  approbation of applied courses. Kaunas Lithuania: Vytauta Magnus University.

Liew, S.-L., S.A. Mansor and C.-H. Puah, 2016. Macroeconomic determinants of capital flight: An empirical study in Malaysia. International Business Management, 10(13): 2526-2534.

Markowitz, H., 1952. Portfolio selection. The Journal of Finance, 7(1): 77-91.

Meade, J.E., 1951. The theory of international economic policy: Balance of payment. Oxford: Oxford University Press.

Moreno-Vozmediano, R., K. Nadiminti, S. Venugopal, A.B. Alonso-Conde, H. Gibbins and R. Buyya, 2007. Portfolio and investment risk analysis on global grids. Journal of Computer and System Sciences, 73(8): 1164-1175.Available at: https://doi.org/10.1016/j.jcss.2007.02.005.

Myles, G.D., 2003. Investment analysis. UK: Mcgraw Hill.

Ndikumana, L. and J.K. Boyce, 2003. Public debts and private assets: explaining capital flight from Sub-Saharan African countries. World Development, 31(1): 107-130.Available at: https://doi.org/10.1016/s0305-750x(02)00181-x.

Nyoni, T., 2000. Capital flight from Tanzania. International Monetary Fund, Working Paper.

Oluwaseyi, M.H., 2017. The capital flight from Nigeria: An empirical analysis. Journal of Indonesian Applied Economics, 7(2): 131-145.

Raheem, I.D., 2015. Re-examining the determinants of capital flight and the potential benefits of capital flight repatriation for SSA. African Journal of Business and Economic Research, 10(1): 55-94.

Reilly and Brown, 2012. Investment analysis and portfolio management. USA: South-Western Cengage learning.

Schlegel, S., N. Korn and G. Scheuermann, 2012. On the interpolation of data with normally distributed uncertainty for visualization. Visualization and Computer Graphics, 18(12): 2305–2314.Available at: https://doi.org/10.1109/tvcg.2012.249

Sheets, N., 1995. Capital flight from the countries in transition: Some theory and empirical evidence (No. 514). Board of Governors of the Federal Reserve System.

Victor, A., 2004. Capital flight and war. Centre for the Study of African Economies & Department of Economics, University of Oxford.

Raji, Rahman Olanrewaju (2019). Incidence of Short Term Private Capital Outflow: Empirical Analysis in Nigeria. The Economics and Finance Letters, 6(2): 159-169. DOI: 10.18488/journal.29.2019.62.159.169
Over the years, the rising uncertainty in macroeconomic policy environment coupled with the prevailing uncertain non-economic factors like political instability, corruption, poor governance, civic conflicts and property right is perceived to be having contributing factors on short term private capital outflow in Nigeria. The study investigated the incidence of short term private capital outflow in Nigeria where a combination of the push factors and portfolio risk theories were adopted in the study for the period 2013/March – 2018/May using the fully modified OLS technique. The long-run and short-run results show that uncertainty of macroeconomic policy environment such as inflation-price instability, real exchange rate volatility and lack of confidence on domestic stock market enhanced the increasing level of short term private capital outflow in Nigeria. The study recommends that authority should adopt more pro-growth policies that can ensure and maintain sound domestic macroeconomic policies to stem short term private capital outflow and that stock market authority should ensure accountability and transparency to strengthen the interest of domestic investors if they want to reduce the outflow of domestic capital.
Contribution/ Originality
This study contributes to the existing literature by distinguishing itself identifying the dimensions of the domestic uncertainty at the macroeconomic level on short term private capital outflow.

Determinants of Exchange Rate in Nigeria: A Comparison of the Official and Parallel Market Rates

Pages: 178-188
Find References

Finding References


Determinants of Exchange Rate in Nigeria: A Comparison of the Official and Parallel Market Rates

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.178.188

Yusuf Wasiu Akintunde , Oyegoke Ebunoluwa O , Gylych Jelilov , Haruna Timipre Mary

Export to    BibTeX   |   EndNote   |   RIS

Cassel, G., 1918. Abnornal deviations in international exchanges. The Economic Journal, 28(112): 413-415.Available at: https://doi.org/10.2307/2223329.

Chowdhury, M.B., 1999. The determinants real exchange rate: Theory and evidence from Papau, New Guinea. Asia Pacific School of Economics and Management Working Papers, SP99-2, Asia Pacific Press.

Dickey, D.A. and W.A. Fuller, 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4): 1057-1072.Available at: https://doi.org/10.2307/1912517.

Dornbusch, R., 1988. Purchasing power parity’, in the ‘new palgrave: A dictionary of  economics. New York: Stockton Press.

Enders, W., 1995. Applied econometrics time series. John Willey and Sons Inc.

Engle, R.F. and C.W. Granger, 1987. Co-integration and error correction: Representation, estimation and testing. Econometrical, 55(2): 251-276.Available at: https://doi.org/10.2307/1913236.

Faulkner, D. and K. Makrelor, 2008. Determinants of the equilibrium exchange rate for South Africa's manufacturing sector and implications for competitiveness. Being a Draft of a Working Paper of the National Treasury of South Africa. Available from http://www.treasury.gov.za.

Frankel, J.A., 1979. On the mark: A theory of floating exchange rates based on real interest differentials. The American Economic Review, 69(4): 610-622.Available at: https://doi.org/10.1016/s0304-3932(02)00102-2.

Jhingan, M.L., 2005. International economics. 5th Edn., Limited Delhi: Vrinda Publications (P).

Levich, R.M., 2001. The importance of emerging capital markets. Brookings-Wharton Papers on Financial Services, 2001(1): 1-45.Available at: 10.1353/pfs.2001.0011.

Lothian, J.R. and M.P. Taylor, 1996. Real exchange rate behavior: The recent float from the perspective of the past two centuries. Journal of Political Economy, 104(3): 488-509.Available at: https://doi.org/10.1086/262031.

MacDonald, R. and M.P. Taylor, 1994. The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk. Journal of International Money and Finance, 13(3): 276-290.Available at: https://doi.org/10.1016/0261-5606(94)90029-9.

Mordi, C.N.O., 2006. Challenges of exchange rate volatility in economic management in Nigeria. CBN Library, 30(3): 17-25.

Obioma, N.E., 2000. Elements of international economics. Lagos: Impresses Publishers.

Pindyck, R. and D. Rubinfeld, 1998. Econometric models and economic forecast. 4 Edn., Singapore: McGrw-Hill.

Rahman, M.N., 2016. Impact of foreign direct investment inflows on India’s balance of payment (BOP). Ph.D. Thesis (Unpublished), Department of Commerce, Aligarh Muslim University Aligarh 202002, India.

Rees, A., 2011. Money as a global phenomenon: An empirical analysis of global excess liquidity and its impact on global economies. National Economies and Central Banks. Josef Eul Verlag GmbH, Lohman-Kohl, 2011. Available from www.eul-verlag.de.

Udoye, R.A., 2009. Determinants of exchange rate, M.Sc. Dissertation (Unpublished), Department of Economics, University of Nigeria, Nsukka.

No any video found for this article.
Yusuf Wasiu Akintunde , Oyegoke Ebunoluwa O , Gylych Jelilov , Haruna Timipre Mary (2019). Determinants of Exchange Rate in Nigeria: A Comparison of the Official and Parallel Market Rates. The Economics and Finance Letters, 6(2): 178-188. DOI: 10.18488/journal.29.2019.62.178.188
The need to understand what drives exchange rates is now very crucial, an understanding of its determinants particularly in a developing nation like Nigeria would indeed aid in policy decisions of the sovereign monetary authorities. The study examines the determinants of exchange rate in Nigeria comparing the official exchange rates and the parallel market rates from the post SAP era of 1986 to 2017 using quarterly time series data. The potential determinants of the exchange rate was identified resting on existing literature viz ; GDP, inflation, interest rates, imports, oil exports, non-oil exports, and reserves. The time series properties were tested utilizing the Augmented Dickey-Fuller (ADF) unit roots test of stationarity, the variables were tested for co-integration and the Auto-regressive Distributed Lag Model (ARDL) was applied. The result suggests that GDP, inflation, interest rates non- oil exports, oil exports and reserves are the major determinants of official exchange rates in Nigeria, while inflation, Non-oil exports and GDP are the major determinants of alternate or parallel exchange rates.
Contribution/ Originality
The study contributes to the literature by examining the determinants of exchange rate in Nigeria comparing the official exchange rates and the parallel market rates from the post SAP era of 1986 to 2017 using quarterly time series data.

Can Small-Cap Active Funds Substantially Outperform the Market Over Time?

Pages: 189-202
Find References

Finding References


Can Small-Cap Active Funds Substantially Outperform the Market Over Time?

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.189.202

Higelin Brel HAPPI

Export to    BibTeX   |   EndNote   |   RIS

Ajayi, R.A., S. Mehdian and M.J. Perry, 2004. The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging Markets Finance and Trade, 40(4): 53-62.Available at: https://doi.org/10.1080/1540496x.2004.11052582.

Banz, R.W., 1981. The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1): 3-18.Available at: https://doi.org/10.1016/0304-405x(83)90031-4.

Bayar, A. and O.B. Kan, 2012. Day of the week effects: Recent evidence from nineteen stock markets. Central Bank Review, 2(2): 77-90.

Beaver, W.H. and S.G. Ryan, 2000. Biases and lags in book value and their effects on the ability of the book-to-market ratio to predict book return on equity. Journal of Accounting Research, 38(1): 127-148.Available at: https://doi.org/10.2307/2672925.

Berk, O.u., Cemal and S. Güven, 2003. Stock returns and the day-of-the-week effect in Istanbul Stock Exchange. Applied Economics, 35(8): 959-971.Available at: https://doi.org/10.1080/0003684032000050586.

Breituft, A.H., M. Boger, B. Carlenius and M.E. Johansen, 2016. A statistical analysis of the weekend effect in the 21st century- does size matter? Working paper. Available from http://schenk-hoppe.net/NHH/.

Brusa, J., P. Liu and C. Schulman, 2005. Weekend effect,‘reverse’weekend effect, and investor trading activities. Journal of Business Finance & Accounting, 32(7-8): 1495-1517.Available at: https://doi.org/10.1111/j.0306-686x.2005.00637.x.

Chan, K. and N.-F. Chen, 1991. Structural and return characteristics of small and large firms. The Journal of Finance, 46(4): 1467-1484.Available at: https://doi.org/10.2307/2328867.

Cinko, M. and E. Avci, 2011. Examining the day of the week effect in Istanbul Stock Exchange (ISE). International Business & Economics Research Journal, 8(11): 45-50.Available at: https://doi.org/10.19030/iber.v8i11.3184.

Cross, F., 1973. The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6): 67-69.Available at: https://doi.org/10.2469/faj.v29.n6.67.

Damodaran, A., 1989. The weekend effect in information releases: A study of earnings and dividend announcements. The Review of Financial Studies, 2(4): 607-623.Available at: https://www.jstor.org/stable/2962070.

Daniel, K. and S. Titman, 1997. Evidence on the characteristics of cross sectional variation in stock returns. The Journal of Finance, 52(1): 1-33.Available at: https://doi.org/10.1111/j.1540-6261.1997.tb03806.x.

De Bondt, W.F. and R.H. Thaler, 1989. Anomalies: A mean-reverting walk down wall street. Journal of Economic Perspectives, 3(1): 189-202.Available at: https://doi.org/10.1257/jep.3.1.189.

Dicle, M.F. and M.K. Hassan, 2007. Day of the week effect in Istanbul stock exchange. Scientific Journal of Administrative Development, 5: 1-27.

Elfakhani, S., L.J. Lockwood and T.S. Zaher, 1998. Small firm and value effects in the Canadian stock market. Journal of Financial Research, 21(3): 277-291.

Fama, E. and K. French, 1992. The cross-section of expected returns. Journal of Finance, 47: 427-446.

Fama, E.F., 1965. The behavior of stock-market prices. The Journal of Business, 38(1): 34-105.

Fama, E.F. and K.R. French, 1988a. Dividend yields and expected stock returns. Journal of Financial Economics, 22(1): 3-25.Available at: https://doi.org/10.1016/0304-405x(88)90020-7.

French, K.R., 1980. Stock returns and the weekend effect. Journal of Financial Economics, 8(1): 55-69.Available at: https://doi.org/10.1016/0304-405x(80)90021-5.

FTSE Russel Report, 2016. Getting defensive about the small-cap premium. Available from https://www.ftserussell.com/research/getting-defensive-about-small-cap-premium.

Gerry, G. and A. Perez, 2018a. Value investing and size effect in the South Korean stock market. International Journal of Financial Studies, 6(1): 1-25.Available at: https://doi.org/10.3390/ijfs6010031.

Gerry, G. and A. Perez, 2018b. Value and size effects in the stock market of the Philippines. International Journal of Financial Research, 9(2): 191-202.Available at: https://doi.org/10.5430/ijfr.v9n2p191.

Gibbons, R.M. and P. Hess, 1981. Day of the week effects and asset returns. The Journal of Business, 54(4): 579-596.Available at: https://doi.org/10.1086/296147.

Gregory, C.A., 2005. The active management premium in small-cap U.S. equities. The Journal of Portfolio Management, 31(3): 10-17.Available at: https://doi.org/10.3905/jpm.2005.500348.

Harris, L., 1986. A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1): 99-117.Available at: https://doi.org/10.1016/0304-405x(86)90044-9.

Harry, R., 1967. Statistical versus clinical prediction of the stock market. Unpublished Manuscript, CRSP, University of Chicago.

Haugen, A.R., 1995. The new finance: The case against efficient markets. Englewood Cliffs, N.J: Prentice Hall.

Heng-Hsing, H., 2015. Empirical investigation of the value effect in the large and small cap segments of the JSE: Evidence from the South African stock market. Investment Management and Financial Innovations, 12(4): 16-22.

Jeffrey, J., K. Donald and W. Randolph, 1989. Earnings yields, market values, and stock returns. The Journal of Finance, 44(1): 135-148.Available at: https://www.jstor.org/stable/2328279.

Jegadeesh, N. and S. Titman, 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1): 65-91.Available at: https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.

Jegadeesh, N. and S. Titman, 2001. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1): 65-91.Available at: https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.

Jensen, M.C., 1978. Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6(2/3): 95-101.Available at: https://doi.org/10.1016/0304-405x(78)90025-9.

Keim, D. and F.S. Robert, 1984. Size-related anomalies and stock return seasonality. Journal of Fiinancial Economics, 12(1): 13-32.

Lakonishok, J. and M. Levi, 1982. Weekend effects on stock returns: A note. The Journal of Finance, 37(3): 883-889.Available at: https://doi.org/10.1111/j.1540-6261.1982.tb02231.x.

Lakonishok, J., A. Shleifer and R. Vishny, 1994. Contrarian investment, extrapolation, and risk first. The Journal of Finance, 49(5): 1541-1578.Available at: https://doi.org/10.1111/j.1540-6261.1994.tb04772.x.

Lemmon, M. and E. Portniaguina, 2006. Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4): 1499-1529.Available at: https://doi.org/10.1093/rfs/hhj038.

Malcolm, B., L. Litov, J. Wachter and J. Wurgler, 2004. Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements. Journal of Financial and Quantitative Analysis, 45(5): 1111-1131.Available at: 10.2139/ssrn.570381.

Maulina, R. and F.N. Nuzula, 2018. Does investor sentiment affect large-cap and small-cap stock return? Journal Administrasi Bisnis, 59(1): 51-60.

Porter, D.R. and S. LeRoy, 1981. The present-value relation: Tests based on implied variance bounds. Econometrica, 49(3): 555-574.Available at: https://doi.org/10.2307/1911512.

Poterba, J. and L.H. Summers, 1988. Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22(1): 27-59.Available at: https://doi.org/10.1016/0304-405X(88)90021-9.

Ritter, J.R., 1988. The buying and selling behavior of individual investors at the turn of the year. The Journal of Finance, 43(3): 701-717.Available at: https://doi.org/10.2307/2328194.

Russell, 2000. Index quarterly analysis. Available from https://www.institutionalinvestor.com/images/416/Small_Cap_Perspectives.pdf.

Sharpe, W., 1994. The sharpe ratio. The Journal of Portfolio Management, 21(1): 49-58.Available at: 10.3905/jpm.1994.409501.

Wong, K. and H. Ho, 1986. The weekend effect on stock returns in Singapore. Hong Kong Journal of Business Management, 4(2): 31-50.

Xiao, B., 2016. Beta and size revisited: Evidence from the french stock market. International Journal of Financial Research, 7(5): 42-50.Available at: https://doi.org/10.5430/ijfr.v7n5p42.

Yves, L., S. Guillaume, C. Stefano, S. Emmanuel and B. Jean-Philippe, 2017. The size premium in equity markets: Where is the risk? Working paper. Available from http://www.researchgate.net/publication/318868425.

Zilca, S., 2017. Day-of-the-week returns and mood: An exterior template approach. Financial Innovation, 3(30): 1-21.Available at: https://doi.org/10.1186/s40854-017-0079-4.

No any video found for this article.
Higelin Brel HAPPI (2019). Can Small-Cap Active Funds Substantially Outperform the Market Over Time?. The Economics and Finance Letters, 6(2): 189-202. DOI: 10.18488/journal.29.2019.62.189.202
The Efficient Market Hypothesis (EMF) persist that active management is useless and that investors should rather adopt a passive investment strategy that is less expensive and less risky. However, several previous pieces of literature in the small-cap industry contrast this point of view. This paper investigates the risk and performance of small-cap equity funds in the USA markets over a ten-year period of 2009-2018. The study period is segmented into sub-investment horizons and the funds sampled are split by group of investment style. Our findings are twofold. Firstly, in contrary to the Efficiency Market Hypothesis (EMF) the size effect in small-stock markets could indeed be a proxy of outperformance for active managers. Given that, top performers are observed among active growth funds. Secondly, surprisingly the great majority of funds selected have managed to gradually generate a positive alpha meaning that active management is not always pointless. Therefore, 56.67% of the whole sample has delivered consecutive excess returns over the three investment horizons and each fund within each investment style has outperformed the market at least once. The two last observations support partially the Efficiency Market Hypothesis (EMF) in the way that not all active funds were able to generate a persistent abnormal return over the long term and that some active portfolio managers could be just lucky in picking up stocks.
Contribution/ Originality
The existing study explores the performance of small-cap funds either against their benchmark or between them but this study uses different investment horizons. This study contributes to the existing literature in the sense of findings that Long-term investors should prioritize value/growth funds, while short-investors should invest in value funds.

Exchange Rate Volatility, Foreign Exchange Market Intervention and Asymmetric Preferences

Pages: 203-209
Find References

Finding References


Exchange Rate Volatility, Foreign Exchange Market Intervention and Asymmetric Preferences

Search :
Google Scholor
Search :
Microsoft Academic Search
Cite

DOI: 10.18488/journal.29.2019.62.203.209

Helena Glebocki Keefe , Hedieh Shadmani

Export to    BibTeX   |   EndNote   |   RIS

Dijk, D.V., T. Teräsvirta and P.H. Franses, 2002. Smooth transition autoregressive models—a survey of recent developments. Econometric Reviews, 21(1): 1-47.Available at: https://doi.org/10.1081/etc-120008723.

Edwards, S., 2006. The relationship between exchange rates and inflation targeting revisited. National Bureau of Economic Research Working Paper Series: 1-45.Available at: https://doi.org/10.3386/w12163.

Enders, W., 2010. Applied econometric time series. 3rd Edn., USA: Wiley and Sons, Inc. pp: 407-478.

International Monetary Fund, 2016. Annual Report on Exchange Rate Arrangements and Exchange Restrictions. International Monetary Fund.

Jašová, M., R. Moessner and E. Takáts, 2016. Exchange rate pass-through: What has changed since the crisis? BIS Working Paper Series No. (583).

Keefe, H.G. and H. Shadmani, 2018. Foreign exchange market intervention and asymmetric preferences. Emerging Markets Review, 37: 148-163.Available at: https://doi.org/10.1016/j.ememar.2018.08.001.

Kocenda, E. and B. Varga, 2018. The impact of monetary strategies on inflation persistence. International Journal of Central Banking, 14(4): 229 ̶ 274.

Kremer, S., A. Bick and D. Nautz, 2013. Inflation and growth: New evidence from a dynamic panel threshold analysis. Empirical Economics, 44(2): 861-878.Available at: https://doi.org/10.1007/s00181-012-0553-9.

Luukkonen, R., P. Saikkonen and T. Teräsvirta, 1988. Testing linearity against smooth transition autoregressive models. Biometrika, 75(3): 491-499.Available at: https://doi.org/10.2307/2336599.

Mohanty, M., 2013. Market volatility and foreign exchange intervention in EMEs: What has changed? BIS Paper Series No. 73.

Mohanty, M. and M. Klau, 2004. Monetary policy rules in emerging market economies: Issues and evidence. Bank of International Settlements Working Paper Series No.149.

Ostry, J., A.R. Ghosh and M. Chamon, 2012. Two targets, two instruments: Monetary and exchange rate policies in emerging market economies. IMF Staff Discussion Papers No. (SDN/12/01).

Pontines, R., Victor and S. Ramkishen, 2011. Foreign exchange market intervention and reserve accumulation in emerging Asia: Is there evidence of fear of appreciation. Economics Letters, 111(3): 252-255.Available at: https://doi.org/10.1016/j.econlet.2011.01.022.

Reinhart, C. and K. Rogoff, 2002. The modern history of exchange rate arrangements: A reinterpretation. NBER Working Paper Series No. (8963).

Srinivasan, N., V. Mahambare and M. Ramachandran, 2009. Preference asymmetry and international reserve accretion in India. Applied Economics Letters, 16(15): 1543-1546.Available at: https://doi.org/10.1080/13504850701578942.

Surico, P., 2007. The fed's monetary policy rule and US inflation: The case of asymmetric preferences. Journal of Economic Dynamics and Control, 31(1): 305-324.Available at: https://doi.org/10.1016/j.jedc.2005.11.001.

No any video found for this article.
Helena Glebocki Keefe , Hedieh Shadmani (2019). Exchange Rate Volatility, Foreign Exchange Market Intervention and Asymmetric Preferences. The Economics and Finance Letters, 6(2): 203-209. DOI: 10.18488/journal.29.2019.62.203.209
Policymakers in emerging market economies intervene in currency markets to counter appreciation or depreciation pressure, while also responding to the degree of exchange rate volatility. This paper investigates whether the asymmetric response in terms of foreign exchange intervention depends on the degree of exchange rate volatility. Specifically, we estimate whether the response by policymakers to currency market conditions differs in above or below threshold levels of volatility. We use dynamic threshold panel analysis presented within an asymmetric policy reaction function to investigate the role of exchange rate volatility in foreign exchange intervention. We estimate the model using Generalized Method of Moments (GMM) with monthly data for 23 emerging market economies from 2000 to 2016. We find that the asymmetric aversion to appreciation only holds under below-threshold volatility scenarios, and that the majority of the time, policymakers are simply leaning against exchange rate movements to ensure stable exchange rate conditions. The results confirm that exchange rate volatility impacts the response of policymakers to exchange rate conditions.
Contribution/ Originality
This study assesses how exchange rate volatility impacts foreign exchange policy decisions in emerging and developing economies. We provide evidence that prior literature, which did not consider volatility, missed an important policy concern for central banks in these economies when analyzing the existence of asymmetric preference in foreign exchange intervention.