Index

Citation (2018), "Index", Kensinger, J.W. (Ed.) Global Tensions in Financial Markets (Research in Finance, Vol. 34), Emerald Publishing Limited, Bingley, pp. 229-236. https://doi.org/10.1108/S0196-382120170000034012 Publisher: Emerald Publishing Limited Copyright © 2018 Emerald Publishing Limited INDEX abnormal trading volume analysis, 44, 49, 52–53 academic impact, defined, 218 academic institutions, 218 Action Aid International Vietnam (AAV), 179 adjusted beta, 8 sample statistics of, 9 alpha formula, 185 alternate hypothesis, 30, 31 ANOVA (analysis of variance), 10–11 three-factor, 7, 10, 14 Arbitrage Pricing Theory, 221 asset returns (Ri), 5–7 ATMs, 120, 121–122, 129–130 P-value for, 132 autocorrelation test, 28–29 bancarization, 143, 148 Bank Indonesia, 24 banking companies, Peru, 147–148 banks, 92–94, 118. see also Egyptian banks ATM services, 120, 121, 129–130 Egyptian. see Egyptian banks European, 98–99 nature and mode of operations, 95 performance. see performance, of banks private vs. public, 99 profit, FI impact on, 119–120 U.S., 97–98 BAPEPAM (capital market regulatory body), 23 behavioural biases, 189 behavioural finance, 187–188 Bessembinder and Lemmon model (B/L model), 60 results from, 62–69 betas adjusted, 8, 9 calculations of, 7 consumption, 8–9 historical (market), 8, 9 portfolio returns and, 3 regression of, 18 BI rate, 24, 37 Black-Scholes, 221 formula, 81 block-trade approach, 78 Bolsa de Valores de Lima (BVL), 144, 162, 163 Breeden, Douglas, 8 Breusch-Pagan test, 128 business and investment banks, 95 CAAR. see cumulative average abnormal return (CAAR) Caja Municipal de Huancayo (CMAC), 153–161 analysis of management, 155 anchoring of, 159–160 certificates of deposit, 160–161 composition and structure, 156 evolution of balances, 156 liquidity, 157–159 patrimony, 157 profitability, 157 Capital Asset Pricing Model (CAPM), 8–9, 220 assumptions, 4 overview of, 2–3 capital investment decisions, 219 Capitalism and Freedom (Friedman), 188 Capital Market Law (CML), 95 capital markets, 20, 23 information of instruments in, 163, 164 transactions, 220 capital structure decisions, 219 capital value risk, 191 CAPM. see Capital Asset Pricing Model (CAPM) CBE. see Central Bank of Egypt (CBE) CCAPM. see Consumption Capital Asset Pricing Model (CCAPM) Center for Research in Security Prices (CRSP) database, 46 Central Bank of Egypt (CBE), 92, 93–94, 95, 96–97, 109, 111 Central Bank of Jordan (CBJ), 118–119 certificates of deposit, CMAC Huancayo, 160–161 chief executive officer (CEO), 206 average age of, 213 date of joining, 209 outsider vs. insider, 206, 207–208 salary of, 211 selection of, 212 tenure of, 207, 209–210, 211–213 citations, 224 CML. see Capital Market Law (CML) Coefficient of Multiple Determination (R2), 33, 36 commercial banks, 95 domestic, 106–107 Commodity Price Index, 24 constant returns to scale (CRS), 106, 171, 172, 174 consumption beta, 8–9 sample statistics of, 9 Consumption Capital Asset Pricing Model (CCAPM), 8–9 consumption growth rate, 8 corporate voting rights. see voting rights Cost of Living Index, 24 cost push inflation, 24 CPI, 24 credit cards, 120 effect on banks’ performance, 122 cumulative average abnormal return (CAAR), 48, 52 data and methodology asset returns, 5–7 for banks’ performance study, 124–126 CAPM, 4–9 Dogs of the Dow portfolio, 46–53 market return, 4–5 Midcontinent Independent System Operator, 61 quantitative research. see quantitative research risk-free rate, 5 voting rights, 80–81 data envelopment analysis (DEA), 93, 94, 98, 99, 100–101, 106, 171–172 day-ahead prices for electricity, 58–59, 61, 67–68 DEA. see data envelopment analysis (DEA) debit cards, 121–122 demand pull inflation, 24 dependent variables, 28, 30, 36 descriptive statistics, 33–34, 82–84 Dodd-Frank Act, 2010, 190 Dogs of the Dow (DOD) portfolio, 41–54 annual additions and deletions, 47 annual changes in, 44, 46 data and methodology, 46–49 framework of, 42–43 literature and hypothesis developemnt, 44–45 overview of, 42–44 performance of, 43 “dog stocks,”, 42 domestic commercial banks, 106–107 double voting rights, 76 real options and, 79–80 d-test, 29 dual-class shares, 78, 81 economic downturn, 186 impact on society, 187 efficient market theory, 188 Egyptian banks, 92–94 financial reforms and, 94–97 impact of global financial crisis on, 111 literature on efficiency and productivity change, 97–103 portfolios of, 97 privatisation of, 95–96 productivity of, 92–93 electricity exchange, 58, 60, 65–69 electricity forward premia, 59–60 entity for the development of Small and medium enterprises (EDPYME), 149–150 European banks, 98–99 event study method, 46, 50, 51 exchange rate, 25, 31–32, 143–145 expected returns, 2, 7, 9 exponential generalized autoregressive conditional heteroscedastic (EGARCH) model, 46, 48 ex-post forward premium, 59–60 Fama–MacBeth, 7, 12 Federal Energy Regulatory Committee (FERC), 58 FERC. see Federal Energy Regulatory Committee (FERC) FI. see financial inclusion (FI) finance research, 218, 219 financial crisis, 184, 187 financial inclusion (FI) indicators of, 119, 125 inpact on banks’ performance, 119–120 in Jordan, 118–119 meaning of, 118 and SMEs, 123 financial institutions, 118, 186, 189, 190, 200 financial indicators of, 146 financial leasing, 198 financial markets, criticisms of, 190–191 financial property framework, 186–187 Financial reforms, and Egyptian banks, 94–97 fixed-fee insurance, 193 Florange Act, 2014, 76, 78, 81, 82 FMAE. see forecast mean absolute errors (FMAE) forecast, 7, 9, 15–16 forecast mean absolute errors (FMAE), 10, 17–18 forward premiums for electricity, 59–60 hourly, 62 forward prices for electricity, 59–60 France, voting rights in. see voting rights Friedman, Milton, 188 F-test, 30–31, 34–35 GBM. see geometric Brownian motion (GBM) GDP. see gross domestic product (GDP) GDP growth rate, 25–26, 32, 37–38 geometric Brownian motion (GBM), 84, 85 Glejser test, 30 global financial crisis (GFC), 111, 112 Goldman Sachs, 198 government policies, 186 Great Depression, 186 gross domestic product (GDP), 141 growth rate, 25–26, 32, 37–38 gross income, 119, 125 Group 20 (G20), 119, 125 Hausman test, 132, 138 hedging housing value risk, 191–199 hedging instruments, 185, 189 public incentives for developing, 199–200 HEFI. see home equity fractional interest (HEFI) heteroscedasticity test, 29–30, 128, 138 historical (market) beta, 8 sample statistics of, 9 home equity fractional interest (HEFI), 192 home equity value insurance, 193 H-test, 29 hypothesis, 26, 209–211 developemnt of, 44–45 null, 30, 31–32, 45 price pressure, 44, 45, 46, 48–49 hypothesis testing F-test, 30–31 T-test, 31–33 IDX. see Indonesia Stock Exchange (IDX) IMF. see International Monetary Fund (IMF) impact, 218–219 examples of, 219–220 measurement of, 225–226 impact ratio, 225–226 independent variables, 28, 33, 34, 35 Indonesia capital markets, 20, 23 monetary condition, instability of, 20 Indonesia Stock Exchange (IDX), 20–22, 23 inflation, 141–142 inflation rate, 24 innovation in mortgage agreements, 192 need in property risk management for households, 186–191 services of banks, 122, 130 insider CEO average age of, 213 outsider CEO vs., 206, 207–208 tenure of, 209–210, 211–213 insurance, home equity value, 193 interest rates, 24 inter-hub trading profits, 70–71 International Monetary Fund (IMF), 95 Intertemporal Capital Asset Pricing Model (ICAPM), 221 Italy, voting rights in. see voting rights Jordan financial inclusion in, 118–119 financial institutions in, 118 performance of banks in, 117–133 SMEs in, 130–131 unemployment in, 119 journal rating system, 222–223 lease-purchase agreements, 198–199 leverage cycle, 191 Lima, stock change of, 162 linear regression, 82, 83–84 LMP. see locational marginal price (LMP) loan-to-value analysis, 185 locational marginal price (LMP), 58–59, 61 loyalty voting rights, 79, 80 Lucas, Robert, 8 macroeconomics, 22–23 exchange rate, 143–145 gross domestic product, 141, 142 inflation, 141–142 small and medium entities. see small and medium enterprises (SMEs) trade balance, 142–143 Malmquist productivity indices (MPI), 93, 94, 99, 101 total factor productivity, 103–111 market efficiency, 220–222 market portfolio, 4 market return (Rm), 4–5 sample statistics of, 9 methodology. see data and methodology MFS. see microfinance services (MFS) microfinance, 140 advantages of, 140 disadvantages of, 140–141 Microfinance Information Exchange (MIX), 147 banking companies, 147–148 market share, 150–152 non-banking companies, 149–150 microfinance institutions (MFIs) efficiency, in Vietnam, 170 empirical study on, 176–178 literature review of, 170–174 measurement of, 171–174 output/input ratio, 172, 173–174 and poverty reduction, 176–181 scores, average value of, 174–176 statistics descriptions of determinants, 175 microfinance services (MFS), 170–171 Microfinancial Reporting Standard (MFRS), 171 Midcontinent Independent System Operator (MISO), 58–59 and Bessembinder and Lemmon model, 60, 61, 62–71 data description and methodology, 61 MISO. see Midcontinent Independent System Operator (MISO) MIX. see Microfinance Information Exchange (MIX) Monte-Carlo simulation, 84 mortgage agreements, innovation in, 192 MPI. see Malmquist productivity indices (MPI) multicollinearity test, 28, 127, 137 municipal savings banks, 150, 151, 153–161 net interest margin (NIM), 112 NIETA variable, 112 non-banking companies, 149–150 noninformation-motivated demand shifts, 44 non-performing loans (NPL), 94, 96 normality test, 27 NPL. see non-performing loans (NPL) null hypothesis, 30, 31–32, 45 ordinary leased square (OLS) regression, 126, 128, 129 results of, 131 outsider CEO dependent variable, 214 insider CEO vs., 206, 207–208 tenure of, 209–210, 211–213 turnover, 210 Oxfam, 179 pass-through insurance, 193 Paulson & Co, 197 performance, of banks ATMs and, 121 data and methodology to study, 124–126 descriptive statistics, 126–133 effect of credit cards on, 122 impact of FI on, 119–120 indicators of, 119 literature on, review of, 121–124 measurements of, 122 Peru financial system, 146–147 macroeconomic indicators, 141–145 Microfinance Information Exchange. see Microfinance Information Exchange (MIX) Peruvian financial system, 146–147 PLAM. see price level-adjusted mortgages (PLAM) portfolio returns and beta, 3 sample statistics of, 9 portfolios, 6–7, 195 Dogs of the Dow. see Dogs of the Dow portfolio market, 4 replicating, 6 returns. see portfolio returns poverty reduction, in Vietnam, 176–181 challenges in, 180 price index, 24 price level-adjusted mortgages (PLAM), 192 price pressure hypothesis, 44, 45, 46, 48–49 private banks, 99 privatisation, of Egyptian banks, 95–96 Producer Price Index, 24 profit, of banks FI impact on, 119–120 property finance, 184 property finance, owner-occupied, 191–199 public banks, 99 P-value, for ATMs, 132 quality research, 224 quantitative research, 27 autocorrelation test, 28–29 heteroscedasticity test, 29–30, 128, 138 multicollinearity test, 28, 127, 137 normality test, 27 population and sample, 27 random effect estimation results, 132–133 real estate cycle, 186–187 real estate derivatives, 193–194 cases of, 197–198 entry barriers to, 194–195 hedging values of property abroad, 196 property sector swaps, 196 single specific property swap, 195 structured real estate index notes, 196 synthetic options, 197 traded index futures, 196–197 real estate downturns, hedging against, 195 Real Estate Investment Trusts (REITs), 189 real options, and double voting rights, 79–80 regional transmission operators (RTOs), 58 regression of betas, 18 linear, 82, 83–84 second-stage, 113 replicating portfolios, 6 return on asset (ROA), 102, 119, 125, 126, 130 lagged, 132 model variables, 128 return on equity (ROE), 102, 112 returns, 2 expected, 2, 7, 9 market, 4–5 risk and, 4 risk, and return, 4 risk-free rate (Rf), 5 risk management, 189 analysis of, 185 household property, 189–190 property, for households, 186–191 ROA. see return on asset (ROA) ROE. see return on equity (ROE) RTOs. see regional transmission operators (RTOs) rural savings banks, 151–152 second-stage regression, 113 security market line (SML), 2 services, banks, 120 SFA. see stochastic frontier analysis (SFA) Sharpe ratio, 221 single specific property swap, 195 small and medium enterprises (SMEs), 118, 120 credits, 120, 130 deposits, 132 financial inclusion and, 123 in Jordan, 130 SML. see security market line (SML) Social Sciences Citation Index, 224 S&P500, 5 specialised banks, 95 spot prices for electricity, 59–60 stewardship theory, 207 stochastic frontier analysis (SFA), 171 stock price, 22, 26 analysis of standard deviations of, 85 evolution, 84–85 volatility, 21, 23 subprime mortgage crisis, 186–187 synthetic options, 197 tenure, of CEO, 207, 209–210, 211–213 TFP. see total factor productivity (TFP) 30a program, 179 three-factor ANOVA, 7, 10, 14 Toronto 35 Index, 43 total factor productivity (TFP), 93, 100 determinants of, 111–113 growth, 109–111 Malmquist index, 103–111 trade balance, 142–143 traded future, 196–197 T-test, 10, 31–33, 35–36 2-limit tobit model, 175–176 U.S. banks, 97–98 value of tolerance, 28 variable returns to scale (VRS), 106, 171, 172, 174 variables dependent, 28, 30, 36 independent, 28, 33, 34, 35 variance inflation factor (VIF), 28, 127 Vietnam, microfinance institutions in. see microfinance institutions (MFIs) VIF. see variance inflation factor (VIF) virtual bidding, 61 voting rights, 75–85 acquisition cost of, 80 descriptive statistics of, 82–84 double, 76 empirical analysis, 82–85 loyalty, 79, 80 methodology, 80–81 valuation of, 76–78 VRS. see variable returns to scale (VRS) Wilshire 5000 index, 4–5 World Bank, 95, 179–180 Book Chapters Prelims A Practitioner’s Guide to the CAPM: An Empirical Study The Influence of Macroeconomic Factors on Stock Price: The Case of Real Estate and Property Companies Existence of Price Pressures Surrounding Annual Changes in the “Dogs of the Dow” Portfolio An Examination of Prices on the MISO Exchange The Value of Corporate Voting Rights: Valuation of Loyalty Voting Rights and Empirical Evidence from France and Italy Determinants of the Productivity Change for the Banking Sector in Egypt Does Financial Inclusion Improve the Banks’ Performance? Evidence from Jordan MicroFinance Sector in Emerging Capital Markets: Peruvian Financial Entity CMAC (Caja Municipal de Huancayo) Evaluating the Efficiency of Microfinance Institutions in Vietnam and the Impact of This Efficiency on Poverty Reduction Humanizing Finance by Hedging Property Values Insider or Outsider CEO: Choosing Wisely in Different Circumstances The Impact of Academic Research in Finance (Impact Ratio) Index

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