Distributional Characteristics And Stochastic Dominance versus Parametric Analysis In Testing Anomalies In The Emerging Market: Evidence From Jordan

Virtually all previous studies of seasonal variation in stock returns have used mean/variance analysis despite it being well documented that stock returns in developed and emerging markets are non-normally distributed. This paper details the distributional characteristics of emerging Amman financial market returns.  Further more, it uses stochastic dominance and parametric analyses to investigate the turn-of-the-year and the-week effects from 1978 to 2001.   Results indicate that returns of Amman financial market exhibit substantial deviation from normality.  And parametric analysis tests show there is January and week effects.  However, stochastic dominance results indicate that January and week effects are not exist in the AFM. This implies that the results of parametric analysis are being driven by violations of parametric assumptions

Adopting US-GAAP Or IASB Accounting Standards By The Arab Countries

This paper examines whether Arab countries have adopted the standards issued by the International Accounting Standards Board (lASB) or the US-GAAP.  The results of this study show that companies in the Arab world use different accounting rules and regulations for measurement, recognition, and disclosures of financial position and results of operation.  Consequently, comparability of the financial results of different companies in different countries in the Arab world is impaired.  We recommend adopting financial accounting standards issued by the IASB.  Our study shows that adopting IASB standards has a positive impact on the economic development of the Arab countries

Bank Lending Decisions Using Projections: A Case-study Approach

This paper, by emphasizing on the process and dynamics of bank corporate credit decisions, presents a description of an introductory case-study suitable for an undergraduate/MSc banking or business finance course.  The case exists in two parts and is designed for instructors to be able to use only those parts which they consider appropriate to their objectives and time considerations. In two or three seventy-five minute classes—depending on the parts of the case utilized and the time allowed for student interaction—instructors can have students explore the factors that influence the lending decision and focus on the interpretation of the mechanical process used in constructing projected financial statements for the identification of the actual borrowing needs of a specific company.

Empirical Testing Of Different Alternative Proxy Measures For Firm Size

This paper examines the relationship among total sales revenue, total assets, book value of equity, and market value of equity for different economic sectors and timeperiods.  Five statistical tools are used to examine the relationship among the different proxies of size of the firm for the period 1999-2002. Our study shows that the relationships among the four measures of the size of the firm are not the same for the different economic sectors and are not stable over time for each economic sector.  Our results suggest that the use of the four measures interchangeably as a proxy for the firm size may not be appropriate

Empirical Testing Of Random Walk Of Euro Exchange Rates: Evidence From The Emerging Markets

This paper utilizes the new non-parametric variance ratio tests based on signs and ranks to examine the random walk hypothesis of Euro exchange rates for 10 Middle Eastern and North African (MENA) currencies.  The results of the new- variance ratio tests reject the random walk hypothesis for all currencies except the Kuwaiti and the Emirate currencies.  Given the improved size and power properties of Wright’s (2000) ranks and signs tests, the results of the new variance ratio tests are robust to the results of the traditional LOMAC variance ratio tests.&nbsp

The impact of thin trading on day-of-the-week effect: Evidence from the United Arab Emirates

Purpose – The purpose of this study is to examine the impact of thin trading on the day-of-the-week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have stated that emerging markets are typically characterized by low liquidity, thin trading and possibly less well-informed investors with access to unreliable information and considerable volatility. It is well known that thin trading can affect the results of empirical studies on patterns of equity markets by introducing a serious bias into the results. Design/methodology/approach – This study applies a stochastic dominance approach to detect the day-of-the-week effect. The reason for utilizing this approach is that the parametric tests are not strictly appropriate for assets with non-normally distributed returns. In fact, stochastic dominance is a useful tool for making comparisons among distributions without relying on parametric assumptions. Findings – The findings indicate that there is day-of-the-week effect in published daily prices, while daily effect vanishes when data are corrected to remove any measurement bias arising from thin trading. The stochastic dominance results show that the day-of-the-week effect in the UAE equity markets is not present when we correct raw data for thin and infrequent trading. Originality/value – There has been no research in the literature testing the day-of-the-week effect on the emerging financial markets in the UAE. The study provides empirical evidence on their degree of market efficiency. If the day-of-the-week effect exists, this means that the Abu Dhabi Securities Markets and the Dubai Financial Markets are inefficient. These results will help investors to develop a good investment strategyBias, Emerging markets, Equity capital, Stochastic processes, Trading capital, United Arab Emirates

The generalized Fisher hypothesis in the Asian markets

This paper investigates the generalized Fisher hypothesis for nine equity markets in the Asian countries. It states that the real rates of return on common stocks and the expected inflation rate are independent and that nominal stock returns vary in a one-to-one correspondence with the expected inflation rate. The regression results indicate that stock returns in general are negatively correlated to both expected and unexpected inflation, and that common stocks provide a poor hedge against inflation. However, the results of the VAR model indicate the lack of a unidirectional causality between stock returns and inflation. It also fails to find a consistent negative response neither of inflation to shocks in stock returns nor of stock returns to shocks in inflation in all countries. It appears that the generalized Fisher hypothesis in the Asian markets is as puzzling as in the developed markets.Asian studies, Equity capital, Equity theory, Inflation, Variance, Vectors