Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets

The presence of the day-of-the-week effect has been documented in finance literature. This paper investigates the presence of the day-of-the-week effect and return volatility in ten East-Asian financial markets in the post Asian financial crisis period, after 1998. A set of parametric and non-parametric tests is used to test the equality of mean returns and standard deviations of returns. The results indicate the presence of the day-of-the-week effect and insignificant daily returns volatility in most markets. Some of these results reinforce some previously documented evidence and others are at variance with published results for the same markets. This effect, unlike in devloped markets, is still persistent

A Comparative Analysis of the Determinants of the United States and U.K. Banks’ Profitability

This study investigates the determinants of the profitability of U.K. banks and compares them with already established and published determinants of the profitability of U.S. banks. Employing quarterly data, this paper further examines the historical and recent trends for all U.K. banks from 1996 to 2019 in the relationship between return and assets (ROA) and other bank internal (or endogenous) profitability contributors such as net interest margin (NIM), loan loss reserves, and external (or exogenous macroeconomic variables, such as the 30-year average mortgage rate, Gross Domestic Product (GDP) economic growth rate, unemployment rate, interest rate, and inflation rate by using the Generalized Method of Moments (GMM) estimator technique. The results show evidence of divergence in profit performance between U.S. and U.K. banks. Plausible explanations are put forward for these anomalous findings

Recent Trends in Global FDI Flows: Implications for the 21st Century

This paper examines recent global trends of foreign direct investment (FDI) flows and the benefits derivable by the recipient countries. Some of The developed countries of the West, Japan and China are the greatest recipients of FDI flows.There has been dramatic increase in FDI flows to developing countries in Asia, Latin America and the transition countries in Europe. In general developing countries are still unable to attract significant FDI.Africa’s share of the FDI flows though slightly on the increase has been abysmally low.The identifiable reasons for this trend were highlighted.To achieve a more balance flow of FDI in the 21st century, a concerted effort should be made by international organizations, leading world government, multinational enterprises and governments of developing economies, through dialogue and negotiations to encourage multinational enterprises to diversify their investments across developing economies otherwise marginalized by globalization and liberalization

N ECONOMETRIC INVESTIGATION OF THE DAY-OF-THE-WEEK EFFECT AND RETURNS VOLATILITY IN FIFTEEN ASIA PACIFIC FINANCIAL MARKETS (1998-2003)

Even though the presence of the-day-of-the-week effect has been documented in finance literature, its presence in the aftermath of a financial crisis has not been explored. This paper investigates the presence of day-of-the-week effect and returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most of Asia Pacific Financial Markets. The results of the Levene’s test show that in none of the fifteen Asian Pacific countries can the homoskedasticity hypothesis be rejected. Some of these findings differ from previously documented evidence on the APFM.returns, volatility, anomalies, day-of-the-week effect, kurtosis

Порівняльна оцінка показників продуктивності малих, середніх та великих комерційних банків США

This paper examines the comparative performance of small U.S. commercial banks ($100million to$300million) in assets with medium size ($1billion-$5billion) and large (greater than $5billion) for the period of 1997-2002. In view of the banking system deregulation and bank consolidation in the United States, it is necessary to constantly evaluate the performance of the various categories of banks to document the possible impact of these policy measures. We use profit efficiency (PROFEFF), return-on-assets (ROA), interest income, non interest income and loan loss reserve as criteria for this comparison. We find that between 1997 and 1999, small banks were more profit efficient (PROFEFF) than large banks but less than medium- size banks. Since 1999, the PROFEFF of all sizes of banks has been on the decline but the PROFEFF of small banks declined more than that of large and medium-size banks. The ROA for all the banks under evaluation declined between 2000 and 2002. Small banks suffered the largest decline. An examination of the trend in net interest income as a percentage of average assets (NII) for the three groups of banks reveals that small banks’ NII is greater than that of large banks for the entire period. And in contrast, small banks have the lowest level of non-interest income as a percentage of average assets (NONII). It is apparent that the small banks are vulnerable to increased competition offered by deregulation, technological advances, e-commerce and negative economic situation such as the current recession. These results suggest the survival of small U.S. commercial banks is in jeopardy. Since these observations result from the present policy of consolidation and bank system deregulation there is need for the Reserve Banks revisit of this policy stance.У статті досліджується продуктивність малих (з загальною сумою активів 100-300 млн. дол. США), середніх (1-5 млрд. дол. США) та великих (загальна сума активів перевищує 5 млрд. дол. США) комерційних банків США за період з 1997 по 2002 рік. Для порі- вняння показників різних банків у статті використано такі факто- ри: рентабельність (PROFFEF), доход на загальну суму активів (ROA), процентний доход, непроцентний доход та резерв для по- криття збитків від кредитів. Виявлено, що між 1997 та 1999 рока- ми малі банки були більш рентабельними, ніж великі, але мен- шою мірою, ніж середні установи. З 1999 року PROFFEF банків усіх категорій пішла на спад, причому слід зазначити, що рівень рентабельності малих банків знизився більше, ніж рівень великих та середніх банківських установ. Рівень ROA для всіх банків, по- казники яких оцінювались, знизився у 2000-2002 рр. Малі банки зазнали найбільшого рівня зниження. При перевірці тенденцій чистого процентного доходу у процентному співвідношенні до середньої суми активів (NII) для трьох груп банків виявлено, що NII малих банків є більшим, ніж NII великих банків протягом усього періоду. На відміну від цього, малі банки мають найниж- чий рівень непроцентного доходу у процентному співвідношенні до середнього об’єму активів (NONII). Очевидно, що малі банки є вразливими до підвищеної конкуренції, викликаної дерегуляцією, досягненнями в області технологій, розвитком е-комерції та нега- тивною економічною ситуацією, такою як частковий спад ділової активності, що має місце на сьогодні. Ці результати наводять на думку про те, що функціонування і навіть “виживання” малих комерційних банків США знаходиться під загрозою