International Research Journal of Finance and Economics
 Issue 168
 July, 2018
 
Analysis of Organizational Commitment, Job Satisfaction and Individual Harmony Levels of the Jobholders from Public and Private Sector
7-16
Cetin Ayhan Seyfullahogullari

Abstract:
It can be said that human capital which is formed by the jobholders raises its importance gradually under mentioned tough competition conditions. Nowadays the businesses using human resources in a very efficient and effective way do distinguish. Jobholders, that are getting the sense of organizational climate in their work place and feeling secure and having high individual harmony, feel organizational commitment and job satisfaction at a high level. In this research, the variance of organizational commitment, individual harmony and job satisfaction level of the jobholders from different group of ages, having different education backgrounds and different level of incomes, sweating in public or private sector based on their specifications and the relational analysis between these features have been studied by using parametric and nonparametric statistical techniques. As a consequence of the findings from the individual participated in the research, it’s been identified that no meaningful relationship between organizational commitment and gender but meaningful relationship between individual harmony and ages.
Keywords: Organizational Commitment, Job Satisfaction and Individual Harmony.
JEL Classification:
 
 
An Evaluation on the Efficiency of Taiwan Banking Operational Risk Management: Theoretical Consideration and Proposition Development
17-32
Hsiang-Hsi Liu and Mauricio Cortés

Abstract:
The aim of this study is to demonstrate that operational risk managerial systems implementation accordingly with Basel parameters improve business efficiency in terms of performance, soundness and resiliency, creating competitive advantage and adding value to the banks. Based on our proposition development and by doing it, this study helps to encourage Taiwan banks, for example, to develop their operational risk management systems (ORMS), positively influencing banks’ efficiency and safety. It will not only improve the long-term performance of the companies, but also by reducing the probability of catastrophic events it will contribute to a better economic environment, enlarging opportunities to risk managers as well as for financial institutions, including the expose of competitive advantage and potential synergies that can be seized for M&A and market concentration. In order to fulfill this general objective, some specific objectives need to be attached.
Keywords: Operational Risk, Risk Management, Business Efficiency, Taiwan Banking Industry, Proposition Development.
JEL Classification:
 
 
The Determinants of Cost Efficiency of Islamic Banks Using SFA Approach
33-47
Zouhair Hadhek, Manel Frifita and Arafet Hamida

Abstract:
This study aims to analyze empirically the determinants of the cost efficiency of Islamic banks by econometric modeling using panel data over the period 2005-2014. The sample is composed of 37 Islamic banks. To achieve this, we have used an extension of the stochastic boundary approach called "SFA". We compare efficiency between Islamic banks during our study period. In addition, we examine bank-specific variables and external variables that can explain sources of inefficiency and these reduce the cost efficiency scores over a given number of variables. The results show that only the annual inflation rate, the rate of return on assets and population density have a positive effect on cost efficiency. In addition, GDP per capita has a negative impact on cost efficiency, with a positive relationship between credit risk and cost efficiency. While, there is a significant negative relationship between the size of Islamic banks and its cost efficiency. Similarly, the operating cost ratio has a positive effect on cost efficiency. Finally, the equity ratio does not affect cost efficiency.
Keywords: Islamic banks, SFA, Cost effeciency, Determinants of cost efficiency.
JEL Classification:
 
 
Construction of Pde Black - Scholes with Jump-Diffusion Models
48-67
Sellamuthu Prabakaran

Abstract:
Jump diffusion is a stochastic process that involves jumps and diffusion. It has important applications in magnetic reconnection, coronal mass ejections, condensed matter physics, in Pattern theory and computational vision and in option pricing. In option pricing, a jump-diffusion model is a form of mixture model, mixing a jump process and a diffusion process. Robert C. Merton as an extension of jump models has introduced jump-diffusion models. Due to their computational tractability, the special case of a basic affine jump diffusion is popular for some credit risk and short-rate models. Jump diffusion processes have been used in modern finance to capture discontinuous behavior in asset pricing. The jump-diffusion process was constructed to have ergodic properties so that after initially flowing away from its initial condition it would generate samples from the posterior probability model. The main objective of this study is to Construction of Black - Scholes PDE with Jump-Diffusion Models. The main goal of this study is fourfold: 1) First, we begin our approach to brief contemporary for the Stochastic models for option pricing- Jump-diffusion model. 2) Next we extent this approach to introduce the fundamental derivations of the Black Scholes model for the pricing of a European call option. 3) Then we reinterpret the Black Scholes in the formalism of jump process also consider the problem of pricing a European call when the underlying asset is jump process. 4) Finally, we construct the mathematical model for Black – Scholes PDE equation with Jump diffusion process. In addition, this paper ends with conclusion.
Keywords: Stochastic Process, Brownian motion, Option Pricing, Black – Scholes Model, Partial Differential Equation and Jump-Diffusion Models.
JEL Classification:
 
 
Applying Crisis Warning Conditions of Technical Analysis to Predict Stock Market Bubbles in China, Hong Kong and Taiwan
68-75
Szu-Lang Liao, Chung-Hsiang Tung and Mian-Mian Tsai

Abstract:
In this paper we will apply the technical analysis technique to investigate the accuracy of conventional crisis warning conditions in technical analysis. The crisis warning conditions are 3 measures including RSI, MACD and Envelope deviation and they are applied to the stock market data of China, Taiwan and Hong Kong from 1995 through 2016. Our empirical results show that firstly, there are 36, 18, and 6 bubbles in the respective stock markets. Secondly, the drop in stock price greater than 10% with probability greater than 50%, needs six months for China market, two months for Taiwan market, while it only need one month for Hong Kong market. These evidences show that the number of bubbles is higher for China market and is fewer for Hong Kong market, and the impact duration is longer for China market. The reasons for the bubble warning and impact duration may be due to the composition of the three markets’ investors: there are more retail investors in China market while there are more institutional investors in Hong Kong market.
Keywords: Stock Market Bubbles, Technical Analysis, Deviation, Moving Average Line.
JEL Classification: G15
 
 
Predictability of Currency Crises in Emerging-Country
76-91
Arafet Hamida

Abstract:
The purpose of this article is to develop an early warning system that can anticipate currency crises in emerging countries. Based on the teachings of the theoretical and empirical literature, this work aims at constructing an alert system to determine the main triggers of the latest currency crises through a multivariate logit model. Our study covers 16 emerging countries on monthly data between January 1980 and December 2012
Keywords: currency crises, emergent economies, early warning system, logit model.
JEL Classification: C25; F31; G01
 
 
The Role of Manager Characteristic to Improve Performance Through Corporate Governance Implementation
92-103
Mohamad Nur Utomo, Nunung Nurhasanah and Maximus Leonardo Taolin

Abstract:
This research is aimed to investigate empirically the effect of manager characteristic on performance through mediation of corporate governance implementation. Cooperatives which are still active in Tarakan City are determined as research sample. Result of research is explained as follows. Manager characteristic and corporate governance implementation are positively influencing performance of the cooperative. Corporate governance implementation has been positively affected by manager characteristic. Also, corporate governance implementation is the mediation factor behind the effect of manager characteristic on improving performance. Finally, it is recommended that the management of the cooperative shall improve the understanding and competency on corporate governance implementation to obtain the successful performance.
Keywords: Manager Characteristic, Corporate Governance Implementation, Performance, Welfare of The Members, Cooperatives.
JEL Classification: G30
 
 
How Corporate Governance Affect Bank Profitability? Evidence from Palestine
104-113
Khaled Zidan

Abstract:
This study aimed to find out the impact of corporate governance on bank’s profitability and how major Palestinian commercial banks performed their corporate governance concepts and practices from 2012 till 2017. Multiple regression models were used to do the empirical analysis and; develop two econometric models each model consisted of one dependent variable and four independent variables. In the first model Return On Assets( ROA) was defined as profitability indicator and Return On Equity (ROE) in the second model, while four aspects of corporate governance namely; board size (BS), the Directors' Ownership of Equity (DEQUITY), the leadership structure (CEO duality (CEOD) and the Director's educational degree (BDEG) used as independent variables. The findings and analysis revealed that the smaller board size , the more the combined leadership structure and the higher the Director's educational degree lead to better ROA , while results show insignificant relationship between directors’ ownership of equity and ROA. Also the results revealed that the more the combined leadership structure, the lower directors’ ownership of equity the more ROE, board size and Director's educational degree have insignificant effect on ROE.
Keywords: Corporate Governance, Banking Sector, Banking Profitability.
JEL Classification: