International Research Journal of Finance and Economics
 Issue 160
 March, 2017
Studying the Role of Banking Operations in Monetary Transmission Mechanism in Iran
Ali Fathani and Mohammad Taher

In this study the role of banking operations (bank loans and deposits) in the monetary transmission mechanism of Iran investigated during 1981-2011. For this purpose the bank loans and deposits functions were estimated using independent variables such as: liquidity growth rate (LGR) (as the monetary policy index), inflation rate (INF), industrial production index (IPI) and real exchange rate (RER), and Auto-Regressive Distributed Lag (ARDL) approach. The results of long-run ARDL model for bank loans and deposits showed that LGR has the direct and weak effect on bank loans and deposits in long- run and short- run. Therefore, the existence of weak credit channel will proved during the considered period. In addition, in long-run IPI and RER have the direct effect on bank loans and deposits, and INF has no effect on bank loans and indirect effect on bank deposits.
Keywords: Bank loans, bank deposits, monetary policy, auto-regressive distributed lag approach (ARDL), Iran.
JEL Classification: G21
Investigation of Economic Determinants of Corruption in Egypt under Mubarak Regime

This paper investigates the economic determinants of corruption in Egypt under Mubarak regime. The Autoregressive Distributed Lag (ARDL) approach which yields precise estimates of long run parameter and valid t-statistics even in the presence of endogenous variables is used. The main findings show that globalization and the government intervention in the economy influences positively on corruption level. Whereas education level and FDI have inverse effects on corruption level in the short run. Furthermore, in the long run, only education level and government intervention record significant effects on the level of corruption at 5% and 10% level of significance. Accordingly, combating corruption in Egypt should be done through eliminating the government intervention, increase education (quantity and quality), improve the investment climate to attract more foreign investments, and finally integrate more in the international economy.
Keywords: Corruption, Economic Determinants, ARDL Model, Mubarak Regime, government intervention, FDI, Egypt.
JEL Classification: D73, H11, P16
Measuring and Assessing the Quality of Information on the Annual Reports: The Case of Seafood’s Companies Listed on the Vietnam Stock Market
Nguyen Thanh Cuong and Do Thi Ly

The high quality of information on the annual reports is of key importance for a large number of users, as it influences the quality of the decisions made. Based on the study of Braam and Beest (2013) and adjust some of the items asked for matching research context in Vietnam, this study was used the annual reports of 20 seafood’s companies listed on the Vietnam stock market in 2013 to assess the quality of information. Research results have shown that the quality of information must first appropriate and honest then to improve the quality of information, the information will have to show the ability to compare and understand. To improve the quality of information presented in the annual report to increase the information provided meets the needs of the users of information and also to identify the factors that affect the quality of information.
Keywords: qualitative characteristics, quality of information, annual reports, seafood’s companies, decision usefulness measurement.
JEL Classification: D82, D83, L15
Estimation of Pass-Through of the exchange rate and inflation in Morocco
Abdelhafid Boghiri and Hamza FARIS

This work is to analyze theoretically and to examine the implications of exchange rate changes on inflation by describing the nature and the intensity of the relationship between the nominal effective exchange rate and the price index for consumption in the Moroccan economy. And assess the coefficient of pass-through of exchange rate to domestic prices and provide some elements explaining its evolution over time. By using samples which differ in terms of amplitude and characteristics. Thus, a theoretical and empirical verification of the lower degree of transmission of the exchange rate to inflation has been made in the context of our economy through an analysis of the stylized facts of the main factors contributing to this phenomenon.
Keywords: inflation, exchange rate, Pass-through.
JEL Classification: E31, F31, P24, P44,
Banks performance and Capital structure: Comparative study between Islamic banks and conventional banks
Maysa’a Munir Milhem

The aim of this study is to examine the impact of capital structure towards performance of Islamic and conventional banks in Jordan during the period 2010-2015. For this study ratio analysis and regression analysis are used to test the research hypothesis.
Performance is measured by return on equity (ROE), return of asset (ROA) and earning per share (EPS). Capital structure measured by Total debt to total equity (TD/TE), Total debt to total assets (TD/TA), and total equity to total assets (TE/TA), Size and Age are control variables. The results show that capital structure affects financial performance of the Jordanian Islamic banks significantly, while there is no statistically significant effect of capital structure on Jordanian conventional banks performance.
Keywords: Capital Structure, Performance, Islamic banks, Conventional banks, Jordan.
JEL Classification: G21; G32
Effect of Ownership Structure on Firm Stock Return Performance: Evidence from the Egyptian Stock Market
Amal S. ElGhouty and Ahmed A. El-Masry

We investigate the impact of institutional ownership and ownership concentration on firm stock return performance using panel data model. Our main ownership measures include; percentage of institutional ownership held by different institutions in a firm and percentage of a firm’s outstanding stocks held by the largest three block holders. We find that there is no significant relationship between either institutional ownership or ownership concentration and both ex post and ex ante return. Also, we find that there is negative and significant relationship between institutional ownership represented by some institutions and ex post risk, while the relationship is negative and significant only between institutional ownership by employee associations and ex ante risk. Ownership concentration has no effect on ex post risk but it has a positive and significant effect on ex ante risk. The results are consistent with some past studies from the literature.
Keywords: Ownership, stock return, performance, ex post risk, ex ante risk, Egypt
JEL Classification: G32
Oil Price Volatility Post 2008 Recession and Impact of World Growth and Exchange Rate on It
Somyanshu Arora

Oil price volatility has always been a topic of debate, with the steep fall in oil prices since mid-2014 especially taking the focus back on oil prices and their volatility. Given this backdrop, this study explores oil price volatility during the Pre-2008 and Post-2008 periods while taking into account two stylized properties namely, ‘clustering’ and ‘leverage effect’. While modelling volatility, we take two exogenous variables: World GDP growth rate (with Industrial Production taken as its proxy) and USD/Euro Exchange Rate. It is intuitively expected that these two variables can affect volatility in the oil market. Also, we observed that the combined effect of these two variables has been neglected so far in the literature. Using GARCH and EGARCH models, and monthly log return data of West Texas Intermediate over a tenure of nearly sixteen years, our analysis shows that persistence exists in the Pre-2008 period whereas there is a lot more spikiness during the post-2008 period. Our analysis also shows that both the exogenous factors become significant in their impact on volatility during the Post-2008 period while remaining insignificant during the Pre-2008 period. This can be a potential policy issue for governments around the world.
Keywords: Oil Prices, US Dollar, Recession, GARCH, Exchange rate.
JEL Classification: C22, D51, Q02
Does the Characteristic- Pricing Model Or the Factor- Pricing Model Explain Size and Book-To-Market Effects on the Tunisian Stock Exchange
Nejla Bergaoui

In the literature, there is a controversy about which of the two competing models better explain size and book-to-market effects: the factor-pricing model or the characteristic pricing model. This paper extends the previous literature by comparing the two models in explaining stock returns in the small emerging market of Tunisia. Specifically, we test whether high returns of high BE/ME and small size stocks can be attributed to their factor loadings or they directly relate to their characteristics for reasons that have nothing to do with risk. To distinguish the explanatory power of the factor loadings from that of the characteristics, we use the methodology of Daniel and Titman (1997). We construct characteristic-balanced portfolios, which are long and short assets with equal characteristics and have high loadings on the HML, SMB or MKT factors of Fama and French (1993).The evidence we found indicates that it is the factor loadings rather than the characteristics which seem to explain the cross-sectional variation in stock returns in the Tunisian Stock Exchange. Results of our study provide an out-of sample evidence on the robustness of the risk-based explanation of size and book-to-market effects.
Keywords: Factor-pricing model, Characteristic-pricing model, Size effect, book-to-market effect, Tunisian Stock Exchange.
JEL classification: G01,G11,G12
Would Basket Pegged Currencies Work in Carry Trade?: The Case of Kuwaiti Dinar
Musaed S. AlAli, Yaser A. AlKulaib and Ahmad Y. Bash

This paper examines the profitability of using an emerging market currency that is pegged to a basket of undisclosed currencies in carry trade against floating currencies using conventional, forecasted-based carry trade and the drift factor. Carry trade is known to be a lucrative speculation currency strategy that is popular among all levels of investors ranging from housewives to global hedge funds. It is a strategy where investors take advantage of interest rate differential between two currencies. The secret behind its success is its simplicity, attractive returns, a Sharpe ratio that exceeds that of equity markets, and most importantly the failure of uncovered interest rate parity (UIP). The results of this paper showed that using the Kuwaiti dinar (KWD) in carry trade produced a positive returns and these returns were increased when enhanced with forecasting element and when conducted as a portfolio.
Keywords: Carry trade, Random Walk, Uncovered Interest Rate Parity (UIP), Kuwaiti dinar (KWD), Drift factor, Basket pegged currency.
JEL Classification: E43, F13, F18, F31
The Evolution of the Greek Public Deficit Up to 2010
Spyridon D. Repousis

The fiscal deficit was only one of Greece’s financing problems and contributed to the increase of the debt. That said, it was also accompanied by a current account deficit, which indicates that consumption exceeds incomes in both the private and public sectors. The current account deficit led to an increase of the foreign debt to GDP ratio from 40% in 2001 to almost 85% in 2009, while interest payments on Greece’s foreign debt kept rising during this period.
Greece’s structural weaknesses before and upon accession in the euro zone were pronounced. However, the political leadership made no effort to reverse them, since everyone was under the illusion of sound economic growth. In 1995-2003, growth mainly originated from non-tradable goods and services sectors, since it is estimated that 42% of gross added value is attributed to tradable and 58% to non-tradable, while factor productivity growth was also higher in non-tradable. This does not help improve the current account, but, in contrast, increases demand for tradable goods from abroad. What is needed, in other words, is a real policy for boosting competitiveness
Reducing the fiscal deficit only by increasing taxation just transfers the problem of the government’s negative savings rate to the private sector of the economy. What is needed is productivity-enhancing institutional reform, which can also help boost per capita incomes. If Greece’s living standard during 1996-2006 were equal to the average living standard in the EU-15, then the average per capita income in Greece would be 15.3% higher. In any case, Greece needs: a) to create a primary budget surplus; b) to restore positive GDP growth; c) to reduce borrowing rates; d) to achieve a current account balance; e) to eliminate the factors that cause the debt and the deficit to rise because of statistical differences and adjustments.
Keywords: Greece, Public deficit
JEL Classification: E62, H3, H62