International Research Journal of Finance and Economics
 Issue 166
 March, 2018
A Time Series Analysis of Macroeconomic Determinants of Stock Prices: Gulf Cooperation Council as a Case Study
Jassim Aladwani

The paper investigates the relationship between the stock prices of GCC countries and eight macroeconomic variables including money supply, government expenditure, exchange rate, government revenue, interest rate, CPI and interest rate, and foreign stock price from 2001 to 2013. By applying cointegration tests, error correction modelling and causality testing on a monthly data set, some evidence is found of a long-run relation between stock prices and macroeconomic variables. Moreover, the analysis reveals that macroeconomic variables and the some of GCC (Gulf Cooperation Council) stock markets are cointegrated and, hence, a long-run equilibrium relationship exists between them. However, the results are country- and variable-specific.
Keywords: Stock Market Index, Macroeconomic Variables, Cointegration Tests, Error Correction Modeling, Causality Testing.
JEL Classification: G, E44, C22
A Strategic Approach to Non-Performing Loans Treatment in Banking: Options and Rules for Decision-Making
Sebastiano Mazzù and Francesco Muriana

The study proposes a framework to choose the right non-performing loan (NPL) stock reduction strategy mix, through “on balance sheet” and “off balance sheet” solutions. The study considers as a reference point the European banking supervisory Authorities’ guidelines and regulations issued in the aftermath of the crisis to tackle the deterioration of banks’ loans portfolios. Moving from these references, the study investigates the strategic options that banks can implement to reduce non-performing loans (NPLs), taking into account the evolution of the external context and the bank-specific situation. In this sense, our study proposes some possible operating rules banks should consider when they implement strategic planning procedures and make their decision in the selection of the most suitable NPL reduction options.
Keywords: Non-performing loan reduction strategy, Financial crises, Credit quality.
JEL Classification: G01; G11; G20; G21.
Accounting Based-Market Anomalies in Manufacturing Sector of IDX
Hamid Bone

This paper investigates the question of whether so-called anomalous returns predicted by accounting numbers and technical market price are normal returns and compare with predicted earning in abnormal returns. This research investigates the year effects. Historical data from the manufacturing issued data between 2006- 2015 is analyzed. The purpose is to investigate if there is any evidence of returns pattern related to seasonality during this period. The model equates expected returns to expectations of earnings and earnings growth which affected by fundamental and technical factors, so that any variable that forecasts earnings and earnings growth also forecasts required returns if the market prices those outcomes as risky. The empirical results indicate that many accounting anomaly variables forecast forward earnings and growth, and in the same direction in which they forecast returns. Based on Ball (1978) made the straight-forward conjecture that earnings-to-price is a yield (a return on price) which related to risk. By applying the Mishkin test for rational hypothesis, which test for the market efficiency. The empirical analysis found support for the yearly with the lowest stock returns. An investor would have earned on more if you invested on manufacturing stock in IDX. I also found support for the yearly effect that return on current assets, however is stock price and book value give higher anomaly in value of return. In short observed, these variables include stock price and book value, “anomalous” returns associated with these accounting numbers are consistent with the rational pricing.
Keywords: Current Assets, Stock Price, Book Value, Anomaly, Value of Return.
JEL Classification:
The Effect of State Capital Factor on the Operational Effectiveness of Hose-Listed Companies
Vo Thi Thuy Trang and Nguyen Thi Thuy Trang

This paper examines the impact of state capital factor on the operational effectiveness of listed companies on HOSE through ROA and ROE within the financial years of 2015, with 244 listed companies on HOSE except for banks, financial entities and insurance companies. The independent variables used in this research are state capital ratio and dependent variables with positive impact are ROA and ROE. And a comparison with foreign capital factor is found. The findings show that the operational effectiveness of companies which have state capitals is higher than those that are not state-funded and those are foreign-funded. This partially testifies for studies on operational effectiveness of State-Owned Enterprises (SOE) in Vietnam and thus, suggests reasons and solutions for improvement.
Keywords: Operational effectiveness, State-owned enterprises
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Effect of Mergers and Acquisitions on Performance of Lebanese Banks
Hiyam Sujud and Boutheina Hachem

This article attempts to analyze the pre- and post-merger effects on financial performance of Audi-Saradar Group. To achieve this aim, two research methods are used to compare pre- and post-merger financial performance: an analysis of ratios is used to compare the performance of Audi-Saradar Group during the pre-merger period (2000-2003) and the post-merger period (2004-2007), second, paired sample t-test determines the significant differences in financial performance before and after the merger. MS Excel 2010 was used to calculate ratios and SPSS software was used to analyze the findings. The results show that return on assets and return on equity improved but only insignificantly. The merger had no significant positive impact on the rate of return on shareholders' equity and on return on assets. Earnings per share increased significantly after the merger. The merger had significant positive impact on earnings per share.
Keywords: Merger, Acquisition, Lebanese banks, Financial Performance, paired t-test, ROA, ROE, EPS.
JEL Classification:
Analysis of Non-Performing Loan Losses In Lebanese Banks
Samih Antoine Azar and Mourad Maaliki

This paper studies the determinants of the non-performing loans ratio in Lebanese banks during a hectic, critical, and crucial historical period, characterized by political instabilities, civil tension, imported terrorism, and straight wars with Israel. The literature suggests many variables, some of them that do not apply to Lebanon. Some factors peculiar to Lebanon are included in the analysis. The econometric procedure adopted is by panel least squares since we have annual data on 35 banks spread over more than a decade of time. Three variables explain significantly the loan loss ratio: return on assets (ROA), return on equity (ROE), and growth in total assets (GTA). However closer scrutiny shows that for the class composed of the largest banks, called alpha banks, there are no variables that are statistically significant, meaning that the loan loss ratio is unpredictable. As for non-alpha banks the analysis shows that ROA, ROE, and GTA and their squares are highly significant statistically. This quadratic relation stems from the fact that the behavior of banks for low values of these three determinants is negative while it is positive for high values. Additionally it is shown that short run impacts are smaller than long run impacts and this conforms to the theory that predicts persistence in loan losses.
Keywords: commercial banks, loan loss, unit roots, Granger causality, panel least squares, quadratic relation, Lebanon.
JEL Classification: G21, C12, C33
The Causal Effects of Economic Uncertainty on Monetary Policy: Evidence from 10 Selected Countries
Kok-Jing Yee, Pei-Tha Gan, Mohd Yahya Bin Mohd Hussin, Norimah Rambeli@Ramli

The uncertainty may play a prominent role in influencing the process of decision making by the policymakers. Many empirical studies on the central bank’s monetary policy response on economic uncertainty does not focus on the explicit comprehensive measure of economic uncertainty, rather it focuses on individual economic uncertainty measure. To overcome this shortcoming, the objective of the study is to examine the causal relationship between monetary policy and economic uncertainty variables. This study extends the Taylor Rule function by introducing two external variables, namely, exchange rate and terms of trade based on a sample of 10 countries, namely, four developed (i.e., Australia, Canada, Japan and United States), and six developing countries (i.e., Indonesia, Malaysia, Philippines, Singapore, South Korea and Thailand). To test the stationarity of the variables, this paper employs the unit root test (i.e., Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) test) to determine whether the variables are in the order of integrated zero, I(0) or in the order of integrated one, I(1) in order to avoid spurious regressions. Using the Granger causality test and Toda-Yamamoto causality test, the expected finding suggests that the policy makers may find a route for the implication of the monetary policy that could help to attain better economic outcomes and improve economic performances.
Keywords: Economic uncertainty, Taylor Rule, Unit root tests, Granger causality test, Toda-Yamamoto causality test.
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An Investigation into Student Satisfaction: A Field Study at Al-Zaytoonah University
A.S.H. Yousif

The purpose of this study is to determine the effect of Website quality of Al Zaytoonah university of Jordan on its student satisfaction. Eight Website quality dimensions: (the website customization, interactivity, care, cultivation, convenience, selection, special characters, and community) were chosen based on a related literature review. In consistence with these dimensions, the hypotheses of the study were formulated in a causal model, and then they were tested to determine the effect of Website quality dimensions on student satisfaction. A random sample of 250 students was withdrawn from the entire population of 7,250 enrolled students for 2017-2018 academic year. The statistical analysis results have approved the study hypotheses and confirmed that there is a significant positive impact of the web site quality dimensions collectively and individually on the university student’s satisfaction. The highest level of student satisfaction mainly related to four Web site quality dimensions, of convenience, choices diversification; providing services, and social communication.
Keywords: website quality, Website customization, interactivity, care, cultivation, convenience, selection, special characters, and community.
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