Asma Mobarek

Comparative performance analysis between conventional and Islamic banks: empirical evidence from OIC countries

This article investigates the performance of Islamic (IBs) versus conventional banks (CBs) around the recent financial crisis in 18 OIC (Organization of Islamic Conference) countries. The study primarily employs two dominant frontier approaches of efficiency measurement in banking literature. The study also estimates the soundness score of the banks by using Z-score methodology and attempts to explore the relationship between efficiency and financial stability of banks. The results based on the data envelopment analysis (DEA) and stochastic frontier analysis (SFA) approaches report that CBs are more efficient than their Islamic counterparts. On the contrary, Z-score reports that IBs were financially more stable than CBs. However, the dominance of IBs has been drastically lost afterwards. This might be originated by the decrease of Z-score of IBs in Bahrain, Kuwait and UAE, which were found as main front-runners among IBs in terms of financial stability. To the best of authors’ knowledge, it is the first study that examines the efficiency of IBs versus CBs using two different frontier efficiency analyses and collates the result of frontier efficiency methods with stability indicator. The practical implication of the findings for IBs is to explore additional investment opportunity and for CBs is to uphold more financial stability.

Market volatility across countries – evidence from international markets

Purpose - The purpose of this paper is to investigate the time-varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets. Design/methodology/approach - This paper uses nonlinear ARCH and GARCH-family models for testing the volatility both in developed and emerging markets. Findings - The findings of the paper suggest that there is a long-term persistence shock in emerging markets compared to developed markets. Research limitations/implications - The data set used for the developed and emerging markets is not consistent in terms of sample period. However, this paper explores the venues for further research on the global diversification. Practical implications - The implication of volatility measurement is vital in determining the cost of capital for investment and portfolio management, option pricing and for market regulations. Originality/value - The unique features of the paper include large sample size with updated data set that reveals the nature of world economy and empirical evidence on volatility testing that reports the risk return characteristics of both developed and emerging markets.

Determinants of Market Co-Movement in Developed and Emerging Markets

Stock market integration is a research area that attempts to identify and explain the formation of price co-movement between stock markets on an international level. Efficient and integrated stock markets are said to have the ability to unfold and incorporate information flows deriving from national as well as global economic events on a timely manner. The movement toward a synchronized stock market landscape has gained momentum, especially during the past two decades, where tighter economical and financial linkages among developed economies have grown stronger. However, the rise of many important emerging markets, which have been a major driver of global growth in the past decades, has opened up additional channels for cross-border relations. Other causes behind the rapid increase in world trade, capital movements, and foreign investments between world economies are market liberalization/deregulation, technological advances, and removals of statutory controls. Many of these factors have contributed to more interlinked economies, which, in turn, are said to have given rise to a higher degree of stock market synchronization, especially in volatile time periods, for example, eruption of a financial crisis, war, or political instability.

Market Efficiency in Emerging Markets: Evidence from African and Central European Markets

This chapter reviews the literature on market integration and market efficiency; we try to explore the interconnection between the two in this chapter and the next chapter. We assume emerging markets to be less integrated in the global market. Before testing market integration, we present empirical studies on the efficiency of some emerging markets, which has still not been widely tested. However, this chapter presents the empirical evidence of the evolution of weak-form efficiency in emerging markets in Africa and Central European countries, by testing the random walk hypothesis (RWH) through multi-approach, specifically unit root tests, autocorrelation test, runs test, variance ratio (VR), and Wright (2000) sign and rank tests conducted on the daily price indices in the African and Central European stock markets. The empirical results reject the RWH for all stock markets’ indices over the sample period with the exception of the crisis data for South Africa (2007–2009). Similarly, Central European countries are the most under-researched region in the area of efficient market hypothesis; therefore, this study also investigates the weak-form efficiency of Central European emerging stock markets on Morgan Stanley Capital International (MSCI) daily price indices over the period of 1990–2009 by testing the RWH through applying multi-approach econometric techniques.

Market Integration and Causality in Developed and Emerging Markets during Crisis Periods

This chapter reviews and presents the empirical test of the market integration and causality during crisis using international markets by dividing the sample between developed and emerging markets. We empirically investigate the integration and causality between country pairs among a list of international developed and emerging markets including the recent global financial crisis (GFC).

Market Integration in Developed and Emerging Markets

This chapter presents the empirical test of market integration of international markets, dividing the sample between developed and emerging markets. This study examines the extent of cross-country returns’ co-movement between the stock markets of five developed benchmark countries (USA, UK, Japan, Germany, and France) and five emerging benchmark countries (Brazil, Russia, India, China, and South Africa), vis-a-vis a total country sample composed of 20 countries. On one hand, the general findings for the Geweke contemporaneous feedback measures provide supportive evidence of increased stock market integration. A reasonably clear time trend is identified, where the extent ofcontemporaneous co-movement across markets has intensified over time, especially for emerging countries, which consequently suggests that greater market efficiency is being fostered at the international level. On the other hand, the results of the Geweke unidirectional feedback measures indicate a tendency that some markets (USA, Brazil, Russia) are more likely to lead other markets (Japan, China) than vice versa. This insight on how country pairs’ daily stock market returns are correlated provides reference guidelines for policy-makers, investors, and other stakeholders with valuable information to assess the propensity of one country to be affected by market volatility stemming from regional and global shocks.

Global Stock Market Integration : Co-Movement, Crises, and Efficiency in Developed and Emerging Markets

The aim of the book is to present an in-depth critical analysis of the existing literature on market co-movement and integration and an empirical investigation with a detailed comparison between de ...

Regional volatility: common or country-specific? Exploration of international stock market:

Purpose - – The purpose of this paper is to test whether the volatility of regional stock markets’ is common or country-specific for 46 international markets of the Asian, European, African and Latin American regions using the Morgan Stanley Capital International daily prices in the period from January 1998 to December 2009. Further, the study has been divided into two sub-periods to distinguish the effects of the current sub-prime financial crisis and to determine whether the crisis has an impact on the fluctuations of common component of stock market volatility. Design/methodology/approach - – The paper applies the time-varying weighting methodology of Lumsdaine and Prasad (2003) to determine whether the volatility fluctuation is country-specific or common across the countries. Findings - – The results evidence that the volatility of stock returns is due to common factors, rather than country-specific ones, but this is not always the case. However, this common component is more stable in European and Latin American countries than in the Asia-Pacific and African regions. Furthermore, the results suggest that the influence of a common component has been enhanced significantly during the current sub-prime financial crisis. Practical implications - – The study has implication for domestic and international investors, portfolio managers, as well as policy-makers to implement economic and financial policy that promote stability, reduce vulnerability to crises and encourage sustained growth and living standards. Originality/value - – To the best of the authors’ knowledge, this is the first study to include four regional samples and test the common component of fluctuations of regional stock markets volatility.