Gianluigi Giorgioni

The extent of financial disclosure and its determinants in an emerging capital market: the case of Egypt

This paper uses panel data analysis to investigate the extent and determinants of disclosure levels of non-financial companies quoted on the Egyptian Stock Exchange. It distinguishes between private sector companies and public business sector companies in terms of company characteristics and disclosure practice. Results show gradual increases in disclosure levels, with a high compliance for mandatory disclosure, although the voluntary disclosure level was rather limited. Public business sector companies appear generally to disclose less information than private sector companies. Furthermore, more profitable companies disclose more information than less profitable ones. Results for firm size, gearing and stock activity are mixed.

Does financial development affect growth

This article contributes to the literature on the relationship between financial development and economic growth in three ways: it utilizes recently developed techniques for generalized methods of moments (GMM) one-step estimation with dynamic panel models, it focuses exclusively on a sample of developing countries and it uses as proxies for financial development variables which capture both banking sector and stock market effects. The results provide evidence, based on a panel of annual data for 30 developing countries, that while the stock market variables are positively and significantly related to growth, their presence results in the standard banking sector variables, credit to the private sector and liquid liabilities, having negative effects on growth.

Performance of Shariah-Compliant Indices in London and NY Stock Markets and their potential for diversification

This paper aims to contribute to the empirical literature on the performance of Sharia-Compliant Indices (SCIs) by evaluating the performance of a number of SCIs, in comparison to similar mainstream indices, as well as in comparison to other ethical funds. Furthermore, the paper will test for co-integration among the SCIs and the mainstream ones to establish whether there is any scope for diversification. The main findings are that SCIs offer an opportunity for portfolio diversification with mainstream indices and other ethical funds within the UK.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data series and compare information ratios yielded by each of the different data sampling frequencies. The frequencies observed range from a 5-minute interval, to prices recorded at the close of each trading day.The analysis of the data series reveals that the extent to which daily data are cointegrated provides a good indicator of the profitability of the pair in the high-frequency domain. For each series, the in-sample information ratio is a good indicator of the future profitability as well.Conclusive observations show that arbitrage profitability is in fact present when applying a novel diversified pair trading strategy to high-frequency data. In particular, even once very conservative transaction costs are taken into account, the trading portfolio suggested achieves very attractive information ratios (e.g. above 3 for an average pair sampled at the high-frequency interval and above 1 for a daily sampling frequency).

FDI and the export performance of Chinese indigenous firms: a regional approach

The primary purpose of this paper is to examine the impact of Foreign Direct Investment (FDI) on the export performance of Chinese indigenous firms. A panel data analysis is employed using data across 29 provinces over the 1985–99 period. Owing to the exceptionally uneven distribution of FDI, the analysis compares the impact of FDI on all provincial exports and exports of indigenous firms over the three macro-regions of China. While the findings of the empirical analysis should be viewed with caution, they do show that FDI has less influence on the export performance of indigenous firms than on all firms (foreign and indigenous). The findings imply that linkages between the foreign and domestic sectors need to be improved if FDI is to be a vehicle for improving the competitiveness of domestic firms. Alternatively, policies may have to be directed towards the indigenous firms themselves to enhance their export performance.

Does the Ricardian Equivalence Proposition Hold in Less Developed Countries

The objective of this paper is to assess whether the Ricardian Equivalence Proposition (REP) holds in developing countries. Prima facie, since the REP requires a number of assumptions that might not appear to be satisfied in developing countries, it seems that the REP should not hold. However, the empirical evidence provided so far is mixed. In this paper, the validity of the REP will be tested using panel data for ten developing countries: Burundi, El Salvador, Ethiopia, Honduras, India, Morocco, Nigeria, Pakistan, Sri Lanka and Zimbabw1e. The countries were chosen for the availability of data and should reflect the various circumstances of low-income countries. Despite the obvious limitation of the data available and the diversity of the countries, the results provide some tentative support for the REP for developing countries, at least warranting further research.

Which volatility? The case of the exports of wheat

In the paper it is suggested that the level of demand for exports and its variability are more important than the variability of the exchange rate for a commodity whose storage costs are not negligible. Evidence in favour of this hypothesis is provided by panel data analysis for the USA exports of wheat for the period 1980–1996.

Voluntary disclosure and risk in an emerging market

Purpose – This paper seeks to examine the association between corporate voluntary disclosure and systematic (market or beta) risk for a sample of Egyptian listed companies.Design/methodology/approach – Using panel data analysis, beta is regressed on the level of voluntary disclosure and the following control variables: dividend payout, asset growth, gearing, firm size and book‐to‐market ratio.Findings – The results generally show a negative relationship between voluntary disclosure level and beta, consistent with predictions of a differential information model and theories about the economic consequences of increased disclosure. The results are dependent on the specification of the model and the market index used to estimate beta, suggesting a need for further research on the link between risk and voluntary disclosure in the context of emerging markets.Practical implications – The main implication of these results is that more voluntary information about listed companies seems preferable to less in order ...

Ricardian equivalence, expansionary fiscal contraction and the stock market: a VECM approach

The effect of government taxation on future consumption has been explained in three ways: the Keynesian approach, the Ricardian Equivalence proposition and the German view of Expansionary Fiscal Contraction (EFC). This paper reports empirical evidence on the validity of these explanations by examining the impact of a shock in government taxation upon private consumption, once the effect of the stock market is removed. A vector error-correction model is estimated for the USA, Japan, Germany, France, the UK, Italy and Canada for 1950–1997 and the impulse response functions of a shock in taxation and in expenditure are examined. The responses to an increase in government taxation appear to lend support to the EFC, while the responses to an increase in government expenditure upon consumption suggest that the reaction of private consumption is more in line with the traditional Keynesian approach.

Sustaining growth in China's regions through FDI

This paper focuses on the impact of Foreign Direct Investment (FDI) on regional economic growth in China by using an extended production function model. Panel data are employed at the province level across 29 provinces over the period 1985–1999. Provinces are then split into three macro-regions. The empirical results indicate that FDI has contributed to economic growth in all three macro-regions of China. From a policy perspective, our results suggest that the Chinese government should provide preferential policies to attract and increase FDI inflows into the vast western region. This would help maintain the countrys growth rate and further its economic development.