Wasim K. AlShattarat

Voluntary disclosure and stock market liquidity: evidence from the Jordanian capital market

The objectives of this study are to measure the level of voluntary disclosure provided in the annual reports of Jordanian companies and to examine the impact of disclosure level on the stock market liquidity using Jordanian data. To achieve the first objective, a self-constructed disclosure index consisting of 62 items was applied to the annual reports of 60 Jordanian non-financial companies listed at the Amman Stock Exchange for the year 2004. It was found that there is a considerable variation in the extent of voluntary disclosure among the companies. On average, a company disclosed 28% of the items of information included in the disclosure index. To achieve the second objective of this study, the relative bid-ask spread was used as a proxy for stock market liquidity. The results of regressing the bid-ask spread on disclosure level, after controlling for other variables, show that the higher voluntarily disclosed information provided in the Jordanian annual reports reduces the spread between the bids and asks, and thereby increases the stock market liquidity.

What Determines the Dividend Payout Ratio for Jordanian Industrial Firms

There is a plethora of empirical evidence testing theories which have been proposed to explain dividend policies and assessments of managerial opinions for firms listed on developed markets’ stock exchanges. In contrast, the evidence for emerging markets is limited. We investigate the determinants of the dividend payout ratio (DPR) for a sample of Jordanian listed firms. Consistent with the agency cost hypothesis, the level of inside ownership, the number of shareholders and the level of institutional ownership significantly influenced the DPR. Firm size was also significant supporting the transaction-cost hypothesis. Our empirical analysis failed to find any evidence to support the signalling hypothesis. JEL Classification: G32, G35, G38

Price Limits and Volatility: A New Approach and Some New Empirical Evidence from the Tokyo Stock Exchange

This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits have not been examined before. The results show an increase of limit hits on Monday and Tuesday. These results of limit hits are consistent with the existing literature for the day-of-the-week effect of stock returns carried out on Japan. This indicates that such patterns of price limit hits are not all due to noise trading. The results also show that high limit hit occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility.

Empirical Analysis of Price Limit Hits of Tokyo Stock Exchange

The primary aim of this paper is to examine characteristics of stocks that hit the limits listed in the Tokyo Stock Exchange. We analyse the characteristics of stocks that hit the limits more frequently, the characteristics of stocks that hit the upper limits and the characteristics of stocks that hit the lower limits. The results show that stocks that hit the upper limits tend to have smaller systematic risk and a stock that hit the lower limit tend to have high systematic risk. This indicates that lower limit hits are mostly due to market driven downward movements while upper limit hits are more likely related to company driven upward movements. This means that price limits rules were effective in Japan in curbing undesired fluctuations of stock prices and in protecting the market from crashes.

Charateristics of Stocks That Frequentley Hit Price Limits: Empirical Evidence from Japan

ABSTRACT:This paper examines the characteristics of stocks that hit the limits listed in the Tokyo Stock Exchange. Most of studies on price limit hits are carried out on stock markets that apply tight price limits rules such as the Taiwan Stock Exchange, the Stock Exchange of Thailand and Korea Stock Exchange. A market that applies tighter price limit rules experiences many limit-hit occurrences; this makes analysis simpler because the analysis can use a smaller number of stocks and a reasonable sample period. Therefore, this study contributes to the literature by examining the Tokyo Stock Exchange, which applies wide price limit rules. We analyzed the characteristics of stocks that hit the limits more frequently, stocks that hit the upper limits and stocks that hit the lower limits. Daily data were collected for all stocks listed in the Tokyo Stock Exchange from 2003 to 2007. The data were downloaded from the Datastream and the Tokyo Stock Exchange website. Three binary logistic regression models were applied. The first model tested the characteristics of stocks that hit upper and lower limits more frequently. The second model was for the characteristics of stocks that hit the upper limits, and the final model was for the characteristics of stocks that hit the lower limits. The results show that stocks that hit the upper limits tend to have a smaller systematic risk, while stocks that hit the lower limit tend to have a high systematic risk. This indicates that lower limit hits are due mostly to market-driven downward movements while upper limit hits are more likely related to company-driven upward movements. This means that price limits rules were effective in Japan in curbing undesired fluctuations of stock prices and in protecting the market from crashes. The results of the three models show that both upper and lower limit hits and upper and lower limit hits individually vary from year to year throughout the sample period. In general, high market value stocks, high volatility stocks, high residual risk stocks and low systematic risk stocks tend to hit the limits more frequently. The results also show that high market value stocks, high volatility stocks, high residual risk stocks, low liquidity stocks and low systematic risk stocks tend to hit the upper limits. Meanwhile, high market value stocks, high volatility stocks, high residual risk stocks, low liquidity stocks and high systematic risk stocks tend to hit the lower limits. Our study can be viewed as providing complementary evidence. By documenting some regularity with which price limit hit events occur, we offer new considerations to the current discussions surrounding price limit mechanisms. In spite of the negative effects shown by scholarly researchers, the popularity of price limits among both practitioners and stock exchange officials may be partially justified through our empirical evidence.

Profit-sharing investment accounts in islamic banks or mutualization, accounting perspective

Purpose Islamic banks use Mudarabah contract to replace the interest-bearing deposits with profit-sharing investment accounts. The purpose of this paper is to explore the challenges and problems associated with the employment of Mudarabah contract by Islamic banks. Design/methodology/approach The study critically analyzes the Mudarabah contract used by Islamic banks. It reviews the evolution of the contract from its traditional type to more complicated types such as compound, unrestricted, commingled and continuous Mudarabah. The paper investigates the problems that have emerged from implementing such types in current business settings. Findings The paper proves that implementing the Mudarabah contract by banks imposes several problems among which are the following: difficulty in the determination of total profit resulting from Mudarabah and in allocating this profit to the multiple parties involved in Mudarabah; usage of reserves to cater against future losses may undermine the concept of Mudarabah profit-loss sharing and lead to earnings management; corporate governance is also a major problem in Mudarabah contract, as the depositors are exposed to risks but have no governance rights; and Mudarabah may also lessen the fair presentation of financial reporting. Research limitations/implications The paper examines the evolving Mudarabah contract and its implementation challenges, based on available literature (no empirical analysis was conducted). Practical implications The implications are significant for the future development of Islamic contracts and Islamic accounting treatments. Originality/value Many studies explored the Mudarabah contract from a Shariah or law perspective. However, this paper investigates the Mudarabah contract with a focus on the implication on accounting and financial reporting because of the lack of studies in this area. Furthermore, it demonstrates the persistent flaws in the Mudarabah contract, and it proposes a new model for mobilizing funds, i.e. mutual fund.

Efficiency dynamics and distributional snapshots of North African Islamic banks

Using non-parametric data envelopment analysis (DEA), this paper examines the efficiency of Islamic banks and conventional banks operating in some North African countries in terms of cost, revenue, profit, and super efficiency during the period from 2000 to 2011. While a comparison of the cost-efficiency results of both groups of banks at country level showed closeness to each other, conventional banks had the advantage of less cost-inefficiency by the end of 2011, compared to Islamic banks. Revenue efficiency results strengthen the superiority of conventional banks over Islamic banks in this region. Super efficiency results similar to those of cost efficiency are indicated, meaning that conventional banks are not only more efficient in pricing their inputs, but also in determining the volume of their inputs. Generally, the findings showed that Islamic banks perform better in mixed banking systems rather than in pure Islamic systems.