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Item Are cryptocurrencies affected by their asset class movements or news announcements?(Malaysian Economic Association, 2019) Gurrib, Ikhlaas; Kweh, Qian Long; Nourani, Mohammad; Ting, Irene Wei KiongThis study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017-December 2018. This study, (i) tests whether lagged variables can help predict other variables' returns through a vector autoregression (VAR) model, (ii) analyses the response of cryptocurrencies to one standard deviation shock on Bitcoin's returns, and (iii) decomposes factors that contribute to variance and tests for structural breaks. Findings show that most cryptocurrencies do not significantly affect other variances, except for Monero, which represented between 19% and 45% of the variances of five cryptocurrencies. Autoregressive (AR) models are superior in forecasting one day ahead return forecasts, compared to the VAR model, whereas the random walk (RW) model ranked last. Although remarkable structural breaks are observed via impulse response functions during December 2017-January 2018, no major news announcements were released on the same day the breaks occurred. Overall, this study suggests the need for high-frequency cryptocurrency prices to tackle the issue of the relationship between intraday news release and cryptocurrencies. © 2019 Malaysian Economic Association. All rights reserved.Item Are energy block chain currencies affected by the major US energy markets?(Econjournals, 2019) Gurrib, IkhlaasWhile various economies have started to embark on a gradual shift towards renewable sources of energy, energy block chain based crypto currencies have emerged. The purpose of this study is to shed fresh light into whether an energy commodity price index (ENFX) and energy block chain based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Using principal component analysis over daily data of crude oil, heating oil, natural gas, and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only the lagged ENCX was significant in estimating current ENFX values. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX, and one standard deviation shock in ENCX left ENFX unaffected. Both indices had 1 structural break on different dates. Overall findings suggest that while the ENFX and ENCX are good representative of commodity energy prices and energy block chain based cryptos respectively, the two markets are not robust determinants of each other. © 2018, Econjournals. All rights reserved.Item Are key market players in currency derivatives markets affected by financial conditions?(LLC CPC Business Perspectives, 2018) Gurrib, IkhlaasTis study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous fnancial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efciency, this study compares the impact of current, 1 and 2 week lags of fnancial conditions onto foreign currency futures players' net positions. Te fnancial conditions indices used are UFCI, STLFSI, NFCI and ANFCI with weekly data set from January 2007 till December 2018. Te US dollar index futures is included as a benchmark, since the fnancial conditions are based on US data and the most actively traded foreign currencies are paired against the USD. While RMSE and NRMSE gave mixed results into how current, 1 week and 2 weeks lagged Financial Conditions Indices (FCIs) values are related to speculators and hedgers' net positions, lagged NFCI captured the highest correlation with both players' net positions in Japanese Yen. 95% prediction levels encompassed the actual net positions held, including the fnancial crisis of 2008-2009. Forecasts were lower (higher) for hedgers (speculators) than actual net positions held during the same period. Comparatively, in the period 2016-2017, hedgers (speculators) net positions forecasts were higher (lower) than actual positions. Te latter could be explained by FCIs not being affected during this period's event, compared to net positions. While net positions data were stationary, excess kurtosis was present pointing to non-normal and autocorrelated series. Tis suggests the need to look into other components like non-reportable long or short positions in future analysis. © 2018 Ikhlaas Gurrib.Item An assessment of the potential VAT revenue collection for the United Arab Emirates(Routledge, 2017) Gurrib, IkhlaasThis study analyses the effect of a 5% VAT in the UAE for the period 2018–2022. The methodology includes collection efficiency, standard tax rate and the final consumption expenditure (FCE). Various scenarios are analysed, including a constant 5% VAT for 2018–2022; increasing it by 2.39% yearly; increasing it to reach the maximum 2014 country tax rate of 27%; or increasing it to reach an average tax rate of 19.1%. The collection efficiency values of 0.4–0.7 result in a 2018–22 tax revenue to GDP range of between 1.75 and 7.84%. © 2017 Informa UK Limited, trading as Taylor & Francis Group.Item Audit Committee Effectiveness and Accounting Conservatism a Test of Lagged Effect(IGI Global, 2018) Rehman, Saif Ur ; Khan, Faisal; Elshareif, ElgilaniThis article examines the effect of audit committee effectiveness on two measures of accounting conservatism. In addition, this article also investigates the interaction effect of four endogenous variables (i.e. firm's operating risks, leverage, managerial influence, firm's size) and three exogenous variables on relationship between audit committee effectiveness and two measures of accounting conservatism. A total of 543 sample firms are selected from the Bursa Malaysia for the period from 2004 to 2013. In addition, some information relating to audit committee and auditor quality are collected from firms' annual reports. For data analysis, panel data methodology is employed, and multiple regression analysis technique is used to test the developed hypotheses of this study. Results show that interaction effect of firm's operating risks, managerial influence, external auditor quality and capital market uncertainty found to be significant with two-year-lagged effect on both measures of conservatism. Whereas, the interaction effect of firm's leverage, firm's size and product market completion are found to be insignificant. The findings of this study contribute to the signaling theory, agency theory, reputation theory and accounting conservatism literature with lagged effect in emerging economies settings.Item The Behavioural Aspects of Financial Literacy(Multidisciplinary Digital Publishing Institute (MDPI), 2021-09) Gerth, Florian; Lopez, Katia; Reddy, Krishna; Ramiah, Vikash; Wallace, Damien; Muschert, Glenn; Frino, Alex; Jooste, LeonieIn this paper, we investigate the contribution of behavioural characteristics to the financial literacy of UAE residents after controlling for demographic factors. Specifically, we test the relationship between financial literacy and behavioural biases such as representativeness, self-serving, overconfidence, loss aversion, and hindsight bias. Using data collected through survey questionnaires, we apply the methodology developed by the Organization of Economic Co-operation and Development (OECD) to compute financial literacy scores. Our overall results show that all behavioural biases except for overconfidence bias are positively related to financial literacy. Furthermore, some biases exhibit a stronger quantitative relationship with financial literacy than others. For example, hindsight bias displays the strongest link to financial literacy, followed by self-serving bias. The weakest but still statistically significant effect is loss aversion bias. Although biases, in general, have negative connotations, behavioural biases appear to be related to higher levels of financial literacy. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.Item Benchmarking in Vietnam universities : teaching and research and revenue efficiencies(Springer, 2020-06-01) Tran, Phung Phi; Kuo, Kuo-Cheng; Lu, Wen-Min; Kweh, Qian LongAssessing university resource allocation or misallocation is necessary to understand its impact on research and teaching productivity. To achieve this insight, this study conducts a two-stage data envelopment analysis to judge the “teaching and research efficiency” and “revenue efficiency” of 61 universities in Vietnam. We analyze what variables have the most effect on the efficiencies of the universities through improving results. Moreover, this research applies scale elasticity to distinguish the benchmark performance leader among Vietnam universities. Results indicate that universities are more efficient in terms of “revenue efficiency” than “teaching and research efficiency.” The scale elasticity decomposition findings show that multidisciplinary universities perform better than those specializing in science and technology and social science and economics. Finally, the competitive map to performance advancement strategies is exhibited. This map helps the university management to enhance their efficiencies. © 2020, Education Research Institute, Seoul National University, Seoul, Korea.Item Beyond Borders: The Euro Crisis and Public Support for Monetary Integration in East Africa(Blackwell Publishing Ltd, 2020) Bizuneh, Menna; Buigut, Steven; Valev, NevenWe show that economic experiences in one part of the world affect proposed policies elsewhere. Specifically, we find that the recent crisis in the European Monetary Union (EMU) has impacted negatively the public support for the new proposed monetary union in the East African Community (EAC), with a more pronounced effect for less educated Kenyans. That external effect is robust to controlling for an array of other factors such as the expected economic benefits from the union, the desire to gain international influence as part of a larger community and the memory of an earlier failed EAC monetary union. © 2020 Economic Society of South AfricaItem Bitcoin price forecasting: Linear discriminant analysis with sentiment evaluation(Association for Computing Machinery, 2021-08-25) Gurrib, Ikhlaas; Kamalov, Firuz; Smail, LindaCryptocurrencies such as bitcoin have garnered a lot of attention in recent months due to their meteoric rise. In this paper, we propose a new method for predicting the direction of bitcoin price using linear discriminant analysis (LDA) together with sentiment analysis. Concretely, we train an LDA-based classifier that uses the current bitcoin price information and Twitter headline news in order to forecast the next-day direction of bitcoin price. The proposed model achieves highly accurate results beating several benchmark targets. In particular, the proposed approach produces forecast accuracy of 0.828 and AUC of 0.840 on the test data. © 2021 Association for Computing Machinery. All rights reserved.Item Board meeting frequency and financial performance : a case of listed firms in Vietnam(Universiti Malaysia Sarawak, 2018) Hanh, Le Thi My; Ting, Irene Wei Kiong; Kweh, Qian Long; Hoanh, Lam Thi HoangThis study investigates the effect of board meeting frequency on the financial performance of listed firms in a fiscal year. We use 94 firms listed on Ho Chi Minh Stock Exchange from 2013 to 2015. Financial performance is measured as returns on asset, equity and sales. Results show that board meeting frequency exerts a negative effect on the financial performance of the sample firms. High board meeting frequency equates to low returns on asset, equity and sales. Overall, the quality of board meetings is an important factor that contributes to financial performance. © 2018, Universiti Malaysia Sarawak. All rights reserved.Item Business Cycle Forecasts and Futures Volatility(Springer Science and Business Media B.V., 2017) Belhaj, Hanene; Larbi, DorraItem Can an energy futures index predict us stock market index movements?(Econjournals, 2018) Gurrib, IkhlaasThis paper investigates if an energy futures conditions index (EFCI) can predict movements of US major stock market indices. While various financial conditions indices provide information about the financial stress of a country, the existence of an energy conditions index, using futures markets, is scarce. Using weekly data over 1992-2017, this paper proposes an energy futures index using principal component analysis and test its predictability. The EFCI captures 95% of the variability inherent in the crude oil, heating oil and natural gas futures total reportable positions. Stability in forecast errors over different lags suggests 1 week lag is sufficient in forecasting weekly Nasdaq Composite Index, Nasdaq 100 and Russell 3000 values. 95% prediction levels support that the estimated model captures all actual market indices values, except for the 2000 technology bubble. The inability of the energy futures index in predicting stock market indices during the 2000 bubble can be explained by the poor sensitivity of energy futures to this specific event. Distributions were non-normal, not serially correlated and homoscedastic under the whole sample period, with diagnostics on pre and post technology bubble crisis showing mixed results. © 2018, Econjournals. All rights reserved.Item Can energy commodities affect energy blockchain-based cryptos?(Emerald Group Publishing Ltd., 2019-10) Gurrib, IkhlaasPurpose: The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach: Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings: Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications: Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value: As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets. © 2019, Emerald Publishing Limited.Item Can the leading US energy stock prices be predicted using the ichimoku cloud?(Econjournals, 2021) Gurrib, Ikhlaas; Kamalov, Firuz; Elshareif, ElgilaniThe aim of this study is to investigate if Ichimoku Cloud can serve as a technical analysis indicator to improve stock price prediction for leading US energy companies. The methodology centers on the application of the Ichimoku Cloud as a trading system. The daily stock prices of the top ten constituents of the S&P Composite 1500 Energy Index-spanning the period from 12th April, 2012 to 31st July, 2019-were sourced for experimentation. The performance of the Ichimoku Cloud is measured using both the Sharpe and Sortino ratios to adjust for total and downside risks. The analysis is split into pre and post oil crisis to account for the drop in energy stock prices during the July 2014-December 2015. The model is also benchmarked against the naïve buy-and-hold strategy. The capacity of the Ichimoku indicator to provide signals during strengthening trends is analyzed. Despite the drop in energy stock prices, number of trades continued to increase along with profit opportunities. The PSX stock ranked first, with the highest Sharpe ratio, Sortino ratio, and Sharpe per number of trade. As expected, a number of buying signals occurred during strengthening bullish periods. Surprisingly, various sell signals also occurred during similar strengthening bullish trends. Most of the buy and sell signals under the Ichimoku indicator occurred outside of strengthening of bullish or bearish trends. The overall findings suggest that speculators can benefit from the use of the Ichimoku Cloud in analyzing energy stock price movements. In addition, it has the potential to reduce susceptibility to changes in energy prices. Last, the strength of the trend in place needs to be captured as it served as an additional layer of information which can improve the decision making process of the trader. © 2021, Econjournals. All rights reserved.Item Capital structure and dynamic performance : evidence from ASEAN-5 banks(World Scientific Publishing Co. Pte Ltd, 2019) Nourani, Mohammad; Ting, Irene Wei Kiong; Lu, Wen-Min; Kweh, Qian LongIn today's dynamic economy, banks should focus on improving their dynamic performance to stay competitive. Using a dataset for the period 2007-2013, this paper evaluates the dynamic performance of ASEAN-5 banks through a data envelopment analysis (DEA) model, called the dynamic slacks-based measure (DSBM) model. The DEA results indicate that banks in Malaysia perform better than those in Singapore, Thailand, Indonesia and the Philippines. Frontier projections through DEA indicate that banks in the ASEAN-5 countries underutilize their long-term assets, resulting in inefficiencies. Furthermore, this study finds that capital structure as a whole is positively related to bank performance. © 2019 World Scientific Publishing Company.Item Capital structure and profitability in a tax-free country: evidence from the UAE(Inderscience Publishers, 2020) Imen, Tebourbi; Irene, Wei Kiong Ting; Kweh, Qian Long; Harith, Ali Hamood Al HuseiniThe balance between debt and equity is a key factor explaining profitability. This study examines how capital structure affects the profitability of firms listed on stock exchanges in the United Arab Emirates (UAE), a country that does not have a federal corporate income tax regime. The proxies of capital structure used include total, short-term, and long-term debt ratios, while those of profitability are return on assets and return on equity. Over a 2001-2016 sample period, this study documents a significantly negative association between capital structure and profitability. This study finds that the negative association is mainly found in companies with a high level of debts. The results of this study not only imply that information asymmetry exists, they also highlight how capital structure and profitability are associated in the context of a corporate tax-free country. Copyright © 2020 Inderscience Enterprises Ltd.Item CEO compensation and firm performance: Evidence from financially constrained firms(Elsevier Ltd, 2022-10) Kweh, Qian Long; Tebourbi, Imen; Lo, Huai-Chun; Huang, Cheng-TsuItem CEO duality, board size and firm performance: evidence in Vietnam(Inderscience Publishers, 2023) Le, Hanh Thi My; Ting, Irene Wei Kiong; Kweh, Qian Long; Ngo, Ha Lam TanFrom the perspective of the agency and stewardship theories for explaining the relationship between corporate governance and firm performance, this study examines the impacts of CEO duality and board size on the firm performance. We assess the association between CEO duality, board size and firm performance of top 200 companies listed on the Vietnam Stock Exchange (VSE) over 2014-2015. Our findings show that: 1) CEO duality limits the monitoring function of the board, and a large board size promotes dominance and power of leaders that create more conflicts; 2) the number of executive directors in the top management positively influences firm performance. Findings of our study certainly help policymakers and other stakeholders understand the relationship between CEO duality, board size and firm performance. Overall, this study highlights the CEO duality and the relationship of board size and firm performance in a nation with less protection of minority shareholders.Item CEO Greed and Firms' Environmental Performance in Environmentally Sensitive Sectors of China(IGI Global, 2023) Rehman, Saif Ur; Elshareif, Elgiliani; Khan, HashimIn the current study, the authors explored how CEO greed concerning bonuses and rewards on restricted stock affects a firm's environmental performance (EP) in environmentally sensitive sectors of China. Moreover, they empirically tested the constraining role of the quad director on the relationship between CEO greed and EP. Findings indicate that (a) CEO greed negatively affects the strategic firm's environmental performance, particularly the negative relation is augmented by the person-pay interactionism rationale (bonus), (b) the presence of one quad director in the board does not constrain CEO greed and EP negative relation, and (c) the presence of two or more quad directors in the board significantly constraints the negative relation between CEO greed and EP. Thus, having at least two quad directors is more effective than combining directors with multiple features. Our results are robust to different CEOs' power dynamics. Our research has important practical implications for corporate governance and business strategy formulation. © 2023 IGI Global. All rights reserved.Item CEO power and earnings management: Dual roles of foreign shareholders in Vietnamese listed companies(John Wiley and Sons Ltd, 2022-01) Le, Hanh Thi My; Kweh, Qian Long; Ting, Irene Wei Kiong; Nourani, MohammadUsing a sample of Vietnamese listed companies from 2007–2016, this study examines the impact of CEO power on earnings management. This work also explores how the association between CEO power and earnings management differs between companies with high foreign ownership (FOR) and low FOR. Our fixed-effects panel regression analyses reveal that CEO power significantly and positively affects earnings management, whereas FOR can control earnings management. However, when the sample is split into companies with high and low FOR, the significantly positive effect of CEO power is evident only in the group with high FOR, thereby suggesting that CEO power works positively on earnings management given high FOR. These results remain qualitatively the same when the composite CEO power is replaced with individual measures of CEO power. Overall, policymakers with an oversight function should be aware of the potential dual roles of foreign investors. © 2020 John Wiley & Sons Ltd