Massey Documents by Type

Permanent URI for this communityhttps://mro.massey.ac.nz/handle/10179/294

Browse

Subject: search.filters.subject.Securities

Search Results

Now showing 1 - 4 of 4
  • Thumbnail Image
    Item
    Essays on determinants of integration of Islamic and conventional financial markets : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Auckland, New Zealand
    (Massey University, 2020) Billah, Syed Mabruk
    This dissertation contains a series of essays, three in total, which examine the determinants of integration of Islamic and conventional financial markets. Academic and commercial interest in Islamic finance has increased in recent years, meaning that it is commonly seen as a reasonable alternative to mainstream finance. However, it is notable that growing awareness of Islamic finance has emerged alongside several relevant concerns surrounding the poor performance of Shariah-compliant indices. The limitations include minimal access to risk management tools, low regulatory standards in Islamic finance, and a suboptimal governance framework. With the large expansion of Islamic finance in recent years, Sukuk (Islamic bonds), which are the Shariah-compliant substitute to conventional bonds, are becoming more prominent. Although numerous studies have examined the impact of global shocks on conventional bond spreads, little attention has been paid to explore the effect of global shocks on the Sukuk spreads. Therefore, the first study's objective was to examine the impact of factors affecting the conventional bond and Sukuk markets, including financial factors, economic policy uncertainty, US and EU macroeconomic news. Using an ordinary least squares approach, the results indicated that for regions and countries such as the GCC (Gulf Cooperation Council), Malaysia, Indonesia, Turkey, and Singapore, global shocks play a vital role in explaining Sukuk spreads. Furthermore, employing a matched sample featuring firms from these regions and countries revealed that European and US macroeconomic announcements and economic policy uncertainty have a significantly greater impact on Sukuk spreads than on conventional bond spreads. The second study builds on the directional spillovers from Sukuk markets to Shariah-compliant equity markets and vice versa. The directions and magnitudes of spillovers are quite disperse among different countries and Islamic equity markets. Novel to the literature, we find that the Islamic equity markets' profitability and liquidity positions are highly influential on the magnitude of spillovers. We create a matched sample for 38 firms that issued both Sukuk and Islamic equities. Implementing similar spillover models, we indicate that firms' firm-level profitability and liquidity positions are essential in modeling the spillovers' magnitude between Sukuk and equities. Finally, the third study explores spillovers from regional and global equity markets to sectoral equity indices for several different regions/countries. First, we investigate sectoral equity return spillovers' connectedness and explore the different patterns and magnitudes of spillovers. Next, we look for the determinants of sectoral equity return spillovers. We find the regional and global markets spillovers on sector equity indices are highly dispersed across different markets. Novel to the literature, we examine the sectors' liquidity and financial positions and find that sector positions are highly influential in explaining the extent of the spillovers. Particularly, our exploration evidence that regional and global spillovers to specific sector equity markets jump significantly when a sector has higher debt and lower interest expense coverage. Similarly, higher profit margins of the sector make it less vulnerable to global and regional shocks. We also find market capitalization of the sectors inversely affects the spillovers' extent originating from global and regional markets.
  • Thumbnail Image
    Item
    Essays on corporate cross-listing decisions : a thesis submitted in fulfillment of the requirements for the degree of Doctor of Philosophy in Finance, Massey University, Auckland, New Zealand
    (Massey University, 2020) Agyemang, Abraham
    The decision to cross-list and the associated outcomes on corporate structure, strategies, and decisions is well-advanced. The reported outcomes range from access to foreign capital, broader analyst coverage, better information environment, improved liquidity, better corporate governance, and enhanced revenue. Such outcomes are said to motivate the cross-listing decision and are significantly associated with corporate and market characteristics. However, studies on how dynamics in corporate and market characteristics interact to drive cross-listing decisions are limited. Again, studies on the subsequent impact of cross-listing on other corporate decisions and strategies are lacking. This thesis expands the existing literature by providing three essays on how dynamics in firm and market characteristics influence cross-listing decisions. It also shows how the associated outcomes of cross-listing impact ensuing corporate decisions and strategies. The first study focuses on the dividend smoothing strategies of foreign firms. It examines how commitment to full disclosure through cross-listing in the US influence dividend smoothing behavior. While questions on the determinants and channels of dividend smoothing are not new, how cross-listing impacts these determinants and channels have not yet been studied. The study is based on the premise that cross-listing in the US signals commitment to full disclosure. Also, it is typically associated with improved transparency and increased investor and analyst coverage: reducing information asymmetry and agency conflicts. Again, it is widely argued that the levels of information asymmetry and agency cost significantly influence dividend smoothing practices, while investment and debt are among the primary channels for dividend smoothing practices. We, therefore, examine how commitment to full disclosure and improved transparency due to cross-listing impacts the dividend smoothing strategies of foreign firms. We adopt two well-established approaches: Lintner’s partial adjustment model, and a variance decomposition approach to study the dividend policies of firms after cross-listing. The results show increased dividend smoothing after cross-listing with significant sectoral variations in dividend smoothing strategies. We also document that firms from developing economies exhibit a lower increase in dividend smoothing after cross-listing compared to firms from developed economies. Adopting a variance decomposition approach, we find evidence of essential differences in the use of debt and investment channels before and after cross-listing to smooth net income shocks. Overall, our findings suggest that managers of cross-listed firms are motivated to ensure minimal fluctuations to dividends due to the information content of dividend payment. The results also indicate that firms use financing decisions to keep dividends smooth. The second study focuses on how market characteristics interact with firm characteristics to influence cross-listing decisions and the choice of the host market. The study examines how the specialization in the output of the local and host markets impacts cross-listing decisions and the selection of the host market in the presence of other firm-level characteristics. This study builds on the existing macroeconomic literature that maintains that economies are specialized in their output, suggesting potential high competition for funding, among other forms of competition. Given this basis, we propose two arguments. One, specialization in national output could encourage firms to seek funds from other foreign markets through cross-listing. Two, specialization in national output could make the local market attractive to international firms. We implement a gravity model on a sample of 1779 firms from OECD countries for 20 years and find that specialization in output in the local and host markets significantly influences the decision to cross-list and the choice of the host market. Using firm and industry-level data, we report that firms from countries that are specialized in specific industries undertake more cross-listing compared to firms from markets that are not. Interestingly, we document that firms from specialized markets cross-list to markets that are less specialized in the same industry. While the findings suggest that firms seek diversification of funding opportunities in the cross-listing decision and the choice of the host market, they also indicate the weakening of the gravity restrictions in line with recent studies. The role of market characteristics in influencing corporate decisions and strategies is conventional. However, recent studies document a growing influence of policy uncertainty on corporate decisions. The third essay builds on this premise and examines how economic policy uncertainty (EPU) in the local and global markets impacts corporate cross-listing decisions. It employs firm- and country-level motivated by the availability of the EPU data. The examination commences with the implementation of an initial Granger Causality test. The study then adopts two contemporary approaches; a Quantile on Quantile Regression approach, and a Wavelet Coherence approach to allow a comprehensive understanding of the relationship. The results show that local and global EPU influence the cross-listing decisions of firms, with a more substantial influence on firms from smaller domestic markets. The empirical evidence suggests that firms from smaller local markets pursue more cross-listing in the face of high local EPU and reduce or avoid cross-listing during periods of high global EPU. The Quantile on Quantile Regression approach and the Wavelet Coherence approach document important dynamics between EPU and cross-listing decisions at different frequencies and periods, with a stronger relationship reported at higher frequencies of EPU. In addition to contributing to the existing literature, our findings suggest that policy transparency could have important implications for current and future corporate decisions.
  • Thumbnail Image
    Item
    The information content of Standard and Poors bank loan ratings : a thesis submitted in partial fulfillment of the requirements for the degree of Masters degree of Business Studies, Massey University
    (Massey University, 2000) Trevett, Kerry
    Empirical work byJames (1987) and Lummer andMcConnell'(1988) among others has established Bank Credit announcements provoke abnormal equity market responses, particularly for firms displaying information asymmetry. This is theorised to be due to the new information imparted to the market in the announcement. Bank Loan markets have undergone substantial change in recent years as commercial bank loans have been transformed into investment commodities. This has seen Bank loans take on more capital market product characteristics including the use of independent Bank Loan Ratings to assess the risk of Bank Loans. In this paper we examine whether Bank Loan Rating Announcements provide the same level of new information to markets. We find they do not provoke a response different from that seen in conventional bond rating announcements. We reason this is due to the fact that the rating agency monitoring certifies firm risk and thereby lowers information asymmetry levels overall. This may be the source of further research.
  • Thumbnail Image
    Item
    Do cross listed securities in the face of extreme events present any risk return benefits for New Zealand investors? : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University
    (Massey University, 2005) Browning, Rebecca
    Many investors are looking for alternative investment options in todays market as correlations among markets have increased, causing diversification benefits once gained to be diminished. This thesis examines what risk return benefits can be gained by investors from international diversification, especially cross listed securities, and how these benefits may enhance the risk return relationship in the face of extreme events. Extreme events being researched are Russian Ruble Crisis in 1998, September 11 2001, and Argentina Financial Crisis in 2002. It was found that cross listed securities held within a portfolio provided diversification benefits for investors with an improvement in the risk return relationship of lower risk and higher returns. Tested under extreme events it was found that holding cross listed securities within a portfolio mitigated some of the affects demonstrated.