Price-volume relation behavior around structural breaks in Kuwait Boursa
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Author(s)Fayez A. AbdulsalamLink to ORCID Index: http://orcid.org/0000-0002-3926-4877
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Amani kh. BouresliLink to ORCID Index: https://orcid.org/0000-0001-9247-7989
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DOIhttp://dx.doi.org/10.21511/im.15(2).2019.01
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Article InfoVolume 15 2019, Issue #2, pp. 1-13
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This study attempts to conduct a comprehensive investigation of the price-volume relation using daily stock prices of all publicly traded firms in Kuwait Boursa over the period 2005–2017. The aim is to provide evidence from an emerging market on the information arrival hypothesis, which is explained by the mixture of distribution and the sequential information arrival hypotheses. The investigation covered two main structural events; the 2008 financial crisis and the activation of Kuwait’s New Securities Law in 2010 (CMA). The GARCH-ARCH test revealed a positive contemporaneous relation between trading volume and market return, which implies that previous information shocks affect current returns and imply that Kuwait stock market is weakly efficient. When trading volume is included in the variance equation in the GARCH model, the test revealed that new information arrival is not simultaneously available to all traders and it takes time to observe, providing support to the sequential information arrival hypothesis (SAIH). Finally, there was no change in the price-volume relation around the two events and urgent assessment of the new market reform is recommended.
- Keywords
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JEL Classification (Paper profile tab)G10, G12, G14, M38, M39
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References48
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Tables7
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Figures1
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- Figure 1. Daily market return for the period from January 2005 to the end of 2017
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- Table 1. Summary statistics of the data
- Table 2. LM test for autoregressive conditional heteroskedasticity (ARCH) effect
- Table 3. GARCH (1,1) of volume, return, volatility relationship
- Table 4. GARCH (1,1) of volume, return, volatility relationship with volume included in the variance
- Table 5. GARCH (1,1) of volume, return, volatility relationship pre and post CMA law
- Table 6. GARCH (1,1) of volume, return relation in pre-post CMA law, volume included in variance equation
- Table 7. GARCH (1,1) of volume, return and volatility relationship in pre-post financial crisis
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Fund performance-flow relationship and the role of institutional reform
Jinyu Feng ,
Wenzhao Wang
doi: http://dx.doi.org/10.21511/imfi.15(1).2018.26
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 311-327 Views: 1861 Downloads: 211 TO CITE АНОТАЦІЯExtant literature shows the positive impact of institutional development on investor rationality and market efficiency. The authors extend this evidence by investigating the performance-flow relationship in the Chinese mutual fund market before and after the enforcement of the revised Law of the People’s Republic of China on Securities Investment Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers before institutional reform, but gradually become rational and less obsessed with star-chasing behaviors after reform. Moving one percentile upward in the relative performance among the star funds is associated with money inflows by 0.532% after reform, much lower than 1.433% before reform. The findings confirm the positive influence of institutional development on investor rationality and market efficiency. The successful experience can be borrowed by other emerging markets with less developed institutions.
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The impact of foreign ownership on corporate governance: evidence from an emerging market
Rawan Shubita , Moade Fawzi Shubita
doi: http://dx.doi.org/10.21511/imfi.16(2).2019.09
Investment Management and Financial Innovations Volume 16, 2019 Issue #2 pp. 101-115 Views: 1859 Downloads: 266 TO CITE АНОТАЦІЯThis research explores the influence of foreign ownership on non-financial public shareholding firms in the Amman Stock Exchange (ASE). The study involved an investigation into the connection between non-Jordanian ownership and the company growth opportunity, stock liquidity, leverage, dividend policy and business output. The results highlight that foreign ownership can provide improved corporate governance practices by playing a decisive role in increasing the growth opportunity and enhancing the firms’ market valuation, as measured by Tobin’s Q. Moreover, the findings indicate that companies with foreign board membership have better operating performance and higher firm value. The rewards were reaped by foreign investors based on their superior monitoring ability, which affects the decisions made and actions taken by management.
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New market reforms and stock exchange liquidity: the case of Kuwait
Amani kh. Bouresli ,
Fayez A. Abdulsalam
doi: http://dx.doi.org/10.21511/imfi.16(1).2019.04
Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 46-64 Views: 1755 Downloads: 162 TO CITE АНОТАЦІЯIn developing markets, new regulations are imposed to protect investors, to assure fairness and to enhance trust through controlling all types of market abuse. In addition, these regulations are imposed to enhance the overall market performance and efficiency. Market liquidity is one of the main pillars used to measure market overall performance. In this paper, the authors attempt to analyze market liquidity before and after the passage of the Capital Market Authority Law of 2010 (CMA), aimed at enhancing investors’ confidence and reinforcing better disclosure quality and accountability for Kuwait public companies. By introducing six liquidity measures that captures market depth, turnover, and volatility, the authors documented highly significant deterioration in all the measures following the CMA Law with more profound effect on smaller firms. The researchers concluded that overstated regulations in developing markets, in spite of its goal of improving market overall performance, structure, enhancing investors’ protection, and market integrity, can have an adverse effect on market efficiency.
