Investment Management and Financial Innovations

Journal Information
ISSN / EISSN : 18104967 / 18129358
Current Publisher: LLC CPC Business Perspectives (10.21511)
Total articles ≅ 548
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DOAJ
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Latest articles in this journal

Ramzi Nekhili
Investment Management and Financial Innovations, Volume 17, pp 1-9; doi:10.21511/imfi.17(3).2020.01

Abstract:
The emerging interest in Bitcoin futures market has led to questions on its trading form and contribution to risk minimization. These questions are important for market participants, including hedgers and speculators. This paper addresses the possible trading motive in Bitcoin futures market in being speculation or hedging. The author first tests a model relating Bitcoin futures returns with trading volume and conditional volatility, estimated with a GJR-GARCH specification, on a full sample of daily futures prices. A robustness check is then conducted by investigating the hedging effectiveness of Bitcoin futures and the speculation-hedging ratios on individual Bitcoin futures contracts. The estimation results on Bitcoin futures contracts, spanning from December 2017 to February 2020, show a significant positive relationship between futures returns and lagged volume. The speculation-hedging measures used for Bitcoin futures contracts maturing in March, June, September, and December reveal an increasing demand for speculation. Also, the Bitcoin spot’s full-hedge and OLS-hedge strategies with Bitcoin futures provide no gain over a no-hedge strategy. The results reveal strong evidence that traders in the Bitcoin futures market are motivated by speculation rather than hedging. This further puts in evidence the existence of asymmetric information within informed traders in Bitcoin futures market, and therefore market participants would not insure their positions against Bitcoin price movements.
Tran Quoc Thinh, Dang Anh Tuan, Nguyen Thanh Huy, Tran Ngoc Anh Thu
Investment Management and Financial Innovations, Volume 17, pp 377-388; doi:10.21511/imfi.17(2).2020.29

Abstract:
Financial distress is a matter of concern in the recent period as Vietnam gradually enters global markets. This paper aims to examine the factors of Altman Z-score to detect the financial distress of Vietnamese listed companies. The authors use a sample of 30 delisted companies due to financial problems and 30 listed companies on the Vietnamese stock market from 2015 to 2018. They employ Independence Samples T-test to test the research model. It is found that there are significant differences in the factors of Altman Z-score between the group of listed companies and the group of delisted companies. Further analyses using subsamples of delisted companies show that the factors of Altman Z-score are also statistically different between companies with a low level of financial distress and those with a high level of financial distress. Based on the results, there are some suggestions to assist practitioners and the State Securities Commission in detecting, preventing, and strictly controlling financially distressed businesses. These results also enable users of financial statements to make more rational economic decisions accordingly.
Do Thi Van Trang, Dinh Hong Linh
Investment Management and Financial Innovations, Volume 17, pp 389-396; doi:10.21511/imfi.17(2).2020.30

Abstract:
This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that market liquidity is influenced by earnings management that means the higher level of earnings management, the better equity liquidity. The findings provide additional insight into the determinants of stock liquidity such as earnings management, firm size, daily trading dollar volume of stock, average daily trading dollar volume of the firm, daily returns of stock, daily stock returns, average closing stock price of the firm.
Serhiy Reverchuk, Olga Vovchak, Tetyana Yavorska, Lyudmyla Voytovych, Olesya Irshak
Investment Management and Financial Innovations, Volume 17, pp 353-363; doi:10.21511/imfi.17(2).2020.27

Abstract:
Successful solution of main problems and contradictions in the development of financial intermediaries’ investment activities largely depends on their timely detection, which is facilitated using trend forecasting models. The research aims to determine the current investment potential of financial intermediaries in the Ukrainian economy, find out the features and general problems, and identify the main perspective directions for the development of their investment activities. The article reveals the main internal and external factors and the source of development and inhibition of Ukrainian banks’ investment activities, insurance companies, and non-government pension funds. Based on the analysis, the investment structure patterns for key groups of financial intermediaries were defined. The forecast of their investments for 2020–2022 allows comparing the investment activities of selected financial intermediaries and offering conditions for the intensification of investment activities for banks (formation of reserves and cash flows control), insurance companies (to develop investment strategies), and private pension funds (to allow investing funds in collateralized government debt securities).
Omar K. Gharaibeh, Saqer Al-Tahat
Investment Management and Financial Innovations, Volume 17, pp 364-376; doi:10.21511/imfi.17(2).2020.28

Abstract:
This paper examines capital structure determinants for service companies in Jordan between 2014 and 2018. Secondary data from 45 companies were analyzed using the panel regression approach. The results show that the independent variables, suggested as capital structure determinants, have an effect on the debt ratio made by the service companies. Size and non-debt tax shield have a positive significant effect on the debt ratio, while profitability and business risk have a negative significant impact on the debt ratio. In general, the findings support the notion that the trade-off, bankruptcy cost, agency cost and pecking order theories are crucial in explaining the capital structure of Jordanian service companies except for non-debt tax shields and tangibility factors. Jordanian service companies do not use fixed assets as collateral or companies with higher collateral value tend to borrow less debt. Although the coefficient of institutional investors is statistically insignificant, it is still negative and economically significant. This paper concludes that size, profitability, business risk, non-debt tax shields and institutional ownership factors are fundamental in terms of shaping the capital structure in Jordanian service companies.
Guntur Anjana Raju, Sanjeeta Shirodkar
Investment Management and Financial Innovations, Volume 17, pp 334-352; doi:10.21511/imfi.17(2).2020.26

Abstract:
Researchers argue that ignoring the structural breaks in the time-series variance can cause significant upward biases in the degree of persistence in estimated GARCH models. Against this backdrop, the present study empirically examines the effect of stock futures on the underlying stock’s volatility in India by incorporating the structural breaks with the help of ICSS test and AR (1)-GARCH (1, 1) model for 30 most liquid and actively traded underlying stocks and their associated futures contracts. The study period ranges from the 1st January 2000 or the listing date of the particular stock (whichever is prior) till 31st March 2019. The study contributes to the on-going debate regarding the effect of derivatives on the underlying stock market’s volatility in two ways. Firstly, by taking into consideration the breaks in the volatility and, secondly, studying the effect of single stock futures will allow us to evaluate company-specific response to futures trading directly. The study offers a mixed outcome for the stocks under consideration. However, there is evidence of a decline in unconditional volatility for the majority of the stocks. The overall findings indicate that trading in stock futures may not have any detrimental effect on the underlying stock’s volatility.
Yuriy Turyanskyy, Irena Svydruk, Orystlava Sydorchuk, Nataliіa Mitsenko, Olga Klepanchuk
Investment Management and Financial Innovations, Volume 17, pp 320-333; doi:10.21511/imfi.17(2).2020.25

Abstract:
The paper proves that the Ukrainian economy’s systematic structural crises stipulated the necessity of choosing the effective forms of tax mechanism for its regulation. Systemic and institutional methods have been used to study the peculiarities of Ukrainian tax regulation. The methods of coefficient and relative values have been used to assess certain parameters of the tax burden. The dynamics of statistical data have been studied by the method of trend analysis. To determine the impact of the current tax system of Ukraine on economic growth, the authors tested several hypotheses about the dependence of the tax system and: GDP (1), industrial production (2), exports (3), investment dynamics (4), and unemployment rate (5) using econometric analysis with the package-statistical module EViews. The existence of a directly proportional relationship between the growth of tax revenues to the budget of Ukraine and the change of certain macroeconomic indicators is substantiated. It was found that the total tax burden on business in Ukraine reaches 41.5% of corporate profits, which exceeds similar indicators in most European countries. A tax regulation mechanism to stabilize the Ukrainian economy is proposed, in particular: proposals to revise tax rates, implement macroeconomic risk management tools, customs post-audit while providing transparency of tax legislation and its harmonization with the EU Customs Code, digitalization of the service component of tax administration.
Trinh Quoc Trung, Nguyen Van Tan
Investment Management and Financial Innovations, Volume 17, pp 277-296; doi:10.21511/imfi.17(2).2020.22

Abstract:
This paper aims to assess the impact of the tax incentive policy on firm performance after privatization in Vietnam. Using research data of 260 privatized enterprises in Vietnam, this study sheds light on whether tax incentive policies can help improve firm performance after privatization. The paper utilizes a pre-post comparison approach proposed by Megginson, Nash, and Van Randenborgh (1994). The research results reveal that privatized enterprises with tax incentives have improved profitability (ROA, ROE, ROS) and operating efficiency (NIEFF) and reduced leverage after privatization. A statistical reduction in the number of employed and an improvement in output (real income) after privatization are not observed. Besides, there is no statistical evidence proving that privatized enterprises have experienced significant changes in standard deviations of firm performance measures after privatization in Vietnam. Given significant improvements in the profitability of post-privatized enterprises with tax incentives, the authors propose some managerial implications for the Vietnamese government, investors and non-privatized state-owned enterprises (SOEs).
Ramzi Nekhili, Kostas Giannopoulos
Investment Management and Financial Innovations, Volume 17, pp 231-239; doi:10.21511/imfi.17(2).2020.18

Abstract:
The UK referendum in June 2016 on leaving the European Union had a negative impact on banking stocks across the major financial markets. This has left with a question dealing with the effect of UK banking institutions on the systemic risk on a global scale. This paper aims at investigating the changes in the dependence structure between the UK bank equity returns and its counterparts in the G7 economies. The methodology used is based on the GJR-GARCH volatility spillover model that accounts for asymmetry and leverage, and copula for the time-varying correlation structure among G7 banks. Taking the data on bank equity return indices for G7 economies, the results indicate the symmetric dependence structure between the UK and Italian banks and the asymmetric dependence between the UK and the rest of G7 banks. This is due to the simultaneous decline in bank shares prices across the Union. Such results are important constituents for cross-country portfolio diversification.
Marie H. Bani Khaled
Investment Management and Financial Innovations, Volume 17, pp 240-254; doi:10.21511/imfi.17(2).2020.19

Abstract:
This study aimed to examine the relationship between the compensation received by chief executive officers (CEOs) and the financial performance of Jordanian public shareholding industrial companies listed on the Amman Stock Exchange (ASE) from 2010 to 2017. To measure the variables of interest, secondary data published on the ASE website were processed to become preliminary data suitable for the study. The study population consisted of 56 companies, 25 of which met the inclusion criteria. The results of the analysis of the data on these 25 companies revealed a large difference between the amount of financial compensation received by CEOs and the earnings per share (EPS) received by shareholders. The results also showed a statistically positive and significant relationship between the amount of CEO compensation and the financial performance of industrial companies. Furthermore, return on assets (ROA), EPS, and leverage have a statistically negative and significant relationship with financial performance. However, the net profit margin has a statistically positive and significant relationship with financial performance. Besides, the results showed a positive and significant relationship between the age of the CEO and the amount of compensation received. On the other hand, Tobin’s Q model demonstrated that the relationship between CEO duality and the amount of CEO compensation is not statistically significant. Therefore, the study recommends using more than one type of compensation for the CEOs of public shareholding industrial companies in Jordan and that CEO compensation should be related to financial performance.
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