Search   Date Range  
  in   All Years to:
Published Articles for Year 1999
Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 1-17
Pekka Ahtiala , University of Tampere, Finland    Corresponding Author
Yair E. Orgler , Tel Aviv University, Israel

Abstract:
The paper explores the conditions whereby an exporter can gain a competitive advantage by offering a buyer a contract with a choice of invoice currencies rather than a single currency, and determines the value of such a choice. The model incorporates accounts-payable management with exchange- risk management, taking into account the forward exchange rate and the seller's assumptions about the buyer's initial foreign exchange position, its expectations about the future spot rate, and its risk premium. It demonstrates how the value of a choice depends on these variables, as well as on the market interest rates in the two currencies, and on the implicit conversion factor that the seller uses in pricing in different currencies.

Keywords : invoice currency choice; payment terms in foreign trade
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 19-40
Nikitas Niarchos , University of Athens, Greece    Corresponding Author
Yiuman Tse , State University of New York at Binghamton, U.S.A.
Chunchi Wu , Syracuse University, U.S.A.
Allan Young , Syracuse University, U.S.A.

Abstract:
This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance spillovers between the two markets. It also performs cointegration tests on the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle and Kozicki (1993). The results show no spillovers between these two markets for the conditional mean and variance. Also, the cointegration test shows that these two markets are not driven by a common trend. It appears that the U.S. and Greek stock markets are not related to each other, either in the short-run or in the long-run. Contrary to previous studies of the world’s large financial markets, the evidence here shows that the U.S. market does not have a strong influence on the Greek stock market.

Keywords : cointegration; clustering; EGARCH; heteroskedasticity; spillover
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 41-70
Hung-Gay Fung , University of Missouri, U.S.A.    Corresponding Author
Wai K. Leung , University of Hong Kong, Hong Kong
Gary A. Patterson , University of South Florida, U.S.A.

Abstract:
Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners) may yield large profits. This article expands this line of research by applying these trading rules to Pacific Basin markets. Striking differences in the pattern of portfolio returns between most Pacific Basin markets and those in the U.S. market are found. This article demonstrates that profitable trading strategies developed in the U.S. may not be successfully transferred to other national markets.

Keywords : Pacific Basin and U.S. stock markets; trading rules; transaction costs
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 2, pp. 71-101
Michael Doumpos , Technical University of Crete, Greece    Corresponding Author
Constantin Zopounidis , Technical University of Crete, Greece

Abstract:
Financial distress prediction is an essential issue in finance. Especially in emerging economies, predicting the future financial situation of individual corporate entities is even more significant, bearing in mind the general economic turmoil that can be caused by business failures. The research on developing quantitative financial distress prediction models has been focused on building discriminant models distinguishing healthy firms from financially distressed ones. Following this discrimination approach, this paper explores the applicability of a new non–parametric multicriteria decision aid discrimination method, called M.H.DIS, to predict financial distress using data concerning the case of Greece. A comparison with discriminant and logit analysis is performed using both a basic and a holdout sample. The results show that M.H.DIS can be considered as a new alternative tool for financial distress prediction. Its performance is superior to discriminant analysis and comparable to logit analysis.

Keywords : discrimination; financial distress; mathematical programming; multi-criteria decision aid
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 2, pp. 103-125
Sunti Tirapat , Chulalongkorn University, Thailand    Corresponding Author
Aekkachai Nittayagasetwat , National Institute of Development Administration, Thailand

Abstract:
The emergence of the economic crisis in Thailand in 1997 is an interesting case for academic studies. Internationally, it had a contagion effect, spreading to countries in Asia and in other regions. Domestically, it caused a great many industrial and corporate bankruptcies. The Thai economy had been relatively stable since 1984. The recent development in 1997, however, produced a sudden economic slump resulting in closures of many Thai corporations. Using a logit regression, this study develops a macro-related micro-crisis investigation model. The significance of the model is in its ability to bridge a firm's sensitivity to macroeconomic conditions and its financial characteristics in order to explore a firm's financial distress. The findings indicate that macroeconomic conditions are critical indicators of potential financial crisis for a firm. The article shows that the higher a firm's sensitivity to inflation, the higher the firm's exposure to financial distress.

Keywords : bankruptcy; financial distress; prediction model; and Thailand crisis
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 2, pp. 127-145
Obeua S. Persons , Rider University, U.S.A.    Corresponding Author

Abstract:
This article combines qualitative and quantitative information from financial statements and auditors' reports with logistic models to differentiate failed from surviving finance companies in Thailand. Failed companies are those that were forced to suspend their operations in mid-1997. The results indicate that auditors' reports from the 1996 financial statements did not differentiate failed from surviving finance companies. On the other hand, the logistic regression models indicate that failed finance companies had lower profitability, lower foreign borrowing possibly due to their poorer credit rating, lower management quality, and smaller size. These models have relatively high predictive ability for failed finance companies and low expected costs of misclassification

Keywords : CAMEL; emerging economies; financial failure; logistic model; Thailand
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 3, pp. 147-172
Norbert Fiess , University of Strathclyde, U.K.    Corresponding Author
Ronald MacDonald , University of Strathclyde, U.K.

Abstract:
Most technical analysis studies are concerned with the profitability of technical trading rules and almost all of them focus exclusively on trend- following patterns. In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low, and Close prices of daily exchange rates. Since, for a given exchange rate, it can be shown that these prices have different time series properties, it is possible to explore the structural relationships between them using multivariate cointegration methods. This methodology facilitates the construction of dynamic structural econometric models, which are used to derive dynamic out-of-sample forecasts over different time horizons. Compared to standard benchmarks, it turns out that these models have extremely good forecasting properties, even when allowance has been made for transactions costs and risk premia

Keywords : exchange rates forecasting; technical analysis
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 3, pp. 173-221
Winston T. Lin , State University of New York at Buffalo, U.S.A.    Corresponding Author

Abstract:
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.

Keywords : currency betas; five special tests; four-step generalized least squares; mean and variance shifts; the unbiasedness hypothesis; variable-mean-response random coefficients models
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 223-252
Gulnur Muradoglu , University of Manchester, U.K.    Corresponding Author
Hakan Berument , Bilkent University, Turkey
Kivilcim Metin , Bilkent University, Turkey

Abstract:
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other

Keywords : emerging; financial crisis; GARCH-M; Istanbul Stock Exchange; macroeconomic variables; risk; stock returns
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 1999, vol. 3, no. 4, pp. 253-282
Ranko Jelic , University of Birmingham, U.K.    Corresponding Author
Richard Briston , University of Hull, U.K.
Chris Mallin , University of Birmingham, U.K.

Abstract:
A transition from centrally-planned towards market-based economies in Central and Eastern European Countries (CEEC) in the early 1990's, resulted in mass privatisation programmes and the transformation of the state-controlled banks, the main (and sometimes the only) financial intermediaries in those countries. Given the unique institutional background, the focus of this paper is upon answering the following two questions: First, whether, and if so how, the emerging financial structures of firms in transition economies differ from the structures in Western financial markets? Second, what are the factors that affect bank loan supply schedules in transition economies, and to what extent do they differ between the selected countries? Results from data sets for firms in the Czech Republic, Hungary, and Poland suggest lower debt ratios than those reported for the G-7 countries.

Keywords : bank lending; enterprise debt; firm financing; transition economies
View in Bib TeX Format      View Cite Format 1      View Cite Format 2