Googling Investor’s Sentiment: Powerful Measure in Conventional and Islamic MENA Financial Markets

ABSTRACT

The objective of this paper is to investigate whether investors' sentiment measured by the Internet search behavior constitutes a valid measure of investor’s sentiment on Islamic and conventional indexes of emerging and frontier financial markets in MENA countries. In fact, we examine the relation between googling investor’s sentiment and monthly Islamic and conventional index returns during the period 2004–2016. Using the Dynamic Conditional Correlation, the BEKK-GARCH and the wavelet coherence models, we confirm that googling investor’s sentiment is a perfect indicator of investor’s sentiment measure. Indeed, we find that this measure has the ability to reflect major events such as subprime financial crisis, oil crisis and Arab spring revolution affecting MENA Islamic and conventional index markets. Our finding indicates that investors can use googling investor’s sentiment as an indicator to predict returns and volatility of emerging and frontier markets since it reflects the behavior and emotions of investors in MENA financial markets.     

Variegated Finance Capital and the Political Economy of Islamic Banking in the Gulf

ABSTRACT

The significant expansion of Islamic Finance (IF) over recent years provides a useful vantage point for examining the variegated nature of global finance. Nonetheless, within the substantial political economy literature on IF, there has been surprisingly little reflection on the concrete forms of class and capital accumulation underlying IF in particular national contexts. Against a methodological tendency to divorce Islamic financial markets from the wider circuit of capital, this article employs a Marxian conception of ‘finance capital’ to examine the class composition of Islamic banking in the six Arab states of the Gulf Cooperation Council (GCC). The core argument is that the expansion of GCC Islamic financial markets reflects the growth of a distinct class-fraction of privately-controlled finance capital in the Gulf. The specificity of this process in the Gulf involves a set of privately-controlled conglomerates whose interests are uniquely interlocked with the ownership of Islamic banks but extend beyond these to a range of other moments of capital accumulation – most prominently those connected to the transformation of the built environment. These class relations differ from conventional banking in the Gulf, and highlight the importance of critical political economy in developing alternative interpretations to the dominant, industry-linked literature.     

Islamic financial markets and global crises: Contagion or decoupling?

This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emerging markets and the global Islamic stock and bond (sukuk) indices, we explore asymmetric conditional correlation dynamics across stable and crisis periods and across the two crises. The results fail to provide strong contagion evidence between conventional and Islamic equity and bond indices, supporting the decoupling hypothesis of the Islamic securities. Our findings imply that Islamic equities and bonds may provide a cushion against risk and instability, particularly in periods of turmoil. The small number of contagion cases mostly relates to the ESDC and developed Islamic stock indices. The findings also show that the Islamic emerging stock indices in the BRICS provide the most effective international portfolio diversification benefits compared to the Islamic developed indices.     

AN EMPIRICAL NOTE ON CRITICAL COMMENTARY IN AUSTRALIAN ECONOMICS JOURNALS

A substantial empirical literature exists on ranking the published research output of individual academic economists and individual university Economics departments, including Australian work in Economics. However, very little corresponding effort has been directed at examining trends in the nature of published articles, and this embryonic literature is exclusively focused on a handful of top-ranked journals to the exclusion of Australian Economics journals. This note seeks to fill this gap by adopting the methodology developed by Coelho et al. (2005) in their analysis of the decline in critical commentary and applying it to Australian Economics journals for the period 1962 to 2005.     

Are Islamic stock markets efficient? A time-series analysis

This article investigates the weak-form informational efficient hypothesis for three major Islamic stock markets (world, emerging and developed). Unlike previous studies, we applied different parametric and nonparametric tests to investigate efficiency in the short and long horizons. Using recent data over the period May 2002–June 2012, we developed a time-series analysis of Islamic stock price dynamics in the context of the recent global financial crisis (2008–2009). Our analysis offers two interesting results. First, emerging Islamic stock markets seem to be less efficient than developed Islamic markets, suggesting interesting investment opportunities and diversification benefits from this region in both the short run and the long run. Second, nonrejection of the cointegration hypothesis for developed Islamic markets and the global conventional stock market point to efficiency for the former in the long term, even if it is inefficient in the short term. This finding has at least two economic and political implications: (i) investors who seek moderate risk would do well to opt for Islamic funds in developed countries, particularly as they share the same tendency and provide similar expected returns in the long term as conventional funds, (ii) Islamic financial systems can offer a useful model that can help to reform and remodel conventional financial institutions.     

Dual market competition and deposit rate setting in Islamic and conventional banks

This paper addresses the issue of competition in dual banking markets by analyzing the determinants of deposit rates in Islamic and conventional banks. Using a sample of 20 countries with dual banking systems over the 2000–2014 period, our results show significant differences in the drivers of Islamic and conventional banks' pricing behavior. Conventional banks with stronger market power set lower deposit rates but market power is not significant for Islamic banks. In predominantly Muslim environments, conventional banks set higher deposit rates and further higher when their market power is lower. Whereas conventional banks are influenced by the competitiveness of Islamic banks, Islamic banks are only affected by their peers in predominantly Muslim countries. Our findings have important implications regarding competition and bank stability in dual banking markets.     

关于劳动力市场分割动因的三种解释——评述与拓展

20世纪80年代中期以来,新古典经济学凭借对内部劳动力市场理论的深入拓展,在SLM理论的研究中日益占据主导地位,然而均衡分析的思路却打破了资本主义生产关系制造分割的劳动力市场这一根本性的矛盾。以激进政治经济学派为代表的西方马克思主义经济学研究,通过对资本主义劳动过程和积累的社会结构的分析,在生产关系的层面对劳动力市场分割的形成和延续提供了进一步解释。而剑桥学派秉持的社会经济因素作用于劳动力市场结构形成的思路,无疑有助于解释劳动力供给和需求的结构如何"天然地"制造分割,将更广泛的社会经济因素引入了讨论。在全球化生产的背景下对上述理论进行评析、互动与拓展,可以为解释中国的劳动力市场分割提供一个更有益的方法论参考。     

Islamic Economics in the Late Ottoman Empire: Menâpirzâde Nuri Bey's Mebâhis-i İlm-i Servet

The existing literature on Islamic economics suggests that Islamic economics is a twentieth-century phenomenon with its roots in medieval Islamic intellectual and theological history, thereby leaving a centuries-long gap in the history of Islamic economic thinking. This study aims at taking a first step towards filling this gap by examining a nineteenth-century example of Islamic economics in late Ottoman economic literature. Suggesting a broader definition of Islamic economics, this article investigates a prominent Ottoman intellectual's efforts to define, reveal, and revive a tradition of Islamic economics in historical and intellectual context.     

Uncertainty assessment in socially responsible and Islamic stock markets in the short and long terms: an ARDL approach

This study measures financial uncertainty for two classes of alternative financial assets (Dow Jones Islamic and Dow Jones Sustainability Indexes) and the conventional US stock market (Dow Jones Industrial Index) for the period of 1999–2017, using an asymmetric exponential GARCH model. Using an ARDL model, we propose an intertemporal dynamic analysis of uncertainty for Islamic and socially responsible stock markets. Our findings show that, first, conventional and ethical investments present high comparable levels of uncertainty for which the dynamics is time-varying. Second, uncertainty in the conventional US stock market has a significant and positive effect on the uncertainty in alternative stock markets. Thus, uncertainty characterizes conventional and ethical stock markets both in the short and long terms. In particular, while the short-term uncertainty of ethical markets might be associated with their characteristics, the long-term aspect of uncertainty for ethical funds is rather associated with the effect of the conventional stock market environment. Although these findings show mean-reversion and uncertainty spillovers from the alternative stock markets to the conventional US one, they suggest lack of safety and certainty for investments in ethic markets, which remain fragile and closely dependent on the conventional market.     

Ten Years of the PHD Conference in Economics and Business

Since its commencement in 1987, the PhD Conference in Economics and Business has become an important annual event in Australian Economics. This paper presents an overview of the last ten years of the conference regarding the students involved, their topics and backgrounds, as well as some information on the nature of PhD studies. The experience of these students reveals some key factors that seem to lead to successful research outcomes.     

Causality patterns in aggregate labor markets: A statistical analysis of west german data

Empirical Economics - The paper addresses the dynamic interaction between strikes and wage increases in aggregate labor markets. Attention is drawn to the fact that pertinent empirical studies...     

Behavioral norms in the Islamic doctrine of economics: A critique

At the heart of the contemporary Islamic doctrine of economics lies a set of behavioral norms derived from the first Islamic society in seventh century Arabia. This paper demonstrates that these norms cannot be expected to serve as the spearhead of a drive for modern economic development. For one thing, the proposed norms are unlikely to enjoy widespread adherence in large societies where it is difficult to achieve a common perception of reality, elicit generalized altruism and overcome the free rider problem. Secondly, many Islamic norms are ambiguous, and some interfere with institutions designed to improve the workings of markets.     

Aggregation and the analysis of markets

The case for aggregating relations in Economics is often tenuous. This paper shows that under conditions of genuine ignorance and real historical time, it is not possible to aggregate from individual demand and supply functions to market-level demand and supply functions. Hence the traditional analysis of markets based on market demand and market supply is called into question. Two proposals for replacing the traditional market analysis are suggested that do not rely on aggregation within markets.     

市场拓展、报酬递增与区域分工——以“义乌商圈”为例的分析

基于发达国家工业化进程历史与现实观察的"专业市场消亡论",与义乌中国小商品城市场二十多年快速发展的现实并不相符。本文采用一个拓展的新兴古典经济学分工模型,结合空间经济学的基础—乘数模型,分析了在规模报酬递增前提下,义乌中国小商品城市场存在与发展的根本原因是由于其提供了一条形成跨区域分工协作网络——"义乌商圈"的有效路径,并论述了在这一过程中多方均能获益的内在机理。与原有研究义乌市场和"义乌模式"的文献相比,本文的创新之处在于将义乌市场置于跨区域分工协作网络的核心地位来加以研究。     

Consumer surplus bias and the welfare effects of price discrimination

Journal of Regulatory Economics - This paper examines the incentives for efficient pricing mechanism in markets with non-convexities. The wholesale electricity market is a prominent example....     

Entrepreneurial aesthetics

The Review of Austrian Economics - This paper examines the aesthetic dimension of innovative entrepreneurship. It treats markets as aesthetic systems that involve the creation, interpretation and...     

知识溢出的测度方法综述

近年来知识溢出问题在区域经济学、新增长理论和空间经济学等领域获得了大量研究,相应地知识溢出测度方法的探索也成了关键问题。知识溢出的测度方法分为4类:技术流量法、成本函数法、生产函数法和文献追踪法,分别对这4种方法进行综述,并讨论了各自的优缺点。     

Tracing the Origins of Personalist Economics to Aristotle and Aquinas

Personalist Economics has identified a central problem in Neoclassical Economics that originates in its representation of the economic agent as homo economicus and its grounding in individualism. Both flaws are directly addressed by Personalist Economics that has a different perspective on human nature as set forth in Personalism. Our remarks are presented in three sections. In the first section we address why individualism is an unsatisfactory philosophical foundation for modern economic theory. In the second section we trace the origins of Personalist Economics to Aristotle and Aquinas. While others, such as Heinrich Pesch and Joseph Schumpeter, played important roles in the evolution of Personalist Economics, here our efforts are restricted to the contributions of Aristotle and Aquinas. In the third section we explore how, in terms of 18 tenets, Personalist Economics and a Personalist economy differ from Mainstream Economics and the individualistic market economy.     

The Saturday effect: an interesting anomaly in the Saudi stock market

The vast majority of empirical research on calendar anomalies has studied financial markets in countries where the Western calendar is used. This article investigates day of the week effects in Saudi Arabia’s stock market, where an Islamic calendar is used and where Saturday is the first working day of the week over the sample period considered. The Saudi stock market is the largest in the Gulf region, and we consider both total market data (the TASI index) and data for 15 sector indices. Our investigation reveals the existence of a positive Saturday effect, which contrasts with the results on first day of the week effects that are typically obtained for Western calendar markets.