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Vol. 9, Number 1, March 2012

Board Gender Diversity, Corporate Reputation and Market Performance
Meredith B. Larkin, Richard A. Bernardi and Susan M. Boscoi
Roger Williams University, United States of America
 
Abstract Ɩ Full Text
This study examines the association between corporate transparency, ethical orientation of Fortune 500 companies, the number of females represented on the board of directors as reported in the 2010 annual report data and respective stock performance. Our basis for this judgement was whether the firm was listed on either (both) Ethisphere Magazine’s 2010 ‘World’s Most Ethical Companies’ or (and) Corporate Responsibility Magazine’s 2010 ‘100 Best Corporate Citizens List’. Our results indicate that, as the number of women directors increased, the probability of a corporation appearing in these lists increases. Finally, while being on one of these lists did not increase corporate return data in a statistically significant sense, it did dramatically reduce the degree of negative returns.
 
Keywords: Ethical orientations, corporate reputation, market performance, gender diversity
JEL Classification: G39, M14
 

 
Impact of Macroeconomic and Endogenous Factors on Non Performing Bank Assets
Vighneswara Swamy
Indian Business School, Hyberabad, India
 
Abstract Ɩ Full Text
Determinants of default risk of banks in emerging economies have so far received inadequate attention in the literature. Using panel data techniques, this paper seeks to examine the impact of macroeconomic and endogenous factors on non-performing assets during 1997-2009. The findings reveal some interesting inferences contrary to the perception of few opinion makers. Lending rates have been found to be not so significant in affecting the non-performing loans, which is contrary to the general perception. Such assets have a negative and significant influence, indicating that large banks may have better risk management procedures and technology which definitely allows them to finish up with lower levels of non-performing assets compared to smaller banks. Further, this study suggests that private banks and foreign banks have advantages in terms of their efficiencies in better credit management that contains non-performing assets. That indicates that bank privatization can lead to better management of default risk.
 
Keywords: Banks, risk management, ownership structure, financial markets, non-performing assets, lending policy, macro-economy, central banks.
JEL Classification: G12, G32, E44, E51
 

 
Modelling and Forecasting Volatility in the Gold Market
Stefan Trück and Kevin Liang
Macquarie University, Australia
 
Abstract Ɩ Full Text
We investigate the volatility dynamics of gold markets. While there are a number of recent studies examining volatility and Value-at-Risk (VaR) measures in financial and commodity markets, none of them focuses on the gold market. We use a large number of statistical models to model and then forecast daily volatility and VaR. Both in-sample and out-of-sample forecasts are evaluated using appropriate evaluation measures. For in-sample forecasting, the class of TARCH models provide the best results. For out-of-sample forecasting, the results were not that clear-cut and the order and specification of the models were found to be an important factor in determining model’s performance. VaR for traders with long and short positions were evaluated by comparing failure rates and a simple AR as well as a TARCH model perform best for the considered back-testing period. Overall, most models outperform a benchmark random walk model, while none of the considered models perform significantly better than the rest with respect to all adopted criteria.
 
Keywords: Gold markets, volatility, forecasting, value-at-risk, backtesting
JEL Classification: G17, C22, G32
 

 
Interest Rate Convergence in Bangladesh
Dewan M. Rahman and Kohinur Akter
University of Dhaka and BRAC University, Bangladesh
 
Abstract Ɩ Full Text
Financial liberalization, a widely-accepted policy paradigm since the 1980s, aims to remove financial repression and thus establish an efficient financial sector as a pre-requisite for financial development. Interest rate convergence is one of the obvious outcomes of the interest rate liberalization, a crucial part of financial liberalization. Uniformity of interest rate should be there in a free and competitive financial market. This paper examines the state of interest rate convergence by measuring the degree of convergence in the financial market of Bangladesh, a success case of financial liberalization initiated in the 1990s.
 
Keywords: Financial sector reform programs, private commercial banks, nationalized commercial banks, foreign commercial banks, specialized banks, interest rate convergence
JEL Classification: O16, P22

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