International Journal of Accounting and Finance (5 papers in press)

Regular Issues

• The COVID-19 pandemic and volatility in the emerging stock markets of GCC countries  
  by Elgilani Elshareif, Muhammed Kabir, Murad Mujahed, Rayan Chelli 
  Abstract: The external shocks caused by the COVID-19 pandemic in the beginning of 2020 coupled with the sharp decline in oil prices had an intense effect on the volatility of the stock markets of the GCC countries. The GCC economies and stock markets are closely tied to the international economies, and as such, for comparison's sake, the US stock market volatility is being used as a proxy for the major international markets. The statistical analyses indicate that the volatility of the GCC stock markets was higher than that of the US market. The findings indicate that volatility of the markets of Saudi Arabia, the UAE, and Qatar returned in July 2020 to their pre-crisis levels. The paper suggests policy recommendations for the GCC governments to mitigate the impact of external shocks.
  Keywords: COVID-19 pandemic; oil price fluctuations; volatility of GCC stock markets; economic policies.
  
  
• Unravelling the mixed performance of socially responsible funds: a comprehensive literature review  
  by Surbhi Verma, Ashu Khanna 
  Abstract: In recent years, there has been a noticeable surge in the body of knowledge surrounding socially responsible investment (SRI), yet the findings in the literature have not provided conclusive evidence regarding the performance of SRI funds. Our objective is to provide researchers with a deep understanding of the intricate factors that contribute to the inconclusive results in the literature. Furthermore, we will present information on influential journals, trends in SRI, and the most cited countries in the field. To achieve the objective, we employ a comprehensive mixed review method approach, combining systematic and bibliometric analysis. The study encompasses scholarly articles recorded in Web of Science and Scopus from 1991 to 2023. Our analysis indicates that various factors such as age, size, location, risk-adjusted measures, and previous researchers’ mistaken belief in the homogeneity of these funds influence the performance of SRI funds. The study is vital for offering a detailed examination of the extensive literature on SRI, equipping scholars with essential insights.
  Keywords: socially responsible mutual funds; ethical funds; financial performance of SRI; socially responsible investment; bibliometric analysis.
  DOI: 10.1504/IJAF.2024.10066785
   
  
• Mediating effect of capital structure in determining firms financial performances of Indian SMEs: a structural equation modelling approach  
  by Mahuya Basu 
  Abstract: Small and medium scale enterprises (SMEs) constitute an important part of Indian economy but their financial decision-making processes are substantially different from that of large corporations. In this context, the current study aims to identify the firm specific factors that play a decisive role in determining the level of debt and financial performance of SME firms simultaneously, and to explore the mediating effect that leverage has in impacting the financial performance. The study uses a structural equation modelling approach with multiple indicators to estimate the determinants of leverage and return on equity, with leverage being treated as a mediating variable. It is found that the mediating effect of debt is significant but partial in determining the financial performances of the firms. The study also indicates that Indian SMEs are primarily risk averse and may prefer internal fund over external debt validating the pecking order theory of capital structure.
  Keywords: capital structure determinants; structural equation method; mediating effect of debt; small and medium scale enterprises.
  DOI: 10.1504/IJAF.2024.10066882
   
  
• The interplay of hybrid preferred and debt security innovation, macroeconomic variables and regulatory agencies from 19832016  
  by George Gamble, Beu Lee, Thomas Noland, Cynthia Tollerson 
  Abstract: This study finds that when the downward trend in interest rates began, innovative hybrid bond issuances reached their highest level. In the mid-1980s, when interest rates and volatility were falling, the demand for interest-rate-linked hybrid securities increased, creating a demand for new interest-rate-linked hybrid securities. On average, hybrid securities issuances followed the same pattern as the Dow Jones Index. However, this correlation shifts after 2001 until 2006. Amid the stock market slide, investors found hybrid debt to be a safe investment. The FASBs regulatory impact is the greatest for those innovative securities that are, for the most part, only issued by non-regulated entities. Security innovation and regulation are closely related when securities are issued in highly regulated industries. The relationship between security innovation and regulation is loose for innovative securities designed for less regulated industries. Macroeconomic variables appear to impact issuances of innovative securities in less-regulated industries more than those designed for highly regulated industries.
  Keywords: hybrid securities; macroeconomic variables; regulatory agencies; innovative securities; hybrid debt; hybrid preferred stock; financial reporting; regulated industries; recession.
  DOI: 10.1504/IJAF.2024.10067259
   
  
• Asset allocation under regimes in European economies  
  by Sebastien Berujon, Marcelo Lewin, Carlos Heitor Campani 
  Abstract: The study investigates a dynamic asset allocation strategy in a regime-switching economy. We applied the analytical solution proposed by Campani et al. (2021), i.e. the CGL model, updating its optimisation procedure with a multi-start constrained estimation method. We identified four regimes with a portfolio formed from main European stock market indices. Then, we performed an accuracy assessment, which indicated that the model provided adequate closed-form solutions to maximise the investor's stochastic differential utility. Finally, we analysed the performance of the CGL model for different leverage levels and rebalancing policies, in an out-of-sample exercise. The results demonstrated that the CGL portfolios offer superior return-to-risk ratios than the benchmarks, and outperform their certainty equivalent returns with statistical significance.
  Keywords: regime switching models; dynamic asset allocation; portfolio strategies; analytical solutions; European stock market.
  DOI: 10.1504/IJAF.2024.10067386