PurposeThe objective of this research is to examine empirically the effects of digital maturity (... more PurposeThe objective of this research is to examine empirically the effects of digital maturity (DM) on the firm's financial performance as measured by return on assets (ROA), return on equity (ROE) and Tobin's Q.Design/methodology/approachThe authors use a panel data sample of 92 observations collected from 23 listed firms on Sweden's stock exchange over four years, 2015–2018. The authors hand collect DM from the digital leader's reports and collect financial data from DataStream. Using both static and dynamic panel (generalized method of moments (GMM) estimation) regression models to perform endogeneity problem, the authors explore the impact of the DM index on ROA, ROE and Q of Tobin.FindingsThe results show that DM has a negative effect on ROA and ROE but a positive effect on Q of Tobin. This negative relationship can be explained, by the fact that information technology (IT) investment and the DM could take years to be materialized and to be captured by performa...
The present research provides an overview of links between exchange rate volatility and the dynam... more The present research provides an overview of links between exchange rate volatility and the dynamics of stock market returns in order to identify the influence of several macroeconomic variables on the volatility of stock markets, useful for political decision makers as well as investors to better control the portfolio risk level. More precisely, this research aims to identify the impact of exchange rate volatility on the fluctuations of stock market returns, considering two countries that belong to the Middle East and North Africa (MENA) zone: Tunisia and Turkey. Previous works in the literature used very specified and short periods of study, many important variables were neglected, and most of the earlier research was concentrated on the developed countries. In this research, we integrate several control variables of stock market returns that have not been simultaneously studied before. In addition, we spread out our research period up to 15 years including many events and dynamic...
The agency framework has shifted research in the theory of finance from the traditional quantitat... more The agency framework has shifted research in the theory of finance from the traditional quantitative analysis towards a richer analysis that incorporates the behavioural aspects. In this paper we implement an exploratory analysis in order to pick up the behaviour of the managers of small and medium firms (SMF) in financial decisions making. An Important finding in our research is that the traditional Modigliani and Miller framework cannot be merely translated to analyse the financing decision in a context of asymmetric information and agency conflicts among the different corporate actors. Empirical evidence is performed on a sample of Tunisian SMF
Abstract The coronavirus crisis impact on the digital sector is undoubtedly an important issue th... more Abstract The coronavirus crisis impact on the digital sector is undoubtedly an important issue that deserves to be studied. Researchers mostly focused on specific sectors such as tourism, healthcare sector, or the economy. This paper used a dynamic panel model to examine the COVID-19 crisis impact on the digital companies fl stock return. The findings indicate that both of the monthly growth in total infected cases and total death cases caused by COVID-19 have significant positive effects on stock returns across digital companies. This novel results contradicts previous research findings and highlights that this crisis is slowing down all the economic sectors.
The purpose of this paper is to examine the impact of short and long term uncertainty of portfoli... more The purpose of this paper is to examine the impact of short and long term uncertainty of portfolio flow and of industrial production on exchange rate dynamics. This paper employs a local level model to distinguish between short and long term uncertainty. Regression model is used to undertake empirical examination of the linkage between exchange rates, portfolio flow and industrial production. The results show that portfolio flows uncertainty has a significant effect on real exchange rate TND/USD over both short and long term. Evidence is also found of the significant impact of growth economic, measured by industrial production, on exchange rate in the long term. In addition, the real exchange rate TND/USD fluctuations are significantly influenced by exchange rate uncertainty. Even if determination of exchange rates by macroeconomic fundamentals has been often examined, few studies have investigated the response of exchange rate movements to portfolio flow changes in the Tunisian con...
Nowadays, the issue of corporate governance occupies central paramount position among the preoccu... more Nowadays, the issue of corporate governance occupies central paramount position among the preoccupations of the firms ’ decision-makers. Noteworthy, the relationship between governance and company performance is often stressed within the context of large companies and very few are those studies dealing with this subject as regard the small and medium enterprises (SME). In fact, most of the studies dealing with the governance question have predominantly out looked this issue with respect to the SME essentially in the context of the emergent countries. In this setting of analysis, the present research magic objective consists in highlighting the interaction dominating the governance relating mechanisms, namely, the directors ’ characters, the ownership structure and the directors ’ board regarding the SME performance. Actually, an examination of the tests conducted on a sample constituting of 50 Tunisian SMEs has shown that both the ownership structure and the board of directors play ...
Information plays a central role of asset pricing. Its effect on the option price depends on the ... more Information plays a central role of asset pricing. Its effect on the option price depends on the acquisition time of information. So the information costs are varying by the time: this is the dynamic information costs. This work deals with the impact of imperfections, such as the information asymmetry and the market sentiment on the performance of the currency option pricing models. Using the average squared error, we compare the model of Garman and Kolhagen and the new model in presence of dynamic information costs. So, we propose to present and to test the extended Garman and Kolhagen model in presence of dynamic information costs by using some daily data of futures continuous call on the Eur / USD pair from 2 June 2011 to 03 May 2017. Compared to Garman and Kolhagen (1983), this approach produces more reliable and accurate results for the analysis of currency options.
The present research provides an overview of the interactions and links between exchange rate vol... more The present research provides an overview of the interactions and links between exchange rate volatility and the dynamics of stock market returns in order to clarify the relationship between this variables for managers and investors who will be able to control better the portfolio risk level. This research aims to identify the impact of both exchange rate and relative prices uncertainty on the fluctuations of stock markets prices, considering two countries that belong to MENA zone. The GARCH model is applied to measure the volatility of our variables and implemented a multiple regression model to determine the impact of exchange rate and relative prices fluctuations as well as their volatilities on stock market volatility using Monthly data. In this work, several determinants of stock market indices are integrated in our empirical examination that have not been used simultaneously before, hence, the results show that in the case of Tunisia, exchange rate volatility have a significan...
Behavioural finance confirmed the existence of two types of agents, fundamentalists and chartists... more Behavioural finance confirmed the existence of two types of agents, fundamentalists and chartists, in the financial market. Fundamentalists follow the traditional efficiency market theory based on adaptive learning rule, whereas chartists follow the price tendency and past price movements. This paper examines the heterogeneity between fundamentalists and chartists. To this aim, we propose to introduce a sentiment variable in the classic model of Black and Scholes (1973) and to extract in a novel way the implied volatility variable. After that, we estimate the Markov switching model on this variable to test heterogeneity in the French market. The estimated daily data from 2009 to 2018 for 30 companies daily of CAC40 in a sectoral analysis confirm the evidence of heterogeneity between chartists and fundamentalists.
This study focuses on the impact of governance and more specifically on autonomy as a major dimen... more This study focuses on the impact of governance and more specifically on autonomy as a major dimension and mechanism in the context of higher education and its role in improving of the performance of education. Thus, the aim of our research is to address the close relationship between academic autonomy and the performance of public higher education institutions by taking the case of the University of Sfax as an example. The quantitative study of the different members of the Scientific Council of each institution shows that the governance of higher education, a key dimension of the health of the system, has a strong impact on the performance of higher education systems.
Asset pricing theory based on rationality was widely criticized in literature. Indeed, the non-in... more Asset pricing theory based on rationality was widely criticized in literature. Indeed, the non-inclusion of investor behavior and assuming market efficiency led to the weaknesses of option valuation through the traditional Black and Scholes model (1973). In this paper we examine the effect of the inclusion of investor behavior in the option pricing model. We test whether the Black and Scholes model in presence of sentiment behavior can lead to an improvement of the calculation of call price. Using daily data of 30 listed companies of France in the CAC40 index for the period June 18, 2009 to May 09, 2018, results showed that the introduction of sentiment effect in the Black and Scholes model provides better estimates of the call price than that obtained by the standard Black-Scholes model. In fact, we obtain an average gain of about 44% in terms of relative change in mean square error between both methods.
PurposeThe objective of this research is to examine empirically the effects of digital maturity (... more PurposeThe objective of this research is to examine empirically the effects of digital maturity (DM) on the firm's financial performance as measured by return on assets (ROA), return on equity (ROE) and Tobin's Q.Design/methodology/approachThe authors use a panel data sample of 92 observations collected from 23 listed firms on Sweden's stock exchange over four years, 2015–2018. The authors hand collect DM from the digital leader's reports and collect financial data from DataStream. Using both static and dynamic panel (generalized method of moments (GMM) estimation) regression models to perform endogeneity problem, the authors explore the impact of the DM index on ROA, ROE and Q of Tobin.FindingsThe results show that DM has a negative effect on ROA and ROE but a positive effect on Q of Tobin. This negative relationship can be explained, by the fact that information technology (IT) investment and the DM could take years to be materialized and to be captured by performa...
The present research provides an overview of links between exchange rate volatility and the dynam... more The present research provides an overview of links between exchange rate volatility and the dynamics of stock market returns in order to identify the influence of several macroeconomic variables on the volatility of stock markets, useful for political decision makers as well as investors to better control the portfolio risk level. More precisely, this research aims to identify the impact of exchange rate volatility on the fluctuations of stock market returns, considering two countries that belong to the Middle East and North Africa (MENA) zone: Tunisia and Turkey. Previous works in the literature used very specified and short periods of study, many important variables were neglected, and most of the earlier research was concentrated on the developed countries. In this research, we integrate several control variables of stock market returns that have not been simultaneously studied before. In addition, we spread out our research period up to 15 years including many events and dynamic...
The agency framework has shifted research in the theory of finance from the traditional quantitat... more The agency framework has shifted research in the theory of finance from the traditional quantitative analysis towards a richer analysis that incorporates the behavioural aspects. In this paper we implement an exploratory analysis in order to pick up the behaviour of the managers of small and medium firms (SMF) in financial decisions making. An Important finding in our research is that the traditional Modigliani and Miller framework cannot be merely translated to analyse the financing decision in a context of asymmetric information and agency conflicts among the different corporate actors. Empirical evidence is performed on a sample of Tunisian SMF
Abstract The coronavirus crisis impact on the digital sector is undoubtedly an important issue th... more Abstract The coronavirus crisis impact on the digital sector is undoubtedly an important issue that deserves to be studied. Researchers mostly focused on specific sectors such as tourism, healthcare sector, or the economy. This paper used a dynamic panel model to examine the COVID-19 crisis impact on the digital companies fl stock return. The findings indicate that both of the monthly growth in total infected cases and total death cases caused by COVID-19 have significant positive effects on stock returns across digital companies. This novel results contradicts previous research findings and highlights that this crisis is slowing down all the economic sectors.
The purpose of this paper is to examine the impact of short and long term uncertainty of portfoli... more The purpose of this paper is to examine the impact of short and long term uncertainty of portfolio flow and of industrial production on exchange rate dynamics. This paper employs a local level model to distinguish between short and long term uncertainty. Regression model is used to undertake empirical examination of the linkage between exchange rates, portfolio flow and industrial production. The results show that portfolio flows uncertainty has a significant effect on real exchange rate TND/USD over both short and long term. Evidence is also found of the significant impact of growth economic, measured by industrial production, on exchange rate in the long term. In addition, the real exchange rate TND/USD fluctuations are significantly influenced by exchange rate uncertainty. Even if determination of exchange rates by macroeconomic fundamentals has been often examined, few studies have investigated the response of exchange rate movements to portfolio flow changes in the Tunisian con...
Nowadays, the issue of corporate governance occupies central paramount position among the preoccu... more Nowadays, the issue of corporate governance occupies central paramount position among the preoccupations of the firms ’ decision-makers. Noteworthy, the relationship between governance and company performance is often stressed within the context of large companies and very few are those studies dealing with this subject as regard the small and medium enterprises (SME). In fact, most of the studies dealing with the governance question have predominantly out looked this issue with respect to the SME essentially in the context of the emergent countries. In this setting of analysis, the present research magic objective consists in highlighting the interaction dominating the governance relating mechanisms, namely, the directors ’ characters, the ownership structure and the directors ’ board regarding the SME performance. Actually, an examination of the tests conducted on a sample constituting of 50 Tunisian SMEs has shown that both the ownership structure and the board of directors play ...
Information plays a central role of asset pricing. Its effect on the option price depends on the ... more Information plays a central role of asset pricing. Its effect on the option price depends on the acquisition time of information. So the information costs are varying by the time: this is the dynamic information costs. This work deals with the impact of imperfections, such as the information asymmetry and the market sentiment on the performance of the currency option pricing models. Using the average squared error, we compare the model of Garman and Kolhagen and the new model in presence of dynamic information costs. So, we propose to present and to test the extended Garman and Kolhagen model in presence of dynamic information costs by using some daily data of futures continuous call on the Eur / USD pair from 2 June 2011 to 03 May 2017. Compared to Garman and Kolhagen (1983), this approach produces more reliable and accurate results for the analysis of currency options.
The present research provides an overview of the interactions and links between exchange rate vol... more The present research provides an overview of the interactions and links between exchange rate volatility and the dynamics of stock market returns in order to clarify the relationship between this variables for managers and investors who will be able to control better the portfolio risk level. This research aims to identify the impact of both exchange rate and relative prices uncertainty on the fluctuations of stock markets prices, considering two countries that belong to MENA zone. The GARCH model is applied to measure the volatility of our variables and implemented a multiple regression model to determine the impact of exchange rate and relative prices fluctuations as well as their volatilities on stock market volatility using Monthly data. In this work, several determinants of stock market indices are integrated in our empirical examination that have not been used simultaneously before, hence, the results show that in the case of Tunisia, exchange rate volatility have a significan...
Behavioural finance confirmed the existence of two types of agents, fundamentalists and chartists... more Behavioural finance confirmed the existence of two types of agents, fundamentalists and chartists, in the financial market. Fundamentalists follow the traditional efficiency market theory based on adaptive learning rule, whereas chartists follow the price tendency and past price movements. This paper examines the heterogeneity between fundamentalists and chartists. To this aim, we propose to introduce a sentiment variable in the classic model of Black and Scholes (1973) and to extract in a novel way the implied volatility variable. After that, we estimate the Markov switching model on this variable to test heterogeneity in the French market. The estimated daily data from 2009 to 2018 for 30 companies daily of CAC40 in a sectoral analysis confirm the evidence of heterogeneity between chartists and fundamentalists.
This study focuses on the impact of governance and more specifically on autonomy as a major dimen... more This study focuses on the impact of governance and more specifically on autonomy as a major dimension and mechanism in the context of higher education and its role in improving of the performance of education. Thus, the aim of our research is to address the close relationship between academic autonomy and the performance of public higher education institutions by taking the case of the University of Sfax as an example. The quantitative study of the different members of the Scientific Council of each institution shows that the governance of higher education, a key dimension of the health of the system, has a strong impact on the performance of higher education systems.
Asset pricing theory based on rationality was widely criticized in literature. Indeed, the non-in... more Asset pricing theory based on rationality was widely criticized in literature. Indeed, the non-inclusion of investor behavior and assuming market efficiency led to the weaknesses of option valuation through the traditional Black and Scholes model (1973). In this paper we examine the effect of the inclusion of investor behavior in the option pricing model. We test whether the Black and Scholes model in presence of sentiment behavior can lead to an improvement of the calculation of call price. Using daily data of 30 listed companies of France in the CAC40 index for the period June 18, 2009 to May 09, 2018, results showed that the introduction of sentiment effect in the Black and Scholes model provides better estimates of the call price than that obtained by the standard Black-Scholes model. In fact, we obtain an average gain of about 44% in terms of relative change in mean square error between both methods.
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