Sayed Fadel | Ahlia university (original) (raw)
Papers by Sayed Fadel
Capital Markets: Market Microstructure eJournal, 2018
In this paper, we present the results of a study on the effect of daily trading volume on the per... more In this paper, we present the results of a study on the effect of daily trading volume on the persistence of time-varying conditional volatility for Boursa Kuwait (BK). The test results were mixed. As the mixture-of-distribution hypothesis (MDH) implies, the inclusion of a contemporaneous volume in the equation of conditional variance reduces the persistent volatility of most stock series. However, the trading volume did not contribute to the removal of the ARCH or GARCH effects. The negative contemporaneous trading volume coefficient in a third of the cases provided evidence running counter to MDH predictions. Furthermore, lagged trading volumes appeared to display the predictable power of asset variability, which further buttresses and bolsters the sequential information arrival hypothesis. Moreover, we found that in more than a third of the series, the sign of the coefficients of contemporaneous and lagged trading volumes was negative, which contradicts the extensive evidence. Ho...
Competitiveness Review: An International Business Journal Incorporating Journal of Global Competitiveness, 2020
Purpose This study aims to examine the relationship between sustainability reporting and bank per... more Purpose This study aims to examine the relationship between sustainability reporting and bank performance after financial crisis in developed and developing countries. Design/methodology/approach This study examines 882 banks from developed and developing countries covering 11 years after the 2008 financial crisis. The independent variable is environmental, social and governance (ESG) scores. The dependent variables are return on assets, return on equity and Tobin’s Q. This study uses bank- and country-specific control variables to measure the relationship between sustainability reporting and bank performance. Findings The findings deduced from the empirical results demonstrate that ESG improves banks’ accounting and market-based performance in developed countries, supporting value creation theory. Using pooling regression and instrumental variable – generalized method of moments, this study finds that ESG weakens banks’ performance in developed and developing countries. Originality...
Sustainability reporting has been widely adopted by firms worldwide given stakeholders’ need for ... more Sustainability reporting has been widely adopted by firms worldwide given stakeholders’ need for more transparency on environmental, social and governance (ESG) issues. This study aims to investigate the relationship between ESG and bank’s operational (return on assets [ROA]), financial (return on equity [ROE]) and market performance (Tobin’s Q) in a group of emerging countries in the Middle East and North Africa (MENA) region.,This study examines 59 banks listed on the stock exchanges of MENA countries over a period of 10 years (2008-2017). Only conventional banks with all data for at least two years are included in the sample. The core independent variable is ESG scores, and the dependent variables are ROA, ROE and Tobin’s Q. This study uses bank- and country-specific control variables to measure the relationship between sustainability reporting and bank’s performance.,The findings from the empirical results demonstrate a significant positive impact of ESG on performance and econo...
In the last decade, a considerable growth has been added to the volume of the credit risk derivat... more In the last decade, a considerable growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth has parallelised by more complicated and assembled credit derivatives products such as m th to default Credit Default Swaps (࣭ࣝࣞ), m out of n (࣭ࣝࣞ) and collateralised debt obligation (ࣩࣝࣞ). In this thesis, the Lévy process has been proposed to generalise and overcome the Credit Risk derivatives standard pricing model's limitations, i.e. Gaussian Factor Copula Model. One of the most important drawbacks is that it has a lack of tail dependence or, in other words, it needs more skewed correlation. However, by the Lévy Factor Copula Model, the microscopic approach of exploring this factor copula models has been developed and standardised to incorporate an endless number of distribution alternatives those admits the Lévy process. Since the Lévy process could include a variety of processes structural assumptions from pure jumps to continuous stochastic, then those distributions who admit this process could represent asymmetry and fat tails as they could characterise symmetry and normal tails. As a consequence they could capture both high and low events' probabilities. Subsequently, other techniques those could enhance the skewness of its correlation and be incorporated within the Lévy Factor Copula Model has been proposed, i.e. the TABLE OF CONTENTS III
Corporate Ownership and Control, 2017
The objectives of this study are to determine 1) the effect of global economic and financial cris... more The objectives of this study are to determine 1) the effect of global economic and financial crisis on risk management, 2) the severity of different types of risk facing Islamic banks, 3) the risk levels of Islamic financial modes, 4) risk assessment techniques, and 5) risk management techniques. The structure of the balance sheet, the nature of Islamic finance instruments and funding sources have a great impact on the level of risk exposure of banks and the instruments. Credit risk is found to be the most serious risk, followed by liquidity risk, market risk and operational risk, in descending order of importance. As for the riskiness of Islamic financing modes, mudarabah is perceived to be the riskiest, followed by musharakah, while murabahah ranked as the least risky mode. Moreover, Islamic banks are found to use traditional risk management techniques more than sophisticated measurements. They also adopt risk mitigation techniques that are used by conventional banks in preference...
Capital Markets: Market Microstructure eJournal, 2018
In this paper, we present the results of a study on the effect of daily trading volume on the per... more In this paper, we present the results of a study on the effect of daily trading volume on the persistence of time-varying conditional volatility for Boursa Kuwait (BK). The test results were mixed. As the mixture-of-distribution hypothesis (MDH) implies, the inclusion of a contemporaneous volume in the equation of conditional variance reduces the persistent volatility of most stock series. However, the trading volume did not contribute to the removal of the ARCH or GARCH effects. The negative contemporaneous trading volume coefficient in a third of the cases provided evidence running counter to MDH predictions. Furthermore, lagged trading volumes appeared to display the predictable power of asset variability, which further buttresses and bolsters the sequential information arrival hypothesis. Moreover, we found that in more than a third of the series, the sign of the coefficients of contemporaneous and lagged trading volumes was negative, which contradicts the extensive evidence. Ho...
Competitiveness Review: An International Business Journal Incorporating Journal of Global Competitiveness, 2020
Purpose This study aims to examine the relationship between sustainability reporting and bank per... more Purpose This study aims to examine the relationship between sustainability reporting and bank performance after financial crisis in developed and developing countries. Design/methodology/approach This study examines 882 banks from developed and developing countries covering 11 years after the 2008 financial crisis. The independent variable is environmental, social and governance (ESG) scores. The dependent variables are return on assets, return on equity and Tobin’s Q. This study uses bank- and country-specific control variables to measure the relationship between sustainability reporting and bank performance. Findings The findings deduced from the empirical results demonstrate that ESG improves banks’ accounting and market-based performance in developed countries, supporting value creation theory. Using pooling regression and instrumental variable – generalized method of moments, this study finds that ESG weakens banks’ performance in developed and developing countries. Originality...
Sustainability reporting has been widely adopted by firms worldwide given stakeholders’ need for ... more Sustainability reporting has been widely adopted by firms worldwide given stakeholders’ need for more transparency on environmental, social and governance (ESG) issues. This study aims to investigate the relationship between ESG and bank’s operational (return on assets [ROA]), financial (return on equity [ROE]) and market performance (Tobin’s Q) in a group of emerging countries in the Middle East and North Africa (MENA) region.,This study examines 59 banks listed on the stock exchanges of MENA countries over a period of 10 years (2008-2017). Only conventional banks with all data for at least two years are included in the sample. The core independent variable is ESG scores, and the dependent variables are ROA, ROE and Tobin’s Q. This study uses bank- and country-specific control variables to measure the relationship between sustainability reporting and bank’s performance.,The findings from the empirical results demonstrate a significant positive impact of ESG on performance and econo...
In the last decade, a considerable growth has been added to the volume of the credit risk derivat... more In the last decade, a considerable growth has been added to the volume of the credit risk derivatives market. This growth has been followed by the current financial market turbulence. These two periods have outlined how significant and important are the credit derivatives market and its products. Modelling-wise, this growth has parallelised by more complicated and assembled credit derivatives products such as m th to default Credit Default Swaps (࣭ࣝࣞ), m out of n (࣭ࣝࣞ) and collateralised debt obligation (ࣩࣝࣞ). In this thesis, the Lévy process has been proposed to generalise and overcome the Credit Risk derivatives standard pricing model's limitations, i.e. Gaussian Factor Copula Model. One of the most important drawbacks is that it has a lack of tail dependence or, in other words, it needs more skewed correlation. However, by the Lévy Factor Copula Model, the microscopic approach of exploring this factor copula models has been developed and standardised to incorporate an endless number of distribution alternatives those admits the Lévy process. Since the Lévy process could include a variety of processes structural assumptions from pure jumps to continuous stochastic, then those distributions who admit this process could represent asymmetry and fat tails as they could characterise symmetry and normal tails. As a consequence they could capture both high and low events' probabilities. Subsequently, other techniques those could enhance the skewness of its correlation and be incorporated within the Lévy Factor Copula Model has been proposed, i.e. the TABLE OF CONTENTS III
Corporate Ownership and Control, 2017
The objectives of this study are to determine 1) the effect of global economic and financial cris... more The objectives of this study are to determine 1) the effect of global economic and financial crisis on risk management, 2) the severity of different types of risk facing Islamic banks, 3) the risk levels of Islamic financial modes, 4) risk assessment techniques, and 5) risk management techniques. The structure of the balance sheet, the nature of Islamic finance instruments and funding sources have a great impact on the level of risk exposure of banks and the instruments. Credit risk is found to be the most serious risk, followed by liquidity risk, market risk and operational risk, in descending order of importance. As for the riskiness of Islamic financing modes, mudarabah is perceived to be the riskiest, followed by musharakah, while murabahah ranked as the least risky mode. Moreover, Islamic banks are found to use traditional risk management techniques more than sophisticated measurements. They also adopt risk mitigation techniques that are used by conventional banks in preference...