Hans Patrick BIDIAS MENIK | University of Dschang, Cameroon (original) (raw)

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Papers by Hans Patrick BIDIAS MENIK

International Journal of Financial Markets and Derivatives

The purpose of this study is to carry out to a comparative study of the determinants of illiquidi... more The purpose of this study is to carry out to a comparative study of the determinants of illiquidity, <br> between JSE and NSE, using the Generalized Least Square (GLS) method and the Generalized Method <br> of Moment (GMM), on a stock panel. The obtained results show that stock return is the only <br> illiquidity common factor in the studied markets. In addition, the trading value on the JSE and stock <br> capitalization on the NSE, are the specific determinants of illiquidity. For the global market situation, <br> the number of trading days and number of trades are factors, which permit the reduction of liquidity <br> shortage.

According to FAO (2009), the world should increase agricultural production by 70% in order to fee... more According to FAO (2009), the world should increase agricultural production by 70% in order to feed 9 billion people in the world by 2050. The FAO estimates that growth of grain at a rate of 0.7% per year would be sufficient to meet demand in 2050. Although this rate has been achieved for the past five years for rice, it could be not enough to ensure food security. Since 2009, the world rice production growth rate is 0.95% per annum. That of consumption is 01.61% per annum. A comparison of the trends of rice production and consumption speeds series was done. The average acceleration of the production for the period 2008/2009-2013/2014 is decreasing and lowers than the one of consumption compared to the period 2003/2004-2008/2009. The parallelism tests reveal that the trend lines of production and consumption speeds are intersecting and converge over the period 2008/2009-2013/2014 at a level of 10%. Such results reveal that there will be not enough rice to satisfy the aggregate demand...

In this study, we question the credibility ofinformation’s about the future level of the interest... more In this study, we question the credibility ofinformation’s about the future level of the interest rate that are carried out by the term structure of the interest rates on African markets. We considered for this purpose the market rates of Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. After comparing the rational predictions of Campbell and Shiller (1991) VAR model with those of the market and realizations, we performed a regression of the average of the short rates (current and anticipated) on the long-term rate, and a regression between the forward rate and the difference between 2 times the long rate and the short rate as suggest the expectation hypothesis. The results show that only market predictions in South Africa are relevant for determining the future short-term rate. The prediction of the VAR was proved irrelevant, and this on all the markets considered.

SSRN Electronic Journal, 2019

The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumpti... more The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumption on the term structure of interest rates formation process. We propose a theoretical model by applying some behavioral finance theory to the term structure of interest rate, including the prospect theory, anchoring and overconfidence. The theoretical model proposed was tested on US T-Bill secondary market data. The results show that agents are more preoccupied by interest rate variation direction in their forecasting than it absolute level. Nevertheless, the long rate can be considers as a portfolio of shorts rates but with different weights depending on the behavior of market operators. For US, although the future variation of interest rates is strongly predictable, operators are “anchoring” themselves to the actual level of interest rate, overweighting it value. It also appears that loose aversion as well can explain the shape of the yield curve at a given time.

Journal of Economics and International Finance, 2016

The main purpose of this paper is to examine the main role of liquidity in stock pricing on Afric... more The main purpose of this paper is to examine the main role of liquidity in stock pricing on African emerging stock markets. The study applies portfolios panel data analysis to modify and adapt the existing estimation process. Using three different procedures, six portfolios have been constructed base on the 32 most active stocks on the so called BRVM; the measures of liquidity considered are the turnover and the illiquidity ratios. To reach our objectives, we first of all verify if liquidity is taken into consideration in the explanation of expected excess return. Secondly, we verify whether liquidity risk is correctly priced on BRVM. The results indicate that from 1998 to 2008, whereas liquidity is correctly taken into account in equity pricing, there is no significant evidence that liquidity risk is priced on the BRVM. These conclusions remain stable even when various tests of robustness are undertaken and they are not consistent with results obtained by the authors on developed stock markets. These results may be explained by the microstructure of the BRVM.

International Journal of Financial Accountability, Economics, Management, and Auditing (IJFAEMA), 2021

This paper aims at explaining why in a context characterized by a huge need for financing, manage... more This paper aims at explaining why in a context characterized by a huge need for financing, managers are still reluctant to an Initial Public Offering. For that purpose, the data are collected from 42 companies, through a questionnaire. A Principal Component Analysis supplemented by an estimation, were used. The results show that managers have a positive perception of the stock market, but consider very high the associated costs. They also reveal a weak financial culture and the unfavorable business environment.

Finance & Finance Internationale , 2019

In this study, we question the credibility ofinformation's about the future level of the interest... more In this study, we question the credibility ofinformation's about the future level of the interest rate that are carried out by the term structure of the interest rates on African markets. We considered for this purpose the market rates of Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. After comparing the rational predictions of Campbell and Shiller (1991) VAR model with those of the market and realizations, we performed a regression of the average of the short rates (current and anticipated) on the long-term rate, and a regression between the forward rate and the difference between 2 times the long rate and the short rate as suggest the expectation hypothesis. The results show that only market predictions in South Africa are relevant for determining the future short-term rate. The prediction of the VAR was proved irrelevant, and this on all the markets considered.

Dans ce papier, nous testons la validité de l’hypothèse des anticipations de la structure par ter... more Dans ce papier, nous testons la validité de l’hypothèse des anticipations de la structure par
terme des taux d’intérêt sur le marché interbancaire de la Zone UEMOA. Nous utilisons deux
approches pour effectuer les tests : la première est basée sur un modèle standard et la seconde
sur un modèle orthogonal. Les deux modèles utilisés reposent sur la prime de capitalisation
d’une opération d’investissement de « roll over » sur le marché. Les résultats obtenus révèlent
l’invalidité de l’hypothèse des anticipations sur ce marché. De plus, la nullité de la prime de
risque dans les deux approches nous amène à conclure que le marché interbancaire de
l’UEMOA est segmenté au sens de Culbertson (1957), ce qui est l’avis de la BCEAO (2012).

The main purpose of this paper is to examine the main role of liquidity in stock pricing on Afric... more The main purpose of this paper is to examine the main role of liquidity in stock pricing on African emerging stock markets. The study applies portfolios panel data analysis to modify and adapt the existing estimation process. Using three different procedures, six portfolios have been constructed base on the 32 most active stocks on the so called BRVM; the measures of liquidity considered are the turnover and the illiquidity ratios. To reach our objectives, we first of all verify if liquidity is taken into consideration in the explanation of expected excess return. Secondly, we verify whether liquidity risk is correctly priced on BRVM. The results indicate that from 1998 to 2008, whereas liquidity is correctly taken into account in equity pricing, there is no significant evidence that liquidity risk is priced on the BRVM. These conclusions remain stable even when various tests of robustness are undertaken and they are not consistent with results obtained by the authors on developed stock markets. These results may be explained by the microstructure of the BRVM.

According to FAO (2009), the world should increase agricultural production by 70% in order to fee... more According to FAO (2009), the world should increase agricultural production by 70% in order to feed 9
billion people in the world by 2050. The FAO estimates that growth of grain at a rate of 0.7% per year would be
sufficient to meet demand in 2050. Although this rate has been achieved for the past five years for rice, it could be
not enough to ensure food security. Since 2009, the world rice production growth rate is 0.95% per annum. That of
consumption is 01.61% per annum. A comparison of the trends of rice production and consumption speeds series was
done. The average acceleration of the production for the period 2008/2009-2013/2014 is decreasing and lowers than
the one of consumption compared to the period 2003/2004-2008/2009. The parallelism tests reveal that the trend
lines of production and consumption speeds are intersecting and converge over the period 2008/2009-2013/2014 at a
level of 10%. Such results reveal that there will be not enough rice to satisfy the aggregate demand in some future
and confirm the ―new productivism‖ ideology that, we should increase the production of food in the world by 70-
100% in order to feed the world in 2050.

Drafts by Hans Patrick BIDIAS MENIK

The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumpti... more The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumption on the term structure of interest rates formation process. We propose a theoretical model by applying some behavioral finance theory to the term structure of interest rate, including the prospect theory, anchoring and overconfidence. The theoretical model proposed was tested on US T-Bill secondary market data. The results show that agents are more preoccupied by interest rate variation direction in their forecasting than it absolute level. Nevertheless, the long rate can be considers as a portfolio of shorts rates but with different weights depending on the behavior of market operators. For US, although the future variation of interest rates is strongly predictable, operators are “anchoring” themselves to the actual level of interest rate, overweighting it value. It also appears that loose aversion as well can explain the shape of the yield curve at a given time.

International Journal of Financial Markets and Derivatives

The purpose of this study is to carry out to a comparative study of the determinants of illiquidi... more The purpose of this study is to carry out to a comparative study of the determinants of illiquidity, <br> between JSE and NSE, using the Generalized Least Square (GLS) method and the Generalized Method <br> of Moment (GMM), on a stock panel. The obtained results show that stock return is the only <br> illiquidity common factor in the studied markets. In addition, the trading value on the JSE and stock <br> capitalization on the NSE, are the specific determinants of illiquidity. For the global market situation, <br> the number of trading days and number of trades are factors, which permit the reduction of liquidity <br> shortage.

According to FAO (2009), the world should increase agricultural production by 70% in order to fee... more According to FAO (2009), the world should increase agricultural production by 70% in order to feed 9 billion people in the world by 2050. The FAO estimates that growth of grain at a rate of 0.7% per year would be sufficient to meet demand in 2050. Although this rate has been achieved for the past five years for rice, it could be not enough to ensure food security. Since 2009, the world rice production growth rate is 0.95% per annum. That of consumption is 01.61% per annum. A comparison of the trends of rice production and consumption speeds series was done. The average acceleration of the production for the period 2008/2009-2013/2014 is decreasing and lowers than the one of consumption compared to the period 2003/2004-2008/2009. The parallelism tests reveal that the trend lines of production and consumption speeds are intersecting and converge over the period 2008/2009-2013/2014 at a level of 10%. Such results reveal that there will be not enough rice to satisfy the aggregate demand...

In this study, we question the credibility ofinformation’s about the future level of the interest... more In this study, we question the credibility ofinformation’s about the future level of the interest rate that are carried out by the term structure of the interest rates on African markets. We considered for this purpose the market rates of Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. After comparing the rational predictions of Campbell and Shiller (1991) VAR model with those of the market and realizations, we performed a regression of the average of the short rates (current and anticipated) on the long-term rate, and a regression between the forward rate and the difference between 2 times the long rate and the short rate as suggest the expectation hypothesis. The results show that only market predictions in South Africa are relevant for determining the future short-term rate. The prediction of the VAR was proved irrelevant, and this on all the markets considered.

SSRN Electronic Journal, 2019

The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumpti... more The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumption on the term structure of interest rates formation process. We propose a theoretical model by applying some behavioral finance theory to the term structure of interest rate, including the prospect theory, anchoring and overconfidence. The theoretical model proposed was tested on US T-Bill secondary market data. The results show that agents are more preoccupied by interest rate variation direction in their forecasting than it absolute level. Nevertheless, the long rate can be considers as a portfolio of shorts rates but with different weights depending on the behavior of market operators. For US, although the future variation of interest rates is strongly predictable, operators are “anchoring” themselves to the actual level of interest rate, overweighting it value. It also appears that loose aversion as well can explain the shape of the yield curve at a given time.

Journal of Economics and International Finance, 2016

The main purpose of this paper is to examine the main role of liquidity in stock pricing on Afric... more The main purpose of this paper is to examine the main role of liquidity in stock pricing on African emerging stock markets. The study applies portfolios panel data analysis to modify and adapt the existing estimation process. Using three different procedures, six portfolios have been constructed base on the 32 most active stocks on the so called BRVM; the measures of liquidity considered are the turnover and the illiquidity ratios. To reach our objectives, we first of all verify if liquidity is taken into consideration in the explanation of expected excess return. Secondly, we verify whether liquidity risk is correctly priced on BRVM. The results indicate that from 1998 to 2008, whereas liquidity is correctly taken into account in equity pricing, there is no significant evidence that liquidity risk is priced on the BRVM. These conclusions remain stable even when various tests of robustness are undertaken and they are not consistent with results obtained by the authors on developed stock markets. These results may be explained by the microstructure of the BRVM.

International Journal of Financial Accountability, Economics, Management, and Auditing (IJFAEMA), 2021

This paper aims at explaining why in a context characterized by a huge need for financing, manage... more This paper aims at explaining why in a context characterized by a huge need for financing, managers are still reluctant to an Initial Public Offering. For that purpose, the data are collected from 42 companies, through a questionnaire. A Principal Component Analysis supplemented by an estimation, were used. The results show that managers have a positive perception of the stock market, but consider very high the associated costs. They also reveal a weak financial culture and the unfavorable business environment.

Finance & Finance Internationale , 2019

In this study, we question the credibility ofinformation's about the future level of the interest... more In this study, we question the credibility ofinformation's about the future level of the interest rate that are carried out by the term structure of the interest rates on African markets. We considered for this purpose the market rates of Egypt, Ghana, Kenya, Nigeria and the Republic of South Africa. After comparing the rational predictions of Campbell and Shiller (1991) VAR model with those of the market and realizations, we performed a regression of the average of the short rates (current and anticipated) on the long-term rate, and a regression between the forward rate and the difference between 2 times the long rate and the short rate as suggest the expectation hypothesis. The results show that only market predictions in South Africa are relevant for determining the future short-term rate. The prediction of the VAR was proved irrelevant, and this on all the markets considered.

Dans ce papier, nous testons la validité de l’hypothèse des anticipations de la structure par ter... more Dans ce papier, nous testons la validité de l’hypothèse des anticipations de la structure par
terme des taux d’intérêt sur le marché interbancaire de la Zone UEMOA. Nous utilisons deux
approches pour effectuer les tests : la première est basée sur un modèle standard et la seconde
sur un modèle orthogonal. Les deux modèles utilisés reposent sur la prime de capitalisation
d’une opération d’investissement de « roll over » sur le marché. Les résultats obtenus révèlent
l’invalidité de l’hypothèse des anticipations sur ce marché. De plus, la nullité de la prime de
risque dans les deux approches nous amène à conclure que le marché interbancaire de
l’UEMOA est segmenté au sens de Culbertson (1957), ce qui est l’avis de la BCEAO (2012).

The main purpose of this paper is to examine the main role of liquidity in stock pricing on Afric... more The main purpose of this paper is to examine the main role of liquidity in stock pricing on African emerging stock markets. The study applies portfolios panel data analysis to modify and adapt the existing estimation process. Using three different procedures, six portfolios have been constructed base on the 32 most active stocks on the so called BRVM; the measures of liquidity considered are the turnover and the illiquidity ratios. To reach our objectives, we first of all verify if liquidity is taken into consideration in the explanation of expected excess return. Secondly, we verify whether liquidity risk is correctly priced on BRVM. The results indicate that from 1998 to 2008, whereas liquidity is correctly taken into account in equity pricing, there is no significant evidence that liquidity risk is priced on the BRVM. These conclusions remain stable even when various tests of robustness are undertaken and they are not consistent with results obtained by the authors on developed stock markets. These results may be explained by the microstructure of the BRVM.

According to FAO (2009), the world should increase agricultural production by 70% in order to fee... more According to FAO (2009), the world should increase agricultural production by 70% in order to feed 9
billion people in the world by 2050. The FAO estimates that growth of grain at a rate of 0.7% per year would be
sufficient to meet demand in 2050. Although this rate has been achieved for the past five years for rice, it could be
not enough to ensure food security. Since 2009, the world rice production growth rate is 0.95% per annum. That of
consumption is 01.61% per annum. A comparison of the trends of rice production and consumption speeds series was
done. The average acceleration of the production for the period 2008/2009-2013/2014 is decreasing and lowers than
the one of consumption compared to the period 2003/2004-2008/2009. The parallelism tests reveal that the trend
lines of production and consumption speeds are intersecting and converge over the period 2008/2009-2013/2014 at a
level of 10%. Such results reveal that there will be not enough rice to satisfy the aggregate demand in some future
and confirm the ―new productivism‖ ideology that, we should increase the production of food in the world by 70-
100% in order to feed the world in 2050.

The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumpti... more The purpose of this study is to analyze the consequences of relaxing agent’s rationality assumption on the term structure of interest rates formation process. We propose a theoretical model by applying some behavioral finance theory to the term structure of interest rate, including the prospect theory, anchoring and overconfidence. The theoretical model proposed was tested on US T-Bill secondary market data. The results show that agents are more preoccupied by interest rate variation direction in their forecasting than it absolute level. Nevertheless, the long rate can be considers as a portfolio of shorts rates but with different weights depending on the behavior of market operators. For US, although the future variation of interest rates is strongly predictable, operators are “anchoring” themselves to the actual level of interest rate, overweighting it value. It also appears that loose aversion as well can explain the shape of the yield curve at a given time.