Using a model of small open economy operating under dual foreign exchange markets, with free exchange rate for financial transactions and quasi-fixed exchange rate for commercial transactions, we show in this paper expansionary monetary policy will be associated with: (a) losses of international...

This paper employs time varying coefficient approach to assess sensitivity of crude oil price change to a number of factors among which change in OPEC crude production and change in US oil production. Our finding indicate crude oil price is inelastic to OPEC production change, with elasticity...

The purpose of this paper to evaluate the cost of deposit insurance premium and assess moral hazard behavior in the banking sector in Sudan. The analysis of moral hazard in this paper is based on two types of risks, credit risk, and technical efficiency risk (managerial efficiency). The findings...

This paper investigates efficiency performance of the black market for foreign exchange in Sudan. The finding of the paper indicates the inefficiency hypothesis cannot be rejected. This result implies, authorities in the central bank need to be cautious about use of the black market depreciation...

In this study, we investigate the link between default loans and macroeconomic and bank-specific variables to assess exposure of Islamic banks to credit risks, and then design stress testing scenarios to assess the banking system’s resilience to adverse shocks. The results suggest that credit...

This study aims to assess the determinants of liquidity risk in the full-fledged Islamic banking system of Sudan, using panel data regression. The dependent variable in this research is the liquidity risk, which is determined as the extreme excess or extreme shortage of liquidity in each bank,...

The purpose of this paper is to assess competitive advantage gained by large-sized banks in the Gulf Cooperation Council (GCC) countries. To investigate the association between return to scale and profitability, the authors have adopted quintile and logistic regression analysis, using data for...

This paper employs a combination of unit root tests and fractional integration techniques using the ARFIMA (p,d,q) model to test rational bubbles, which implies herd behavior, in Bombay Stock Exchange (BSE). The results in the paper strongly support the evidence of herd behavior in the daily,...

An implicit assumption underlying price-earning ratio technique is that, its behavior overtime is stationary. The finding of this paper indicates that stationarity of price-earnings ratio hold only when security valuation is consistent with the dividend capitalization model of Gordon. The paper...

Introduction: This paper aims to assess time variability of beta coefficients (systematic risk) of Capital Asset Pricing Model (CAPM) using data from five key sectors in Saudi Arabia and Kuwait stock markets.Material and methods: To assess time -varying systematic risk we employed symmetric as...