Bank informational opacity: evidence from the Tunisian stock market
| Date | 20 July 2012 |
| DOI | https://doi.org/10.1108/13581981211237972 |
| Published date | 20 July 2012 |
| Pages | 278-292 |
| Author | Lassaâd Mbarek,Dorra Mezzez Hmaied |
| Subject Matter | Accounting & finance |
Bank informational opacity:
evidence from the Tunisian
stock market
Lassaa
ˆd Mbarek
Central Bank of Tunisia, Tunisia and
Institut des Hautes Etudes Commerciales de Carthage,
Carthage, Tunisia, and
Dorra Mezzez Hmaied
Institut des Hautes Etudes Commerciales de Carthage, Carthage, Tunisia
Abstract
Purpose – The purpose of this paper is to investigate the informational opacity of Tunisian banks
versus non-banking firms taking into account information environment changes.
Design/methodology/approach – This research uses the synchronicity of stock returns as a proxy
of informational opacity. It also examines bank crash risk relying on the skewness of residual returns.
Finally, the study addresses the effects of mandatory disclosure requirements on firm opacity and
market volatility.
Findings – The results suggest that bank stock prices incorporate less specific information than
non-banks. Moreover, banks are more likely to experience stock price crashes. However, the authors
find a significant decrease of informational opacity for both banking and non-banking firms since 2006
which supports substantial improvements in the corporate disclosure environment.
Practical implications – The findings are interesting for regulators. Banks with high stock returns
synchronicity and negative residual returns skewness are more opaque and are significantly exposed
to crash risk. Consequently, they deserve greater regulatory scrutiny. Thus, the opacity measures
derived from the asset pricing model could be a useful tool for monitoring disclosure policies in the
banking sector.
Originality/value – The paper extends the empirical literature on the determinants of bank stock
returns synchronicity and skewness for an emerging economy, Tunisia. The information environment
offers an empirical opportunity to examine the dynamics of opacity as well as the desirability of
mandatory disclosure requirements in the banking system.
Keywords Bank opacity, Synchronicity, Crash risk, Disclosure, Information environment, Tunisia,
Banks, Stock markets
Paper type Research paper
1. Introduction
In recent years, there has been growing interest in the role of transparency in monitoring
and disciplining banking institutions. The recent financial crisis has further shown
inadequate disclosure of bank-specific information. The issue of bank opacity has
received a lot of attention in both theoretical and empirical literature. Campbell and
Kracaw (1980) attribute the opacity of bank assets to the confidential information
regarding loans. Berlin and Loeys (1988) examine the choice between issuing public
The current issue and full text archive of this journal is available at
www.emeraldinsight.com/1358-1988.htm
The views expressed in this paper do not necessarily represent those of the Central Bank of
Tunisia.
JFRC
20,3
278
Journal of Financial Regulation and
Compliance
Vol. 20 No. 3, 2012
pp. 278-292
qEmerald Group Publishing Limited
1358-1988
DOI 10.1108/13581981211237972
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