Browsing by Author Masih, Rumi

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Showing results 1 to 20 of 42
  • Are_Asian_stock_market_fluctuations_due_mainly_to_intra_regional_contagion_effects_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1999)

  • The main purpose of the study is: i. to examine the long- and short-term dynamic linkages among international and Asian emerging stock markets and then ii. try to quantify the extent of the Asian stock market fluctuations which are explained by intra-regional contagion effect. The study, therefore, proceeds first by examining the dynamic causal linkages among eight national daily stock price indices four major established markets and four Asian emerging markets. and then quantifying the extent of their dynamic interdependencies through the application of recent time-series econometric techniques a. vector error-correction model Toda and Phillips, 1993. and b. level VAR model co...

  • bivariate_multivariate_tests_money–price_causality_mansur_masih.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • This paper is an attempt at re-examining the question of causality between money and prices both in the bivariate and multivariate context of a small developing economy, based on an improved methodology. Pakistan is used as a case study. The study tends to suggest rather strongly that in the case of Pakistan during the period under consideration (1970/71 to 1993/94), contrary to earlier findings, it was price that was the leading variable as the structuralist maintain and not the other way around as the monetarist maintain

  • combining_momentum_value_quality_islamic_equity_portfolio_multi-style_rotation_strategies_using_augmented_black_litterman_factor_model_mm.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts. Based on the information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross profit/TEV) and the book to market ratio as valuation factors; the gross ...

  • Common_stochastic_trends_and_the_dynamic_linkages_driving_European_stock_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (2004)

  • Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.

  • Common_stochastic_trends_multivariate_market_efficiency_and_the_temporal_causal_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1996)

  • It is demonstrated how the techniques of unit root testing and cointegration may be used to test for common stochastic trends, and their implications for addressing the market efficiency hypothesis (MEH) in a multivariate context within a seven-variable system of major daily (unpublished) spot exchange rates of the Malaysian ringgit. Finding the evidence of two cointegrating vectors, a vector error-correction model is developed to test for the direction of temporal causal dytiamics (iti the Gratiger sense) within this system before investigating the relative strength of the causality by decomposing the total impact of an unanticipated shock to each of the variables beyond the sampl...

  • Comparative_analysis_of_the_propagation_of_stock_market_fluctuations_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • The patterns of dynamic linkages are examined among national stock prices of four Asian Newly Industrializing Countries stock markets - Taiwan, South Korea, Singapore and Hong Kong - in models incorporating the established markets of Japan, USA, UK and Germany. Recent time-series techniques are employed, including unit root testing, multivariate cointegration, vector error-correction modelling (VECM), forecast error variance decomposition (VDC) and impulse response functions (IRFs). The results consistently appear to suggest the relatively leading role of all established markets in driving fluctuations in the NIC stock markets. In other words, all established markets and Hong Kong, co...

  • contagion_interdependence_across_Asia-Pacific_equity_markets_analysis_based_multi-horizon_discrete_continuous_wavelet_transformations_mansur.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Mohammed Masih, Abul Mansur (2016)

  • Our study attempts to discover contagion amongst the Asia-Pacific equity markets (Japan, Hong Kong and Australia) during twelve major crises around the world. We apply both discrete and continuous wavelet decompositions to unveil the multi-horizon nature of co-movement and lead–lag relationship. We find that shocks were transmitted via excessive linkages, with the Asian crisis as the most influential in relation to a sudden stop. We also find that the subprime crisis revealed fundamentals-based contagion, due to the strengthening fundamental linkages, with a dominant role of the Japanese market. Finally, we find low co-movements in the short run, suggesting a partial convergence acros...

  • developing_trading_strategies_based_fractal_finance_application_MF-DFA_context_Islamic equities_ginanjar_etal.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • We provide a new contribution to trading strategies by using multi-fractal de-trended fluctuation analysis (MF-DFA), imported from econophysics, to complement various momentum strategies. The method provides a single measure that can capture both persistency and anti-persistency in stock prices, accounting for multifractality. This study uses a sample of Islamic stocks listed in the U.S. Dow Jones Islamic market for a sample period covering 16 years starting in 1996. The findings show that the MF-DFA strategy produces monthly excess returns of 6.12%, outperforming other various momentum strategies. Even though the risk of the MF-DFA strategy may be relatively higher, it can still prod...

  • Dynamic_linkages_and_the_propagation_mechanism_driving_major_international_stock markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • The stock market crash of October 1987 earmarked fears of a deep-seated financial crisis. In recent years, while there has been a number of empirical studies devoted to examinations of the number of common trends in a system of stock price indexes, only a minority has focused on what effect the crash has had on the characteristics [namely, the amount of co-movements amongst markets, their dynamic linkages, and implications for the transmission or propagation mechanism] of major stock markets. In this paper, we demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling (VECM) and forecast error variance decomposition (VDC) analysis, may be use...

  • dynamic modeling of stock market interdependencies_mansur masih.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2001)

  • This article examines the patterns of dynamic linkages among national stock prices of Australia and four Asian NIC stock markets namely, Taiwan, South Korea, Singapore and Hong Kong. By employing recently developed time-series techniques results seem to consistently suggest the relatively leading role of the Hong Kong market in driving fluctuations in the Australian and other NIC stock markets. In other words, given the generality of the techniques employed, Hong Kong showed up consistently as the initial receptor of exogenous shocks to the (long-term) equilibrium relationship whereas the Australian and the other NIC markets, particularly the Singaporean and Taiwanese markets had to b...

  • Dynamic_price_relationships_between_small_large_stocks_mansur.pdf.jpg
  • Journal Article


  • Authors: Hodgson, Allan; Mohammed Masih, Abul Mansur; Masih, Rumi (1999)

  • Asymmetric theories predict that information will flow from large stock prices to small stock prices. This paper examines whether the multivariate lead-Iag intraday relationship between large, medium and small stocks in Australia changes according to market trading conditions. The analysis applies recent time series techniques of unit root testing, multivariate Johansen-Juselius tests of cointegration, vector error-correction modelling (VECM), and forecast error variance decomposition (VDC). We find that the information environment faced by stock market participants is fluid and related to whether prices are generally rising or falling. During abearprice phase,large stocks provided t...

  • Dynamics_of_fertility_family_planning_female_education_in_a_developing_economy_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2000)

  • Unlike most empirical works on fertility analysis, this study is the first attempt to analyse the dynamics of fertility and its determinants with a particular focus on the role played by female education and family planning programmes in the context of a traditional society. The analysis is based on the application of the following dynamic time-series techniques in a multivariate context: cointegration, vector error-correction modelling and variance decompositions. These `dynamic' tools are recently developed and hitherto untried in fertility analysis in the context of a poor developing economy, such as India. The results based on the above most recently developed methodology, broadly...

  • Energy_consumption_real_income_and_temporal_causality_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1996)

  • Unlike previous studies on the causal relationship between energy consumption and economic growth, this paper illustrates how the finding of cointegration (i.e. long-term equilibrium relationship) between these variables, may be used in testing Granger causality. Based on the most recent Johansen's multivariate cointegration tests preceded by various unit root or non-stationarity tests, we test for cointegration between total energy consumption and real income of six Asian economies: India, Pakistan, Malaysia, Singapore, Indonesia and the Philippines. Non-rejection of cointegration between variables rules out Granger non-causality and imples at least one way of Granger-causality, eit...

  • item.jpg
  • PhD


  • Authors: Dewandaru, Ginanjar (2015)

  • This study investigates the roles of Shariah-compliant asset classes as well as Shariah-compliant portfolio strategies, which are divided into three separate essays. The first essay investigates both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. The sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. The study uses the recent mean-variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of va...

  • Fractional_cointegration_analysis_of_the_long_run_relationship_between_black_and_official_foreign_exchange_rates_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • This paper applies a relatively new but generalized concept of fractional cointegration to shed some light on the validity of a long-run relationship between monthly black and official US dollar rates ofthe Brazilian cruzeiro. An investigation ofthe stochastic properties of these rates reveals that, while the relationship is not cointegrated in their logs, they appear to be fractionally cointegrated if we allow for mean reverting processes that are C/(l, d) with Q < d <\. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a 1(0) process, captures a much wider class of mean-reversion behaviour. Furthermore, an analysis of the sh...

  • fractional_cointegration_approach_empirical_tests_PPP_rumi_masih.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1995)

  • This paper applies a relatively new concept of fractional cointegration to shed some light on the validity of purchasing power parity as a long-run equilibrium condition, using the Taiwan/US dollar exchange rate. Findings suggest that, while standard tests of cointegration fail to support cointegration between nominal exchange rates, domestic and foreign prices, the fractional cointegration analysis permits deviations from equilibrium to follow a fractionally integrated process and hence captures a much wider class of parity or mean-reversion behaviour. The paper concludes by indicating areas in which fractional cointegration will be a particularly appropriate technique to unearth pre...

  • a_fractional_cointegration_approach_testing_mean_reversion_spot_forward_exchange_rates_mm.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • The issue of whether foreign exchange markets process information efficiently (at least in a speculative, weak sense) has been a topic of renewed attention by empirical analysts in the fields of international finance, international economics and futures markets (see, inter alia, Hakkio and Rush, 1989; Macdonald and Taylor, 1989; Copeland, 1991; Lai and Lai, 1991; Tronzano, 1992; and Karfakis and Moschos, 1994) in a bivariate context, and Coleman, 1990; Alexander and Johnson, 1992; Baillie and Bollerslev, 1989; and Karfakis and Parikh, 1994; in a multivariate context). One of the reasons underlying the regeneration of interest in testing the efficient markets hypothesis (EMH) has, to a...

  • Fractional_cointegration_low_frequency_dynamics_and_long_run_purchasing_power_parity_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2004)

  • A relatively new but generalized concept of fractional cointegration is applied to shed some light on the validity of purchasing power parity (PPP) as a long-run equilibrium condition, by examining the long-run relationship between quarterly consumer price indices and bilateral exchange rates of the Australian dollar and seven major OECD trading partners, over Australia's recent float. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a I(0) process, provides a wide range of cases of parity-reversion with processes that are CI(1,d ) with 0

Browsing by Author Masih, Rumi

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 20 of 42
  • Are_Asian_stock_market_fluctuations_due_mainly_to_intra_regional_contagion_effects_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1999)

  • The main purpose of the study is: i. to examine the long- and short-term dynamic linkages among international and Asian emerging stock markets and then ii. try to quantify the extent of the Asian stock market fluctuations which are explained by intra-regional contagion effect. The study, therefore, proceeds first by examining the dynamic causal linkages among eight national daily stock price indices four major established markets and four Asian emerging markets. and then quantifying the extent of their dynamic interdependencies through the application of recent time-series econometric techniques a. vector error-correction model Toda and Phillips, 1993. and b. level VAR model co...

  • bivariate_multivariate_tests_money–price_causality_mansur_masih.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • This paper is an attempt at re-examining the question of causality between money and prices both in the bivariate and multivariate context of a small developing economy, based on an improved methodology. Pakistan is used as a case study. The study tends to suggest rather strongly that in the case of Pakistan during the period under consideration (1970/71 to 1993/94), contrary to earlier findings, it was price that was the leading variable as the structuralist maintain and not the other way around as the monetarist maintain

  • combining_momentum_value_quality_islamic_equity_portfolio_multi-style_rotation_strategies_using_augmented_black_litterman_factor_model_mm.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts. Based on the information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross profit/TEV) and the book to market ratio as valuation factors; the gross ...

  • Common_stochastic_trends_and_the_dynamic_linkages_driving_European_stock_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (2004)

  • Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.

  • Common_stochastic_trends_multivariate_market_efficiency_and_the_temporal_causal_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1996)

  • It is demonstrated how the techniques of unit root testing and cointegration may be used to test for common stochastic trends, and their implications for addressing the market efficiency hypothesis (MEH) in a multivariate context within a seven-variable system of major daily (unpublished) spot exchange rates of the Malaysian ringgit. Finding the evidence of two cointegrating vectors, a vector error-correction model is developed to test for the direction of temporal causal dytiamics (iti the Gratiger sense) within this system before investigating the relative strength of the causality by decomposing the total impact of an unanticipated shock to each of the variables beyond the sampl...

  • Comparative_analysis_of_the_propagation_of_stock_market_fluctuations_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • The patterns of dynamic linkages are examined among national stock prices of four Asian Newly Industrializing Countries stock markets - Taiwan, South Korea, Singapore and Hong Kong - in models incorporating the established markets of Japan, USA, UK and Germany. Recent time-series techniques are employed, including unit root testing, multivariate cointegration, vector error-correction modelling (VECM), forecast error variance decomposition (VDC) and impulse response functions (IRFs). The results consistently appear to suggest the relatively leading role of all established markets in driving fluctuations in the NIC stock markets. In other words, all established markets and Hong Kong, co...

  • contagion_interdependence_across_Asia-Pacific_equity_markets_analysis_based_multi-horizon_discrete_continuous_wavelet_transformations_mansur.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Mohammed Masih, Abul Mansur (2016)

  • Our study attempts to discover contagion amongst the Asia-Pacific equity markets (Japan, Hong Kong and Australia) during twelve major crises around the world. We apply both discrete and continuous wavelet decompositions to unveil the multi-horizon nature of co-movement and lead–lag relationship. We find that shocks were transmitted via excessive linkages, with the Asian crisis as the most influential in relation to a sudden stop. We also find that the subprime crisis revealed fundamentals-based contagion, due to the strengthening fundamental linkages, with a dominant role of the Japanese market. Finally, we find low co-movements in the short run, suggesting a partial convergence acros...

  • developing_trading_strategies_based_fractal_finance_application_MF-DFA_context_Islamic equities_ginanjar_etal.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • We provide a new contribution to trading strategies by using multi-fractal de-trended fluctuation analysis (MF-DFA), imported from econophysics, to complement various momentum strategies. The method provides a single measure that can capture both persistency and anti-persistency in stock prices, accounting for multifractality. This study uses a sample of Islamic stocks listed in the U.S. Dow Jones Islamic market for a sample period covering 16 years starting in 1996. The findings show that the MF-DFA strategy produces monthly excess returns of 6.12%, outperforming other various momentum strategies. Even though the risk of the MF-DFA strategy may be relatively higher, it can still prod...

  • Dynamic_linkages_and_the_propagation_mechanism_driving_major_international_stock markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)

  • The stock market crash of October 1987 earmarked fears of a deep-seated financial crisis. In recent years, while there has been a number of empirical studies devoted to examinations of the number of common trends in a system of stock price indexes, only a minority has focused on what effect the crash has had on the characteristics [namely, the amount of co-movements amongst markets, their dynamic linkages, and implications for the transmission or propagation mechanism] of major stock markets. In this paper, we demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling (VECM) and forecast error variance decomposition (VDC) analysis, may be use...

  • dynamic modeling of stock market interdependencies_mansur masih.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2001)

  • This article examines the patterns of dynamic linkages among national stock prices of Australia and four Asian NIC stock markets namely, Taiwan, South Korea, Singapore and Hong Kong. By employing recently developed time-series techniques results seem to consistently suggest the relatively leading role of the Hong Kong market in driving fluctuations in the Australian and other NIC stock markets. In other words, given the generality of the techniques employed, Hong Kong showed up consistently as the initial receptor of exogenous shocks to the (long-term) equilibrium relationship whereas the Australian and the other NIC markets, particularly the Singaporean and Taiwanese markets had to b...

  • Dynamic_price_relationships_between_small_large_stocks_mansur.pdf.jpg
  • Journal Article


  • Authors: Hodgson, Allan; Mohammed Masih, Abul Mansur; Masih, Rumi (1999)

  • Asymmetric theories predict that information will flow from large stock prices to small stock prices. This paper examines whether the multivariate lead-Iag intraday relationship between large, medium and small stocks in Australia changes according to market trading conditions. The analysis applies recent time series techniques of unit root testing, multivariate Johansen-Juselius tests of cointegration, vector error-correction modelling (VECM), and forecast error variance decomposition (VDC). We find that the information environment faced by stock market participants is fluid and related to whether prices are generally rising or falling. During abearprice phase,large stocks provided t...

  • Dynamics_of_fertility_family_planning_female_education_in_a_developing_economy_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2000)

  • Unlike most empirical works on fertility analysis, this study is the first attempt to analyse the dynamics of fertility and its determinants with a particular focus on the role played by female education and family planning programmes in the context of a traditional society. The analysis is based on the application of the following dynamic time-series techniques in a multivariate context: cointegration, vector error-correction modelling and variance decompositions. These `dynamic' tools are recently developed and hitherto untried in fertility analysis in the context of a poor developing economy, such as India. The results based on the above most recently developed methodology, broadly...

  • Energy_consumption_real_income_and_temporal_causality_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1996)

  • Unlike previous studies on the causal relationship between energy consumption and economic growth, this paper illustrates how the finding of cointegration (i.e. long-term equilibrium relationship) between these variables, may be used in testing Granger causality. Based on the most recent Johansen's multivariate cointegration tests preceded by various unit root or non-stationarity tests, we test for cointegration between total energy consumption and real income of six Asian economies: India, Pakistan, Malaysia, Singapore, Indonesia and the Philippines. Non-rejection of cointegration between variables rules out Granger non-causality and imples at least one way of Granger-causality, eit...

  • item.jpg
  • PhD


  • Authors: Dewandaru, Ginanjar (2015)

  • This study investigates the roles of Shariah-compliant asset classes as well as Shariah-compliant portfolio strategies, which are divided into three separate essays. The first essay investigates both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. The sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. The study uses the recent mean-variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of va...

  • Fractional_cointegration_analysis_of_the_long_run_relationship_between_black_and_official_foreign_exchange_rates_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • This paper applies a relatively new but generalized concept of fractional cointegration to shed some light on the validity of a long-run relationship between monthly black and official US dollar rates ofthe Brazilian cruzeiro. An investigation ofthe stochastic properties of these rates reveals that, while the relationship is not cointegrated in their logs, they appear to be fractionally cointegrated if we allow for mean reverting processes that are C/(l, d) with Q < d <\. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a 1(0) process, captures a much wider class of mean-reversion behaviour. Furthermore, an analysis of the sh...

  • fractional_cointegration_approach_empirical_tests_PPP_rumi_masih.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1995)

  • This paper applies a relatively new concept of fractional cointegration to shed some light on the validity of purchasing power parity as a long-run equilibrium condition, using the Taiwan/US dollar exchange rate. Findings suggest that, while standard tests of cointegration fail to support cointegration between nominal exchange rates, domestic and foreign prices, the fractional cointegration analysis permits deviations from equilibrium to follow a fractionally integrated process and hence captures a much wider class of parity or mean-reversion behaviour. The paper concludes by indicating areas in which fractional cointegration will be a particularly appropriate technique to unearth pre...

  • a_fractional_cointegration_approach_testing_mean_reversion_spot_forward_exchange_rates_mm.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • The issue of whether foreign exchange markets process information efficiently (at least in a speculative, weak sense) has been a topic of renewed attention by empirical analysts in the fields of international finance, international economics and futures markets (see, inter alia, Hakkio and Rush, 1989; Macdonald and Taylor, 1989; Copeland, 1991; Lai and Lai, 1991; Tronzano, 1992; and Karfakis and Moschos, 1994) in a bivariate context, and Coleman, 1990; Alexander and Johnson, 1992; Baillie and Bollerslev, 1989; and Karfakis and Parikh, 1994; in a multivariate context). One of the reasons underlying the regeneration of interest in testing the efficient markets hypothesis (EMH) has, to a...

  • Fractional_cointegration_low_frequency_dynamics_and_long_run_purchasing_power_parity_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (2004)

  • A relatively new but generalized concept of fractional cointegration is applied to shed some light on the validity of purchasing power parity (PPP) as a long-run equilibrium condition, by examining the long-run relationship between quarterly consumer price indices and bilateral exchange rates of the Australian dollar and seven major OECD trading partners, over Australia's recent float. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a I(0) process, provides a wide range of cases of parity-reversion with processes that are CI(1,d ) with 0