Browsing by Topic Conventional finance::Capital markets

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Showing results 11 to 20 of 32
  • 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...

  • Futures_trading_volume_as_a_determinant_of_prices_mansur.pdf.jpg
  • Journal Article


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

  • Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to ...

  • granting_employee_stock_options_market_reaction_financial_performance_evidence_emerging_market_obiyathulla_eskandar.pdf.jpg
  • Journal Article


  • Authors: Bacha, Obiyathulla Ismath; Syed Mohd Zain, Sharifah Raihan; Mohd Rasid, Mohamed Eskandar Shah; Mohamad, Azhar (2009-09-01)

  • This paper examines several issues related to the implementation of ESOs among Malaysian companies. We examine a total of 52 companies, 26 ESO firms and their matched industry peers over a span of 12 years. We find ESO firm stocks to have marginally higher mean returns and lower volatility than do their pre-ESO peers. Malaysian companies are more likely to initiate ESOs when the market valuation of their stocks is low. If there is any timing, ESO initiation is timed to be most favourable to employee recipients. Market reaction to ESO announcements is significantly negative. Furthermore, stock prices do not seem to recover to pre-announcement levels during at least the subsequent 20 tr...

  • handbook of investable world bond markets.pdf.jpg
  • Book


  • Authors: Ariff, Mohamed; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad (2016)

  • This book identifies how the major and some minor bond markets reacted to interest rate increases and decreases over the recent few years. As every investor knows excessive borrowings relative to the ability to service loans constitute sovereign debt crisis, and it is not limited only to developing countries as shown by the fall in bond values of profligate borrowers such as the Greece. This book is on the pricing of sovereign debt in 17 bond markets across the developed world, ones that have received most of the investors' money as investments.

  • item.jpg
  • Journal Article


  • Authors: Ariff, Mohamed; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad (2017)

  • This paper reports evidence of significant abnormal returns in call and put options in the New York Stock Exchange around the disclosure time of two equity funding events. The delta values as risk of options are used to adjust gross returns of calls and puts to obtain adjusted abnormal returns. Theory suggests any stock price increases around private placement announcement dates would make calls to become in-the-money, so call prices should increase: conversely, puts would become out-of-money so put prices should be unaffected. Stock price declines around seasoned equity announcement dates would make put prices to increase since puts become in-the-money: call prices, having become out...

  • inflation_hedging_effectiveness_emerging_Asian_market_case_Malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2011)

  • This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling. The focus is on the long-run relation between stock prices and consumer prices, the adjustment speed of the stock market to restore the long-run relation and their short run interactions. From the analyses, we uncover evidence supporting the long-run inflation-hedging ability of the Malaysian stock market only during the pre-crisis period. Its hedging ability, however, weakens for the full sample and is absent pos...

  • introduction_single-tier_corporate_tax_system_effect_share_price_shamser.pdf.jpg
  • Journal Article


  • Authors: Selamat, Aslam; Ariff, Mohamed; Ramadili Mohd, Shamsher Mohamad (2013)

  • Malaysia and Singapore are the first countries to end their 45-year old imputation tax systems by replacing it with the simpler single-tier corporate tax system. Corporations have ceased to keep records of divident tax credits required under the imputation laws with the implementation of thee single-tier tax systems. We find evidence rom Malaysian and Singapore on how the share prices responded to the announcements in 2007 and 2002 respectively. The Singapore market reacted positively to the announcement; the Malaysan results were influenced by th global credit crunch. Also, we measured the ex-dividend days moved according to theory. In both countries, the average price drop ratio mov...

  • is_domestic_stock_price_cointegrated_exchange_rate_foreign_stock_price_evidence_malaysia_mansur.pdf.jpg
  • Journal Article


  • Authors: Kabir, Sarkar Humayun; R. Bashar, Omar K. M.; Mohammed Masih, Abul Mansur (2014)

  • The growth of the financial sector of an economy such as, the stock market is usually found to be highly correlated with the growth of the real sector of an economy. In this study, we make an attempt to investigate whether there is any significant relationship between the stock prices, macroeconomic variables and foreign stock prices in an economy. Using the Malaysian quarterly data from 1991–2010 and the time series techniques such as, cointegration, long run structural modeling, vector error correction, variance decompositions, impulse response functions, and persistence profile approaches, we evidence a significant statistical relationship existing between the Malaysian stock price...

  • Long_and_short_term_dynamic_causal_transmission_amongst_international_stock_markets_mansur.pdf.jpg
  • Journal Article


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

  • This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous res...

  • long-run_relation_dynamic_interactions_between_housing_stock_prices_thailand_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Padli, Jaharudin; Abdul Hamid, Baharom (2009)

  • Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis is conducted within a multivariate setting that incorporates the Stock Exchange of Thailand Composite Index and housing prices, the real gross domestic product and the consumer price index. In this paper, the autoregressive distributive lags (ARDL) cointegration test is applied to examine the variables' long-run relationships. We then employ the ARDL, DOLS and ML approaches to estimate the ...

Browsing by Topic Conventional finance::Capital markets

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 11 to 20 of 32
  • 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...

  • Futures_trading_volume_as_a_determinant_of_prices_mansur.pdf.jpg
  • Journal Article


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

  • Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to ...

  • granting_employee_stock_options_market_reaction_financial_performance_evidence_emerging_market_obiyathulla_eskandar.pdf.jpg
  • Journal Article


  • Authors: Bacha, Obiyathulla Ismath; Syed Mohd Zain, Sharifah Raihan; Mohd Rasid, Mohamed Eskandar Shah; Mohamad, Azhar (2009-09-01)

  • This paper examines several issues related to the implementation of ESOs among Malaysian companies. We examine a total of 52 companies, 26 ESO firms and their matched industry peers over a span of 12 years. We find ESO firm stocks to have marginally higher mean returns and lower volatility than do their pre-ESO peers. Malaysian companies are more likely to initiate ESOs when the market valuation of their stocks is low. If there is any timing, ESO initiation is timed to be most favourable to employee recipients. Market reaction to ESO announcements is significantly negative. Furthermore, stock prices do not seem to recover to pre-announcement levels during at least the subsequent 20 tr...

  • handbook of investable world bond markets.pdf.jpg
  • Book


  • Authors: Ariff, Mohamed; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad (2016)

  • This book identifies how the major and some minor bond markets reacted to interest rate increases and decreases over the recent few years. As every investor knows excessive borrowings relative to the ability to service loans constitute sovereign debt crisis, and it is not limited only to developing countries as shown by the fall in bond values of profligate borrowers such as the Greece. This book is on the pricing of sovereign debt in 17 bond markets across the developed world, ones that have received most of the investors' money as investments.

  • item.jpg
  • Journal Article


  • Authors: Ariff, Mohamed; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad (2017)

  • This paper reports evidence of significant abnormal returns in call and put options in the New York Stock Exchange around the disclosure time of two equity funding events. The delta values as risk of options are used to adjust gross returns of calls and puts to obtain adjusted abnormal returns. Theory suggests any stock price increases around private placement announcement dates would make calls to become in-the-money, so call prices should increase: conversely, puts would become out-of-money so put prices should be unaffected. Stock price declines around seasoned equity announcement dates would make put prices to increase since puts become in-the-money: call prices, having become out...

  • inflation_hedging_effectiveness_emerging_Asian_market_case_Malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2011)

  • This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling. The focus is on the long-run relation between stock prices and consumer prices, the adjustment speed of the stock market to restore the long-run relation and their short run interactions. From the analyses, we uncover evidence supporting the long-run inflation-hedging ability of the Malaysian stock market only during the pre-crisis period. Its hedging ability, however, weakens for the full sample and is absent pos...

  • introduction_single-tier_corporate_tax_system_effect_share_price_shamser.pdf.jpg
  • Journal Article


  • Authors: Selamat, Aslam; Ariff, Mohamed; Ramadili Mohd, Shamsher Mohamad (2013)

  • Malaysia and Singapore are the first countries to end their 45-year old imputation tax systems by replacing it with the simpler single-tier corporate tax system. Corporations have ceased to keep records of divident tax credits required under the imputation laws with the implementation of thee single-tier tax systems. We find evidence rom Malaysian and Singapore on how the share prices responded to the announcements in 2007 and 2002 respectively. The Singapore market reacted positively to the announcement; the Malaysan results were influenced by th global credit crunch. Also, we measured the ex-dividend days moved according to theory. In both countries, the average price drop ratio mov...

  • is_domestic_stock_price_cointegrated_exchange_rate_foreign_stock_price_evidence_malaysia_mansur.pdf.jpg
  • Journal Article


  • Authors: Kabir, Sarkar Humayun; R. Bashar, Omar K. M.; Mohammed Masih, Abul Mansur (2014)

  • The growth of the financial sector of an economy such as, the stock market is usually found to be highly correlated with the growth of the real sector of an economy. In this study, we make an attempt to investigate whether there is any significant relationship between the stock prices, macroeconomic variables and foreign stock prices in an economy. Using the Malaysian quarterly data from 1991–2010 and the time series techniques such as, cointegration, long run structural modeling, vector error correction, variance decompositions, impulse response functions, and persistence profile approaches, we evidence a significant statistical relationship existing between the Malaysian stock price...

  • Long_and_short_term_dynamic_causal_transmission_amongst_international_stock_markets_mansur.pdf.jpg
  • Journal Article


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

  • This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous res...

  • long-run_relation_dynamic_interactions_between_housing_stock_prices_thailand_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Padli, Jaharudin; Abdul Hamid, Baharom (2009)

  • Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis is conducted within a multivariate setting that incorporates the Stock Exchange of Thailand Composite Index and housing prices, the real gross domestic product and the consumer price index. In this paper, the autoregressive distributive lags (ARDL) cointegration test is applied to examine the variables' long-run relationships. We then employ the ARDL, DOLS and ML approaches to estimate the ...