Browsing by Topic Conventional finance::Capital markets

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Showing results 7 to 16 of 27
  • financial_market_risk_gold_investment_emerging_market_case_malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2012)

  • The purpose of this paper is to examine the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia. The paper applies the autoregressive distributed model to link gold returns to stock returns with TGARCH/EGARCH error specification using daily data from August 1, 2001 to March 31, 2010, a total of 2,261 observations. A significant positive but low correlation is found between gold and once‐lagged stock returns. Moreover, consecutive negative market returns do not seem to intensify the co‐movement between the gold and stock markets as normally documented among national stock ...

  • Foreign exchange exposure and impact of policy switch the case of Malaysian listed firms_obiyathulla_eskandar.pdf.jpg
  • Journal Article


  • Authors: Bacha, Obiyathulla Ismath; Mohamad, Azhar; Syed Mohd Zain, Sharifah Raihan; Mohd Rasid, Mohamed Eskandar Shah (2013)

  • This article undertakes an in-depth study of the foreign exchange exposure of Malaysian listed firms. We examine several issues related to firm-specific and overall exposure, including an evaluation of the efficacy of adopting a hard-peg on such exposure. Our sample consists of 158 listed firms and spans the 16 year period, 1990–2005. A multivariate model using four bilateral exchange rates is used to determine firm level exposure while panel data analysis using a random-effects Generalized Least Squares (GLS) model is used to determine system-wide or aggregate sample exposure. We find a total 71% of our sample firms to have significant exchange rate exposure, a rate substantially hig...

  • foreign_exchange_rate_exposure_emerging_market_case_indonesia_mansor_baharom.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Abdul Hamid, Baharom (2011)

  • The paper examines the exchange rate exposure of the Indonesian national market, the Indonesia Stock Exchange, for the 1988-2009 period using an EGARCH(1, 1) model. The evidence indicates negative exposure of the Indonesian market to variations in the rupiah-dollar exchange rate. Moreover, applying a rolling regression technique, the exposure is found to be more negative in recent years. Thus, the rupiah-dollar depreciation tends to have an adverse impact on the Indonesian market. These results seem to be robust across specifications of the mean equation. Finally, our exploratory exercises indicate the potential importance of current account and financial variables particularly curren...

  • 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...

  • 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.

  • 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-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 7 to 16 of 27
  • financial_market_risk_gold_investment_emerging_market_case_malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2012)

  • The purpose of this paper is to examine the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia. The paper applies the autoregressive distributed model to link gold returns to stock returns with TGARCH/EGARCH error specification using daily data from August 1, 2001 to March 31, 2010, a total of 2,261 observations. A significant positive but low correlation is found between gold and once‐lagged stock returns. Moreover, consecutive negative market returns do not seem to intensify the co‐movement between the gold and stock markets as normally documented among national stock ...

  • Foreign exchange exposure and impact of policy switch the case of Malaysian listed firms_obiyathulla_eskandar.pdf.jpg
  • Journal Article


  • Authors: Bacha, Obiyathulla Ismath; Mohamad, Azhar; Syed Mohd Zain, Sharifah Raihan; Mohd Rasid, Mohamed Eskandar Shah (2013)

  • This article undertakes an in-depth study of the foreign exchange exposure of Malaysian listed firms. We examine several issues related to firm-specific and overall exposure, including an evaluation of the efficacy of adopting a hard-peg on such exposure. Our sample consists of 158 listed firms and spans the 16 year period, 1990–2005. A multivariate model using four bilateral exchange rates is used to determine firm level exposure while panel data analysis using a random-effects Generalized Least Squares (GLS) model is used to determine system-wide or aggregate sample exposure. We find a total 71% of our sample firms to have significant exchange rate exposure, a rate substantially hig...

  • foreign_exchange_rate_exposure_emerging_market_case_indonesia_mansor_baharom.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Abdul Hamid, Baharom (2011)

  • The paper examines the exchange rate exposure of the Indonesian national market, the Indonesia Stock Exchange, for the 1988-2009 period using an EGARCH(1, 1) model. The evidence indicates negative exposure of the Indonesian market to variations in the rupiah-dollar exchange rate. Moreover, applying a rolling regression technique, the exposure is found to be more negative in recent years. Thus, the rupiah-dollar depreciation tends to have an adverse impact on the Indonesian market. These results seem to be robust across specifications of the mean equation. Finally, our exploratory exercises indicate the potential importance of current account and financial variables particularly curren...

  • 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...

  • 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.

  • 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-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 ...