Browsing by Topic Conventional finance::Capital markets

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Showing results 14 to 23 of 32
  • 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 ...

  • Portfolio_diversification_benefits_at_different_investment_horizons_during_the_Arab_uprisings_buriev_et_al.pdf.jpg
  • Journal Article


  • Authors: Buriev, Abdul Aziz; Dewandaru, Ginanjar; Zainal, Mohd-Pisal; Mohammed Masih, Abul Mansur (2018)

  • This study is an initial attempt at investigating the extent to which portfolio diversification benefits at different investment horizons are available to a Turkish investor from investment in MENA countries exposed to the Arab spring based on MGARCH-DCC and Wavelet techniques on daily data spanning from 2005 to 2015. The findings tend to suggest that the Turkish investors may not benefit from investment in Egypt for almost all investment horizons but may have moderate benefits from Lebanon up to the investment horizons of 32 - 64 days and longer. However, Turkish investors may benefit from Oman excepting the longer investment horizons. In the long run all stock holding periods exceed...

  • pre_post_crisis_analysis_stock_price_exchange_rate_baharom_royfaizal_muzafar.pdf.jpg
  • Journal Article


  • Authors: Abdul Hamid, Baharom; Chong, Razali Royfaizal; Habibullah, Muzafar Shah (2008)

  • The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. In this study Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.

  • Price_discovery_between_informationally_linked_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Hodgson, Allan; Mohammed Masih, Abul Mansur; Masih, Rumi (2003)

  • The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks. Results support the hypothesis that the nature of the price-discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price-sensitive fundamen...

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 14 to 23 of 32
  • 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 ...

  • Portfolio_diversification_benefits_at_different_investment_horizons_during_the_Arab_uprisings_buriev_et_al.pdf.jpg
  • Journal Article


  • Authors: Buriev, Abdul Aziz; Dewandaru, Ginanjar; Zainal, Mohd-Pisal; Mohammed Masih, Abul Mansur (2018)

  • This study is an initial attempt at investigating the extent to which portfolio diversification benefits at different investment horizons are available to a Turkish investor from investment in MENA countries exposed to the Arab spring based on MGARCH-DCC and Wavelet techniques on daily data spanning from 2005 to 2015. The findings tend to suggest that the Turkish investors may not benefit from investment in Egypt for almost all investment horizons but may have moderate benefits from Lebanon up to the investment horizons of 32 - 64 days and longer. However, Turkish investors may benefit from Oman excepting the longer investment horizons. In the long run all stock holding periods exceed...

  • pre_post_crisis_analysis_stock_price_exchange_rate_baharom_royfaizal_muzafar.pdf.jpg
  • Journal Article


  • Authors: Abdul Hamid, Baharom; Chong, Razali Royfaizal; Habibullah, Muzafar Shah (2008)

  • The furore and chaos created by the Asian financial crisis have ignited many studies on numerous subjects, and it is believed that the crisis has changed the way nations being administered and policies formed and implemented especially those regarding monetary and fiscal policies. In this study Johansen (1991) cointegration method was used and the period was divided into two sub periods, albeit pre crisis and post crisis. The results obtained are similar with a number of past literatures pointing to no long run relationship between stock price and exchange rate for both periods.

  • Price_discovery_between_informationally_linked_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Hodgson, Allan; Mohammed Masih, Abul Mansur; Masih, Rumi (2003)

  • The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks. Results support the hypothesis that the nature of the price-discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price-sensitive fundamen...