Browsing by Topic Conventional finance::Capital markets

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Showing results 21 to 27 of 27
  • rationalizing_value_premium_emerging_markets_eskandar.pdf.jpg
  • Journal Article


  • Authors: Ebrahim, Muhammed-Shahid; Girmab, Sourafel; Mohd Rasid, Mohamed Eskandar Shah; William, Jonathan (2014)

  • We reconfirm the presence of value premium in emerging markets. Using the Brazil–Turkey–India–China (BTIC) grouping during a period of substantial economic growth and stock market development, we attribute the premium to the investment patterns of glamour firms. We conjecture based on empirical evidence that glamour firms hoard cash, which delays undertaking of growth options, especially in poor economic conditions. Whilst this helps to mitigate business risk, it lowers market valuations and drives down expected returns. Our evidence supports arguments that the value premium is explained by economic fundamentals rather than a risk factor that is common to all firms

  • short-horizon_asymmetry_conditional_mean_asean_stock_market_returns_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2010)

  • This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May 2010, we find these markets generally have quick mean-reversion speeds but quite distinct patterns of return dynamics. In the Indonesian market, the evidence seems to strongly suggest asymmetric mean reversion and overreaction of the market during downturns. The Vietnamese market exhibits the most persistent return autocorrelation with some evidence pointing to higher persistence during ...

  • stock_market_and_aggregate_consumption_asymmetry_mansor_ibrahim.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Habibullah, Muzafar Shah (2010)

  • The purpose of this paper is to analyze the influences of real share prices on aggregate consumption for Malaysia with the focus on whether there is asymmetry in the long-run relation of the two variables. The paper specifies aggregate consumption to depend on real income and real share prices. Alternatively, imposing long-run budget constraint, the paper specifies the relation between aggregate consumption and real share prices as ratio to real income. Then, it applies an asymmetric cointegration and error correction modeling. The cointegration tests indicate the presence of a long-run relation between consumption-income ratio and share price-income ratio. More interestingly, while c...

  • stock_market_aggregate_investment_behavior_malaysia_empirical_analysis_mansor_abdullahi.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Ahmed, Abdullahi (2013)

  • The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on aggregate investment behavior for an emerging market, Malaysia. Employing the autoregressive distributed lags approach to cointegration test, the paper establishes a long run equilibrium that ties the aggregate investment to its determinants—real income, real stock prices, real lending rate and stock market volatility. In the long run, we document a positive relation between aggregate investment and real stock prices and a negative relation between aggregate investment and stock market volatility. These results are further supported by our analyses of th...

  • stock pricing in Malaysia.jpg.jpg
  • Book


  • Authors: Ariff, Mohamed; Ramadili Mohd, Shamsher Mohamad; Md. Nassir, Annuar (1998)

  • This book is meant for both professionals and students of capital markets in an emerging economy. It is about financial behaviour of the Kuala Lumpur Stock Exchange. It provides for the first time care-fully-researched findings about the structure of pricing in this reasonably-well-organised emerging stock market in Malaysia, which is an attractive Asian location for portfolio investment. The findings reports in this book should provide useful benchmarks for practice by professionals in accounting, finance, financial economics, regulations, etc.

  • role_gold_financial_investment_malaysian_perspectives_mansor_baharom.pdf.jpg
  • Journal Article


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

  • The paper assesses whether gold investment provides diversification, hedge, or safe haven benefit for the case of Malaysia using daily data from August 2001 to March 2010. The results indicate that at best gold serves as a diversification asset for Malaysian investors. In the analysis, we also find changing investment role of gold in recent years marked by global financial market uncertainties. The hedge and safe haven properties of gold investment documented in the initial sub-sample have been degraded to only diversification property. Moreover, the extreme market conditions tend to weaken the role of gold as a diversification asset in financial portfolio formation.

  • Unraveling_the_financial_contagion_in_European_stock_markets_during_financial_crisis_dewandaru_et_al.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Mohammed Masih, Abul Mansur (2018)

  • The article investigates the evidence of financial contagion and market integration in selected European equity markets during nine major crises across regions. The focus is to identify whether (i) contagion evidence is pure or fundamental and (ii) dynamic evolution of integration is in the short run or long run. Wavelet decomposition in both its discrete and continuous forms is used. The findings reveal the following: (i) prior to the subprime crisis, contagion effects generated short-term shocks. The most recent US subprime crisis, however, reveals the evidence of fundamental based contagion. (ii) We find increasing short-run and long-run stock market integration, driven by several ...

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 21 to 27 of 27
  • rationalizing_value_premium_emerging_markets_eskandar.pdf.jpg
  • Journal Article


  • Authors: Ebrahim, Muhammed-Shahid; Girmab, Sourafel; Mohd Rasid, Mohamed Eskandar Shah; William, Jonathan (2014)

  • We reconfirm the presence of value premium in emerging markets. Using the Brazil–Turkey–India–China (BTIC) grouping during a period of substantial economic growth and stock market development, we attribute the premium to the investment patterns of glamour firms. We conjecture based on empirical evidence that glamour firms hoard cash, which delays undertaking of growth options, especially in poor economic conditions. Whilst this helps to mitigate business risk, it lowers market valuations and drives down expected returns. Our evidence supports arguments that the value premium is explained by economic fundamentals rather than a risk factor that is common to all firms

  • short-horizon_asymmetry_conditional_mean_asean_stock_market_returns_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2010)

  • This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May 2010, we find these markets generally have quick mean-reversion speeds but quite distinct patterns of return dynamics. In the Indonesian market, the evidence seems to strongly suggest asymmetric mean reversion and overreaction of the market during downturns. The Vietnamese market exhibits the most persistent return autocorrelation with some evidence pointing to higher persistence during ...

  • stock_market_and_aggregate_consumption_asymmetry_mansor_ibrahim.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Habibullah, Muzafar Shah (2010)

  • The purpose of this paper is to analyze the influences of real share prices on aggregate consumption for Malaysia with the focus on whether there is asymmetry in the long-run relation of the two variables. The paper specifies aggregate consumption to depend on real income and real share prices. Alternatively, imposing long-run budget constraint, the paper specifies the relation between aggregate consumption and real share prices as ratio to real income. Then, it applies an asymmetric cointegration and error correction modeling. The cointegration tests indicate the presence of a long-run relation between consumption-income ratio and share price-income ratio. More interestingly, while c...

  • stock_market_aggregate_investment_behavior_malaysia_empirical_analysis_mansor_abdullahi.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Ahmed, Abdullahi (2013)

  • The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on aggregate investment behavior for an emerging market, Malaysia. Employing the autoregressive distributed lags approach to cointegration test, the paper establishes a long run equilibrium that ties the aggregate investment to its determinants—real income, real stock prices, real lending rate and stock market volatility. In the long run, we document a positive relation between aggregate investment and real stock prices and a negative relation between aggregate investment and stock market volatility. These results are further supported by our analyses of th...

  • stock pricing in Malaysia.jpg.jpg
  • Book


  • Authors: Ariff, Mohamed; Ramadili Mohd, Shamsher Mohamad; Md. Nassir, Annuar (1998)

  • This book is meant for both professionals and students of capital markets in an emerging economy. It is about financial behaviour of the Kuala Lumpur Stock Exchange. It provides for the first time care-fully-researched findings about the structure of pricing in this reasonably-well-organised emerging stock market in Malaysia, which is an attractive Asian location for portfolio investment. The findings reports in this book should provide useful benchmarks for practice by professionals in accounting, finance, financial economics, regulations, etc.

  • role_gold_financial_investment_malaysian_perspectives_mansor_baharom.pdf.jpg
  • Journal Article


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

  • The paper assesses whether gold investment provides diversification, hedge, or safe haven benefit for the case of Malaysia using daily data from August 2001 to March 2010. The results indicate that at best gold serves as a diversification asset for Malaysian investors. In the analysis, we also find changing investment role of gold in recent years marked by global financial market uncertainties. The hedge and safe haven properties of gold investment documented in the initial sub-sample have been degraded to only diversification property. Moreover, the extreme market conditions tend to weaken the role of gold as a diversification asset in financial portfolio formation.

  • Unraveling_the_financial_contagion_in_European_stock_markets_during_financial_crisis_dewandaru_et_al.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Masih, Rumi; Mohammed Masih, Abul Mansur (2018)

  • The article investigates the evidence of financial contagion and market integration in selected European equity markets during nine major crises across regions. The focus is to identify whether (i) contagion evidence is pure or fundamental and (ii) dynamic evolution of integration is in the short run or long run. Wavelet decomposition in both its discrete and continuous forms is used. The findings reveal the following: (i) prior to the subprime crisis, contagion effects generated short-term shocks. The most recent US subprime crisis, however, reveals the evidence of fundamental based contagion. (ii) We find increasing short-run and long-run stock market integration, driven by several ...