Browsing by Topic Conventional finance::Economics

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Showing results 53 to 62 of 97
  • level_volatility_stock_prices_aggregate_investment_case_thailand_ibrahim.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2011)

  • The present paper analyzes the aggregate investment behaviour for Thailand and its relations to real stock prices and stock market volatility. In the analysis, we focus on their long run relations as well as their dynamic causal interactions by means of time series techniques of cointegration and vector autoregression (VAR). Our basic framework consists of real aggregate investment, real output, lending rate, real stock prices and stock market volatility. We obtain evidence for their long run relation and that, in the long run, real aggregate investment is positively related to real stock prices and negatively related to the stock market volatility.The generalized impulse-response fun...

  • linear_non_linear_granger_causality_between_oil_spot_futures_prices_wavelet_based.pdf.jpg
  • Journal Article


  • Authors: Alzahrani, Mohammed; Mohammed Masih, Abul Mansur; Al-Titi, Omar (2014)

  • This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty.

  • linkages_between_education_expenditure_economic_growth_evidence_CHINDIA_baharom.pdf.jpg
  • Journal Article


  • Authors: Kaur, Harpaljit; Abdul Hamid, Baharom; Habibullah, Muzafar Shah (2014)

  • This paper examines the relationship between education expenditure and economic growth in China and India by employing annual data from 1970 to 2005. This study utilizes multi econometric tools such as the Johansen-Juselius (1990) co-integration test, Ordinary Least Square (OLS) method, Dynamic Ordinary Least Square (DOLS), Vector Error Correction Model (VECM) as well as variance decomposition to obtain a robust and consistent result. The findings indicate that there exists a long run trending relationship between income level (Gross Domestic Product per capita (GDPpc) and education expenditure in both China and India. In the long run, a unidirectional causal relationship could be det...

  • item.jpg
  • Master


  • Authors: Tayeb, Hamza Ait (2018)

  • This study aims to apply the Autoregressive Distributed Lag (ARDL) technique to analyze the macroeconomic impacts of oil prices on oil importing and oil exporting economis using Russia and Japan as evidence. Quarterly data from 1997 till 2017 of macroeconomic indicators like GDP growth, CPI, exchange rate, PPI, and oil prices were used in this study. Our results indicate that in an oil importing country like Japan, oil price increase has inflationary effects on the domestic economy as the average prices increase. Also, it was found that economic growth tends to decline in the wake of rising oil prices. The value of the currency is also shown to depreciate vis-a-vis the US Dollar as th...

  • macroeconomics_cover.jpg.jpg
  • Book


  • Authors: Hasan, Zubair; Lehar, Habibah (2009)

  • This content of this book are spread over eleven chapters, covering four major themes: introduction to macroeconomics, tools and models, monetary and fiscal policies and income distribution. Available in physical copy only (Call Number: HB 172.5 H344)

  • malaysia_us_trade_question_sustainability_correct_policy_baharom_2015.pdf.jpg
  • Industry Article


  • Authors: Abdul Hamid, Baharom; Habibullah, Muzafar Shah (2015-09-30)

  • The on-off-on again-off again Malaysia-US Free Trade Agreement (MUSFTA) is a proposed treaty between Malaysia and the United States of America. Initial negotiations, in fact started way back in 2005 and as all other Free Trade Agreements (FTAs), the treaty aims to liberalise each other markets to parties of the agreement and directly encourage trade between the two countries. Malaysia has a commendable and enviable economic growth and development. Our macroeconomic policies have always been designed to create a more liberalized and fair international trade environment. Though Malaysia continues to accord high priority to the rule-based multilateral trading system under the World Trade...

  • chapter 13_managing the Malaysian economy after GE 2008_Ariff.jpg.jpg
  • Chapter in Book


  • Authors: Lopez, Greg; Abdul Kareem, Mohamed Ariff (2018)

  • On 8 March 2008 (GE 2008) Malaysians unexpectedly delivered a stunning blow to Malaysia's long-standing ruling coalition, Barisan Nasional (BN), at the twelfth general election. Although it won the election, BN lost its psychologically important two-thirds majority in parliament which allows it to change the Federal Constitution at will. The blow was all the more devastating as the Anwar Ibrahim-led informal coalition of Parti Keadilan Rakyat (PKR/People's Iustice Party), Democratic Action Party (DAP) and Parti Se-Islam Malaysia (PAS/Pan Islamic Party of Malaysia) managed to form state governments in almost all states in the developed western parts of Peninsular Malaysia with citizens...

  • model_uncertainty_asset_return_predictability_application_bayesian_model_averaging_masih_mie.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur; Mie, Killian (2010)

  • We investigate model uncertainty associated with predictive regressions employed in asset return forecasting research. We use simple combination and Bayesian model averaging (BMA) techniques to compare the performance of these forecasting approaches in short-vs. long-run horizons of S&P500 monthly excess returns. Simple averaging involves an equally-weighted averaging of the forecasts from alternative combinations of factors used in the predictive regressions, whereas BMA involves computing the predictive probability that each model is the true model and uses these predictive probabilities as weights in combing the forecasts from different models. From a given set of multiple factors,...

  • money_supply_interest_rate_liquidity_share_prices_test_their_linkage_ariff.pdf.jpg
  • Journal Article


  • Authors: Ariff, Mohamed; Tin-fah, Chung; Ramadili Mohd, Shamsher Mohamad (2012)

  • The money supply impacts on interest rate and liquidity were first proposed in 1961 by Friedman, the late Nobel laureate. The liquidity effect has yet received unanimous empirical support. Also, research interest on liquidity subsided in the 2000s. Using quarterly data over 1960–2011 and simultaneous solution to a system of equations, this paper reports positive liquidity effect from money supply. By extending the system of equations with a liquidity equation and after controlling the effect of earnings, evidence is found of a significant positive effect from liquidity on share prices. Money supply is found to be endogenous as in post Keynesian theory. These findings, obtained after s...

Browsing by Topic Conventional finance::Economics

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 53 to 62 of 97
  • level_volatility_stock_prices_aggregate_investment_case_thailand_ibrahim.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2011)

  • The present paper analyzes the aggregate investment behaviour for Thailand and its relations to real stock prices and stock market volatility. In the analysis, we focus on their long run relations as well as their dynamic causal interactions by means of time series techniques of cointegration and vector autoregression (VAR). Our basic framework consists of real aggregate investment, real output, lending rate, real stock prices and stock market volatility. We obtain evidence for their long run relation and that, in the long run, real aggregate investment is positively related to real stock prices and negatively related to the stock market volatility.The generalized impulse-response fun...

  • linear_non_linear_granger_causality_between_oil_spot_futures_prices_wavelet_based.pdf.jpg
  • Journal Article


  • Authors: Alzahrani, Mohammed; Mohammed Masih, Abul Mansur; Al-Titi, Omar (2014)

  • This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty.

  • linkages_between_education_expenditure_economic_growth_evidence_CHINDIA_baharom.pdf.jpg
  • Journal Article


  • Authors: Kaur, Harpaljit; Abdul Hamid, Baharom; Habibullah, Muzafar Shah (2014)

  • This paper examines the relationship between education expenditure and economic growth in China and India by employing annual data from 1970 to 2005. This study utilizes multi econometric tools such as the Johansen-Juselius (1990) co-integration test, Ordinary Least Square (OLS) method, Dynamic Ordinary Least Square (DOLS), Vector Error Correction Model (VECM) as well as variance decomposition to obtain a robust and consistent result. The findings indicate that there exists a long run trending relationship between income level (Gross Domestic Product per capita (GDPpc) and education expenditure in both China and India. In the long run, a unidirectional causal relationship could be det...

  • item.jpg
  • Master


  • Authors: Tayeb, Hamza Ait (2018)

  • This study aims to apply the Autoregressive Distributed Lag (ARDL) technique to analyze the macroeconomic impacts of oil prices on oil importing and oil exporting economis using Russia and Japan as evidence. Quarterly data from 1997 till 2017 of macroeconomic indicators like GDP growth, CPI, exchange rate, PPI, and oil prices were used in this study. Our results indicate that in an oil importing country like Japan, oil price increase has inflationary effects on the domestic economy as the average prices increase. Also, it was found that economic growth tends to decline in the wake of rising oil prices. The value of the currency is also shown to depreciate vis-a-vis the US Dollar as th...

  • macroeconomics_cover.jpg.jpg
  • Book


  • Authors: Hasan, Zubair; Lehar, Habibah (2009)

  • This content of this book are spread over eleven chapters, covering four major themes: introduction to macroeconomics, tools and models, monetary and fiscal policies and income distribution. Available in physical copy only (Call Number: HB 172.5 H344)

  • malaysia_us_trade_question_sustainability_correct_policy_baharom_2015.pdf.jpg
  • Industry Article


  • Authors: Abdul Hamid, Baharom; Habibullah, Muzafar Shah (2015-09-30)

  • The on-off-on again-off again Malaysia-US Free Trade Agreement (MUSFTA) is a proposed treaty between Malaysia and the United States of America. Initial negotiations, in fact started way back in 2005 and as all other Free Trade Agreements (FTAs), the treaty aims to liberalise each other markets to parties of the agreement and directly encourage trade between the two countries. Malaysia has a commendable and enviable economic growth and development. Our macroeconomic policies have always been designed to create a more liberalized and fair international trade environment. Though Malaysia continues to accord high priority to the rule-based multilateral trading system under the World Trade...

  • chapter 13_managing the Malaysian economy after GE 2008_Ariff.jpg.jpg
  • Chapter in Book


  • Authors: Lopez, Greg; Abdul Kareem, Mohamed Ariff (2018)

  • On 8 March 2008 (GE 2008) Malaysians unexpectedly delivered a stunning blow to Malaysia's long-standing ruling coalition, Barisan Nasional (BN), at the twelfth general election. Although it won the election, BN lost its psychologically important two-thirds majority in parliament which allows it to change the Federal Constitution at will. The blow was all the more devastating as the Anwar Ibrahim-led informal coalition of Parti Keadilan Rakyat (PKR/People's Iustice Party), Democratic Action Party (DAP) and Parti Se-Islam Malaysia (PAS/Pan Islamic Party of Malaysia) managed to form state governments in almost all states in the developed western parts of Peninsular Malaysia with citizens...

  • model_uncertainty_asset_return_predictability_application_bayesian_model_averaging_masih_mie.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur; Mie, Killian (2010)

  • We investigate model uncertainty associated with predictive regressions employed in asset return forecasting research. We use simple combination and Bayesian model averaging (BMA) techniques to compare the performance of these forecasting approaches in short-vs. long-run horizons of S&P500 monthly excess returns. Simple averaging involves an equally-weighted averaging of the forecasts from alternative combinations of factors used in the predictive regressions, whereas BMA involves computing the predictive probability that each model is the true model and uses these predictive probabilities as weights in combing the forecasts from different models. From a given set of multiple factors,...

  • money_supply_interest_rate_liquidity_share_prices_test_their_linkage_ariff.pdf.jpg
  • Journal Article


  • Authors: Ariff, Mohamed; Tin-fah, Chung; Ramadili Mohd, Shamsher Mohamad (2012)

  • The money supply impacts on interest rate and liquidity were first proposed in 1961 by Friedman, the late Nobel laureate. The liquidity effect has yet received unanimous empirical support. Also, research interest on liquidity subsided in the 2000s. Using quarterly data over 1960–2011 and simultaneous solution to a system of equations, this paper reports positive liquidity effect from money supply. By extending the system of equations with a liquidity equation and after controlling the effect of earnings, evidence is found of a significant positive effect from liquidity on share prices. Money supply is found to be endogenous as in post Keynesian theory. These findings, obtained after s...