Browsing by Topic Conventional finance

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Showing results 126 to 135 of 294
  • forecasting_corporate_failure_Malaysian_industrial_sector firms_Zulkarnain et al.pdf.jpg
  • Journal Article


  • Authors: Muhamad Sori, Zulkarnain; Abdul Hamid, Mohamad Ali; Md. Nasir, Annuar; Mohamad, Zainal Abidin (2001)

  • Financial ratios have long been used as predictor of important events in financial markets of developed economies. Formulating business failure prediction models utilising financial ratios is no exception. However, there is hardly any evidence on failure prediction in developing markets such as Malaysia. This study develops a failure prediction model for industrial sector listed firms that discriminates between 24 failed and non-failed for the period 1980 to 1996. The findings show that the model correctly and significantly classified 91.1% and 89.3% of the failed and non-failed firms respectively. An alternative prediction model developed based solely on accounting information showed...

  • forecasting_inflation_malaysia_mansor_pisal.pdf.jpg
  • Journal Article


  • Authors: Duasa, Jarita; Ahmad, Nursilah; Ibrahim, Mansor H.; Zainal, Mohd-Pisal (2010)

  • This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the vari...

  • 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...

  • Fractional_cointegration_analysis_of_the_long_run_relationship_between_black_and_official_foreign_exchange_rates_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • This paper applies a relatively new but generalized concept of fractional cointegration to shed some light on the validity of a long-run relationship between monthly black and official US dollar rates ofthe Brazilian cruzeiro. An investigation ofthe stochastic properties of these rates reveals that, while the relationship is not cointegrated in their logs, they appear to be fractionally cointegrated if we allow for mean reverting processes that are C/(l, d) with Q < d <\. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a 1(0) process, captures a much wider class of mean-reversion behaviour. Furthermore, an analysis of the sh...

  • fractional_cointegration_approach_empirical_tests_PPP_rumi_masih.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1995)

  • This paper applies a relatively new concept of fractional cointegration to shed some light on the validity of purchasing power parity as a long-run equilibrium condition, using the Taiwan/US dollar exchange rate. Findings suggest that, while standard tests of cointegration fail to support cointegration between nominal exchange rates, domestic and foreign prices, the fractional cointegration analysis permits deviations from equilibrium to follow a fractionally integrated process and hence captures a much wider class of parity or mean-reversion behaviour. The paper concludes by indicating areas in which fractional cointegration will be a particularly appropriate technique to unearth pre...

  • 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...

  • Fractional_cointegration_low_frequency_dynamics_and_long_run_purchasing_power_parity_mansur.pdf.jpg
  • Journal Article


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

  • A relatively new but generalized concept of fractional cointegration is applied to shed some light on the validity of purchasing power parity (PPP) as a long-run equilibrium condition, by examining the long-run relationship between quarterly consumer price indices and bilateral exchange rates of the Australian dollar and seven major OECD trading partners, over Australia's recent float. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a I(0) process, provides a wide range of cases of parity-reversion with processes that are CI(1,d ) with 0

  • fundamentals_microeconomics_cover.jpg.jpg
  • Book


  • Authors: Hasan, Zubair; Lehar, Habibah (2011)

  • This book is cover numerous topics such as demand and supply, market equilibrium, elasticity, consumer choice theory, cost theory, theory of production and many others including one chapter that deals with environmental issues.

  • item.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Richmond, Peter; Roehner, Bertrand M.; Qing-hai, Wang (2019)

  • In earlier centuries kings and governments employed astrologists to help them take the best decisions. Present-day governments no longer employ astrologists but still have no clear analytical tool to replace them. Over the past two decades we have developed a methodology for the scientific investigation of recurrent historical events. It consists in two steps. (i) Identification and comparison of historical episodes driven by a common mechanism. (ii) Under the reasonable assumption that what has happened several times in the past is likely to happen again, one then derives testable predictions. This of course is nothing other than the protocol used in experimental science when explori...

Browsing by Topic Conventional finance

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 126 to 135 of 294
  • forecasting_corporate_failure_Malaysian_industrial_sector firms_Zulkarnain et al.pdf.jpg
  • Journal Article


  • Authors: Muhamad Sori, Zulkarnain; Abdul Hamid, Mohamad Ali; Md. Nasir, Annuar; Mohamad, Zainal Abidin (2001)

  • Financial ratios have long been used as predictor of important events in financial markets of developed economies. Formulating business failure prediction models utilising financial ratios is no exception. However, there is hardly any evidence on failure prediction in developing markets such as Malaysia. This study develops a failure prediction model for industrial sector listed firms that discriminates between 24 failed and non-failed for the period 1980 to 1996. The findings show that the model correctly and significantly classified 91.1% and 89.3% of the failed and non-failed firms respectively. An alternative prediction model developed based solely on accounting information showed...

  • forecasting_inflation_malaysia_mansor_pisal.pdf.jpg
  • Journal Article


  • Authors: Duasa, Jarita; Ahmad, Nursilah; Ibrahim, Mansor H.; Zainal, Mohd-Pisal (2010)

  • This paper aims to identify the best indicator in forecasting inflation in Malaysia. In methodology, the study constructs a simple forecasting model that incorporates the indicator/variable using the vector error correction (VECM) model of quasi-tradable inflation index and selected indicators: commodity prices, financial indicators and economic activities. For each indicator, the forecasting horizon used is 24 months and the VECM model is applied for seven sample windows over sample periods starting with the first month of 1980 and ending with the 12th month of every 2 years from 1992 to 2004. The degree of independence of each indicator from inflation is tested by analyzing the vari...

  • 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...

  • Fractional_cointegration_analysis_of_the_long_run_relationship_between_black_and_official_foreign_exchange_rates_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1998)

  • This paper applies a relatively new but generalized concept of fractional cointegration to shed some light on the validity of a long-run relationship between monthly black and official US dollar rates ofthe Brazilian cruzeiro. An investigation ofthe stochastic properties of these rates reveals that, while the relationship is not cointegrated in their logs, they appear to be fractionally cointegrated if we allow for mean reverting processes that are C/(l, d) with Q < d <\. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a 1(0) process, captures a much wider class of mean-reversion behaviour. Furthermore, an analysis of the sh...

  • fractional_cointegration_approach_empirical_tests_PPP_rumi_masih.pdf.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1995)

  • This paper applies a relatively new concept of fractional cointegration to shed some light on the validity of purchasing power parity as a long-run equilibrium condition, using the Taiwan/US dollar exchange rate. Findings suggest that, while standard tests of cointegration fail to support cointegration between nominal exchange rates, domestic and foreign prices, the fractional cointegration analysis permits deviations from equilibrium to follow a fractionally integrated process and hence captures a much wider class of parity or mean-reversion behaviour. The paper concludes by indicating areas in which fractional cointegration will be a particularly appropriate technique to unearth pre...

  • 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...

  • Fractional_cointegration_low_frequency_dynamics_and_long_run_purchasing_power_parity_mansur.pdf.jpg
  • Journal Article


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

  • A relatively new but generalized concept of fractional cointegration is applied to shed some light on the validity of purchasing power parity (PPP) as a long-run equilibrium condition, by examining the long-run relationship between quarterly consumer price indices and bilateral exchange rates of the Australian dollar and seven major OECD trading partners, over Australia's recent float. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a I(0) process, provides a wide range of cases of parity-reversion with processes that are CI(1,d ) with 0

  • fundamentals_microeconomics_cover.jpg.jpg
  • Book


  • Authors: Hasan, Zubair; Lehar, Habibah (2011)

  • This book is cover numerous topics such as demand and supply, market equilibrium, elasticity, consumer choice theory, cost theory, theory of production and many others including one chapter that deals with environmental issues.

  • item.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Richmond, Peter; Roehner, Bertrand M.; Qing-hai, Wang (2019)

  • In earlier centuries kings and governments employed astrologists to help them take the best decisions. Present-day governments no longer employ astrologists but still have no clear analytical tool to replace them. Over the past two decades we have developed a methodology for the scientific investigation of recurrent historical events. It consists in two steps. (i) Identification and comparison of historical episodes driven by a common mechanism. (ii) Under the reasonable assumption that what has happened several times in the past is likely to happen again, one then derives testable predictions. This of course is nothing other than the protocol used in experimental science when explori...