Browsing by Topic Conventional finance

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Showing results 218 to 227 of 300
  • 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...

  • possible_impact_of_the_latest_international_standard_Zulkarnain.pdf.jpg
  • Journal Article


  • Authors: Osman, Mohammad Noor Hisham; Abdul Latiff, Ahmed Razman; Mat Daud, Zaidi; Muhamad Sori, Zulkarnain; Turmin, Siti Zaidah (2018)

  • Auditors are required to issue going concern opinion (GC opinion) to companies that are incapable to continue their operations in the near future. It is very important for auditors to issue the GC opinion properly because such opinion is the only signal from them on the viability of a company. Investors need such signal before they can make good investment decisions. In Malaysia however, auditors do not want to issue GC opinion to a very large percentage of financially distressed companies. This motivates this paper to discuss the impact of the latest ISA 570 (2016) on GC opinion issuance rate in this country. Overall, we are in the opinion that there is no strong ground to expect the...

  • 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.

  • preface_development_strategy_ariff.pdf.jpg
  • Chapter in Book


  • Authors: Abdul Kareem, Mohamed Ariff (2012)

  • Malaysia has turned 180 degrees since Independence in 1957, transforming itself into a thriving modern economy and leapfrogging from a low-income to a middle-income trajectory. The country owes its prosperity to its economic openness, with trade as the lifeblood and foreign direct investment (FDI) as the backbone of the economy. The price Malaysia has had to pay for this success os greater vulnerability to external shocks, but it has learned to cope with cyclical ups and downs with remarkable dexterity.

  • 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...

  • price_dynamics_crude_oil_regional_ethylene_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Algahtani, Ibrahim; De Mello, Lurion (2010)

  • This paper is the first attempt to investigate: (i) is the crude oil (WTI) price significantly related to the regional ethylene prices in the Naphtha intensive ethylene markets of the Far East, North West Europe, and the Mediterranean? (ii) What drives the regional ethylene prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between crude oil and ethylene prices. Our findings, based on the long-run structural modelling approach of Pesaran and Shin, and subject to the limitations of the study, tend to suggest: (i) crude oil (WTI) price is cointegrated with the regional ethylene prices (ii) our within sample error-correction model results tend to...

  • price_dynamics_natural_gas_regional_methanol_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Albinali, Khaled; De Mello, Lurion (2010)

  • A ‘methanol economy’ based mainly on natural gas as a feedstock has a lot of potential to cope with the current and ongoing concerns for energy security along with the reduction of CO-2 emissions. It is, therefore, important to examine the price dynamics of methanol in order to ascertain whether the price of methanol is mainly natural-gas-cost driven or demand driven in the context of different regions. This paper is the first attempt to investigate the following: (i) is the natural gas price significantly related to the regional methanol prices in the Far East, United States and Europe? (ii) who drives the regional methanol prices? The paper is motivated by the recent and growing deb...

  • pricing_efficiency_stock_rights_issues_Malaysia_edilabd_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Abd Sukor, Mohd Edil; Bacha, Obiyathulla Ismath (2010)

  • This article undertakes an empirical examination of pure rights issues in Malaysia. Though pricing efficiency is the main focus, we also examine related issues. We study a total of 38 pure rights issues that occurred over the 8-year period January 1998 to December 2005. Using two alternative valuation models, the adjusted Black–Scholes Call Option Model (BSOPM) and the traditional Implied Rights Valuation Model (IRVM), we find the Malaysian market to be inefficient in pricing the rights. Mispricing is quite extensive with a predominance of overpricing. Significantly, both pricing models, despite their different theoretical underpinnings produce similar results. These results are furth...

  • Pricing efficiency of the 3 month KLIBOR futures contracts an empirical analysis.pdf.jpg
  • Journal Article


  • Authors: Abdul Razak, Marina; Bacha, Obiyathulla Ismath (2009-03-09)

  • This study is an empirical investigation of the pricing efficiency of Malaysia’s interest rate futures contract, the 3-month Kuala Lumpur Interbank Offered Rates (KLIBOR) futures contract. This article also examines several issues related to pricing efficiency. The study spans the contract’s entire 10-year history, June 1996 to June 2006. In line with findings in other markets, we find a pre-ponderance of overpricing. Almost 80% of the mispricing constituted overpricing of the futures contract. Mean overpricing was 8 basis points. Our results lend support to the hypothesis that there may be a ‘Futures Habitat Premium’. Underpricing, though less frequent was of a larger magnitude and h...

  • pricing_range_accrual_swap_quantum_finance_libor_market_model_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Xin, Du; Pan, Tang; Yang, Cao (2014)

  • We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is used to study the nonlinear domain of the model and determine the range of validity of the approximate formula. The price of accrual swap is analyzed by generating daily sample values by simulating a two dimension Gaussian quantum field.

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 218 to 227 of 300
  • 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...

  • possible_impact_of_the_latest_international_standard_Zulkarnain.pdf.jpg
  • Journal Article


  • Authors: Osman, Mohammad Noor Hisham; Abdul Latiff, Ahmed Razman; Mat Daud, Zaidi; Muhamad Sori, Zulkarnain; Turmin, Siti Zaidah (2018)

  • Auditors are required to issue going concern opinion (GC opinion) to companies that are incapable to continue their operations in the near future. It is very important for auditors to issue the GC opinion properly because such opinion is the only signal from them on the viability of a company. Investors need such signal before they can make good investment decisions. In Malaysia however, auditors do not want to issue GC opinion to a very large percentage of financially distressed companies. This motivates this paper to discuss the impact of the latest ISA 570 (2016) on GC opinion issuance rate in this country. Overall, we are in the opinion that there is no strong ground to expect the...

  • 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.

  • preface_development_strategy_ariff.pdf.jpg
  • Chapter in Book


  • Authors: Abdul Kareem, Mohamed Ariff (2012)

  • Malaysia has turned 180 degrees since Independence in 1957, transforming itself into a thriving modern economy and leapfrogging from a low-income to a middle-income trajectory. The country owes its prosperity to its economic openness, with trade as the lifeblood and foreign direct investment (FDI) as the backbone of the economy. The price Malaysia has had to pay for this success os greater vulnerability to external shocks, but it has learned to cope with cyclical ups and downs with remarkable dexterity.

  • 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...

  • price_dynamics_crude_oil_regional_ethylene_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Algahtani, Ibrahim; De Mello, Lurion (2010)

  • This paper is the first attempt to investigate: (i) is the crude oil (WTI) price significantly related to the regional ethylene prices in the Naphtha intensive ethylene markets of the Far East, North West Europe, and the Mediterranean? (ii) What drives the regional ethylene prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between crude oil and ethylene prices. Our findings, based on the long-run structural modelling approach of Pesaran and Shin, and subject to the limitations of the study, tend to suggest: (i) crude oil (WTI) price is cointegrated with the regional ethylene prices (ii) our within sample error-correction model results tend to...

  • price_dynamics_natural_gas_regional_methanol_markets_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Albinali, Khaled; De Mello, Lurion (2010)

  • A ‘methanol economy’ based mainly on natural gas as a feedstock has a lot of potential to cope with the current and ongoing concerns for energy security along with the reduction of CO-2 emissions. It is, therefore, important to examine the price dynamics of methanol in order to ascertain whether the price of methanol is mainly natural-gas-cost driven or demand driven in the context of different regions. This paper is the first attempt to investigate the following: (i) is the natural gas price significantly related to the regional methanol prices in the Far East, United States and Europe? (ii) who drives the regional methanol prices? The paper is motivated by the recent and growing deb...

  • pricing_efficiency_stock_rights_issues_Malaysia_edilabd_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Abd Sukor, Mohd Edil; Bacha, Obiyathulla Ismath (2010)

  • This article undertakes an empirical examination of pure rights issues in Malaysia. Though pricing efficiency is the main focus, we also examine related issues. We study a total of 38 pure rights issues that occurred over the 8-year period January 1998 to December 2005. Using two alternative valuation models, the adjusted Black–Scholes Call Option Model (BSOPM) and the traditional Implied Rights Valuation Model (IRVM), we find the Malaysian market to be inefficient in pricing the rights. Mispricing is quite extensive with a predominance of overpricing. Significantly, both pricing models, despite their different theoretical underpinnings produce similar results. These results are furth...

  • Pricing efficiency of the 3 month KLIBOR futures contracts an empirical analysis.pdf.jpg
  • Journal Article


  • Authors: Abdul Razak, Marina; Bacha, Obiyathulla Ismath (2009-03-09)

  • This study is an empirical investigation of the pricing efficiency of Malaysia’s interest rate futures contract, the 3-month Kuala Lumpur Interbank Offered Rates (KLIBOR) futures contract. This article also examines several issues related to pricing efficiency. The study spans the contract’s entire 10-year history, June 1996 to June 2006. In line with findings in other markets, we find a pre-ponderance of overpricing. Almost 80% of the mispricing constituted overpricing of the futures contract. Mean overpricing was 8 basis points. Our results lend support to the hypothesis that there may be a ‘Futures Habitat Premium’. Underpricing, though less frequent was of a larger magnitude and h...

  • pricing_range_accrual_swap_quantum_finance_libor_market_model_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Xin, Du; Pan, Tang; Yang, Cao (2014)

  • We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is used to study the nonlinear domain of the model and determine the range of validity of the approximate formula. The price of accrual swap is analyzed by generating daily sample values by simulating a two dimension Gaussian quantum field.