Browsing by Topic Conventional finance

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Showing results 154 to 163 of 270
  • lending_structure_3-factor_capm_risk_exposures_case_malaysia_aisyah_mansor_kameel.pdf.jpg
  • Journal Article


  • Authors: A. Rahman, Aisyah; Ibrahim, Mansor H.; Mydin Meera, Ahamed Kameel (2010)

  • This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market ...

  • the_less_developed_states_converging_richer_state_malaysia_baharom et al.pdf.jpg
  • Journal Article


  • Authors: Habibullah, Muzafar Shah; Din, Badariah H.; Sanusi, Nur Azura; Abdul Hamid, Baharom (2018)

  • The present paper addresses the question whether the less developed states, namely; Kedah, Kelantan, Pahang, Perlis, Sabah, Sarawak and Terengganu are converging with the richer state of Selangor, using unit root test and cointegration approach to test for income convergence for the period 1970-2013. We tested convergence on per capita real GDP for the states involved and the results suggest that the less developed states have been converging to the state of Selangor for the period under study. We also identify two convergence clubs among the states. In this respect, the state government has an important role to play in enhancing growth by continuously providing stable economic enviro...

  • 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.

  • linearized_Hamiltonian_LIBOR_market_model_pang_belal.pdf.jpg
  • Journal Article


  • Authors: Pan, Tang; Baaquie, Belal E.; Xin, Du; Ying, Zhang (2015)

  • The linearized Hamiltonian model is proposed to extend the London Interbank Offered Rate (LIBOR) Market Model (LMM). Firstly, we studied the Hamiltonian of LMM in the framework of quantum finance, and the nontrivial upper triangle form of LIBOR drift is derived. The linearized Hamiltonian is derived to improve the explanatory capability of the model for market data. Our approach uses one more parameter to explain the initial condition and the model can be used to calibrate LIBORs with extremely high accuracy. Furthermore, the market time index is required for applying the model to multi-LIBOR, and the results imply that the LIBOR future time lattice becomes shorter as one goes from ne...

  • 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
  • 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_distance_behavior_four-dimensional_nonlinear_SIGMA_model_anomaly_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Rajeev, S.G. (1993)

  • We study the low energy behavior of the four-dimensional nonlinear sigma model with anomaly using the 2+ expansion and renormalization group methods. It is shown that the theory has a non-trivial ir stable fixed point, in addition to the usual trivial fixed point. If pions happen to exist in the non-trivial phase, their propagator would scale at low energies with anomalous exponents.

  • 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 ...

  • item.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1996)

  • The main purpose of this paper is to discern the dynamic causal chain (in the Granger (temporal) sense rather than in the structural sense) among real output, money, interest rate, inflation and the exchange rate in the context of a small Asian developing economy, such as Indonesia. The methodology employed uses various unit root tests and Johansen's cointegration test followed by vector error-correction modelling, variance decompositions, and impulse response functions in order to capture both the within-sample and out-of-sample Granger causal chain among macroeconomic activity. Given the inward-oriented growth strategy of this small developing economy, where the real output was vuln...

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 154 to 163 of 270
  • lending_structure_3-factor_capm_risk_exposures_case_malaysia_aisyah_mansor_kameel.pdf.jpg
  • Journal Article


  • Authors: A. Rahman, Aisyah; Ibrahim, Mansor H.; Mydin Meera, Ahamed Kameel (2010)

  • This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market ...

  • the_less_developed_states_converging_richer_state_malaysia_baharom et al.pdf.jpg
  • Journal Article


  • Authors: Habibullah, Muzafar Shah; Din, Badariah H.; Sanusi, Nur Azura; Abdul Hamid, Baharom (2018)

  • The present paper addresses the question whether the less developed states, namely; Kedah, Kelantan, Pahang, Perlis, Sabah, Sarawak and Terengganu are converging with the richer state of Selangor, using unit root test and cointegration approach to test for income convergence for the period 1970-2013. We tested convergence on per capita real GDP for the states involved and the results suggest that the less developed states have been converging to the state of Selangor for the period under study. We also identify two convergence clubs among the states. In this respect, the state government has an important role to play in enhancing growth by continuously providing stable economic enviro...

  • 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.

  • linearized_Hamiltonian_LIBOR_market_model_pang_belal.pdf.jpg
  • Journal Article


  • Authors: Pan, Tang; Baaquie, Belal E.; Xin, Du; Ying, Zhang (2015)

  • The linearized Hamiltonian model is proposed to extend the London Interbank Offered Rate (LIBOR) Market Model (LMM). Firstly, we studied the Hamiltonian of LMM in the framework of quantum finance, and the nontrivial upper triangle form of LIBOR drift is derived. The linearized Hamiltonian is derived to improve the explanatory capability of the model for market data. Our approach uses one more parameter to explain the initial condition and the model can be used to calibrate LIBORs with extremely high accuracy. Furthermore, the market time index is required for applying the model to multi-LIBOR, and the results imply that the LIBOR future time lattice becomes shorter as one goes from ne...

  • 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
  • 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_distance_behavior_four-dimensional_nonlinear_SIGMA_model_anomaly_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Rajeev, S.G. (1993)

  • We study the low energy behavior of the four-dimensional nonlinear sigma model with anomaly using the 2+ expansion and renormalization group methods. It is shown that the theory has a non-trivial ir stable fixed point, in addition to the usual trivial fixed point. If pions happen to exist in the non-trivial phase, their propagator would scale at low energies with anomalous exponents.

  • 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 ...

  • item.jpg
  • Journal Article


  • Authors: Masih, Rumi; Mohammed Masih, Abul Mansur (1996)

  • The main purpose of this paper is to discern the dynamic causal chain (in the Granger (temporal) sense rather than in the structural sense) among real output, money, interest rate, inflation and the exchange rate in the context of a small Asian developing economy, such as Indonesia. The methodology employed uses various unit root tests and Johansen's cointegration test followed by vector error-correction modelling, variance decompositions, and impulse response functions in order to capture both the within-sample and out-of-sample Granger causal chain among macroeconomic activity. Given the inward-oriented growth strategy of this small developing economy, where the real output was vuln...