 Journal Article
Authors: Mohammed Masih, Abul Mansur; Masih, Rumi; Hasan, Mohammad S. (1997)  Proposes to reexamine empirically the causal relationship between defence spending and economic growth in mainland China. First, using a VAR modelling technique with suitable diagnostics, e.g. Akaike's FPE statistics and a likelihood ratio test for over and underfitting the causal model, the results indicate a positive unidirectional causality flowing from defence spending to economic growth. Second, by evaluating a dynamic vector error correction model, variance decomposition and impulse response functions, then analyses the direction, duration and strength of Grangercausality between defence spending and economic growth. The results broadly indicate that defence spending and econ...

 Journal Article
Authors: Ibrahim, Mansor H. (2015)  The present paper analyses the relations between food and oil prices for Malaysia using a nonlinear autoregressive distributed lags (NARDL) model. The bounds test of the NARDL specification suggests the presence of cointegration among the variables, which include the food price, oil price and real GDP. The estimated NARDL model affirms the presence of asymmetries in the food price behavior. Namely, in the long run, we find a significant relation between oil price increases and food price. Meanwhile, the long run relation between oil price reduction and the food price is absent. Furthermore, in the short run, only changes in the positive oil price exert significant influences on the fo...

 Keynote & Speech
Authors: Ibrahim, Mansor H. (2017)  The slides highlight: 1) the GCC and recent studies; 2) oilmacrofinancial linkages; 4) modellling and preliminary results.

 Journal Article
Authors: Ibrahim, Mansor H. (2014)  This paper analyzes the oil price risk in four ASEAN markets using a twofactor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative nonlinear measures of oil prices are used and robustness check of basic results is also performed. The results suggest a direct relation between oil price changes and stock market returns and indicate no evidence for asymmetric oil price risk for Indonesia. Meanwhile, the asymmetric oil price risk seems apparent for the markets of Malaysia, Singapore and Thailand. For an oil exporting Malaysia, the oil price decline tends to compromise its market performance while the oil price increase does not seem to be b...

 Journal Article
Authors: Mohammed Masih, Abul Mansur; Masih, Rumi (1997)  Departing from previous studies on the causal relationship between energy consumption and economic growth, this paper illustrates how the finding of cointegration (i.e., longterm equilibrium relationship) between these variables, may be used in testing Granger causality. Based on the most recent Johansen's multiple cointegration tests preceded by various unit root or nonstationarity tests, we test for cointegration between total energy consumption, real income, and price level of two highly energy dependent EastAsian NICs: Korea and Taiwan. Nonrejection of cointegration between variables rules out Granger noncausality and implies at least one way of Granger causality, either unidirec...

 Journal Article
Authors: Baaquie, Belal E.; Miao, Yu (2017)  An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters; unlike the BlackScholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007 & 2008. We make a hypoth...

 Journal Article
Authors: Baaquie, Belal E.; Xin, Du; Bhanap, Jitendra (2014)  The industry standard BlackScholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The BlackScholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries par...

 Journal Article
Authors: Baaquie, Belal E.; Yang, Cao (2014)  This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The BlackScholes model is a simpler case that has a velocity dependent Lagrangian. The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is app...

 Journal Article
Authors: Hassan, Mohd Khairul Hisyam; Abdul Hamid, Baharom; Abd Azis, Khairunnisa (2010)  This study was conducted to examine the effects of export changes on the output and employment in the manufacturing sector. Specifically, this study aimed to (1) measure the level of output generated due to changes in export to ASEAN 4;(2) estimate the level of employment generated due to changes in export to ASEAN 4.(3) analyze which country among ASEAN 4, namely Indonesia, Philippines, Thailand and Singapore is the most important destination of Malaysian manufacturing exports.The period of study covers the time period 20002004. We employed the Input Output (IO) method since structural analysis deals with economic systems as defined by the set of industries and the relationships bet...

 Journal Article
Authors: Sukmadilaga, Citra; Ramadili Mohd, Shamsher Mohamad; Hassan, Taufiq (2017)  The relationship between ownership structures and company performance has been issue of interest among academics, investors and policymakers. So far, there are still inconclusive findings that family and state ownership giving positive or negative impact on firm performance. This study employed technical efficiency and Malmquist productivity index to measure firm performance. Period of this study will be conduct from 1992 to 2007. Result of this study revealed that Technical efficiency study in Indonesia showed that state owned enterprises (SOEs) had better performance than family owned enterprises (FOEs) since SOEs' performance increased more stably during research period. Meanwhile...
