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 172 to 181 of 265
  • new_evidence_from_an_alternative_methodological_approach_mansur_et_al.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi; Hasan, Mohammad S. (1997)

  • Proposes to re-examine 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 under-fitting 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 Granger-causality between defence spending and economic growth. The results broadly indicate that defence spending and econ...

  • oil_food_prices_malaysia_nonlinear_ardl_analysis_mansor.pdf.jpg
  • 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...

  • oil_price_risk_in_selected_asean_market_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2014)

  • This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear 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...

  • Option_price_and_market_instability_Belal_Miao.pdf.jpg
  • 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 Black-Scholes 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...

  • option_pricing_stock_price_stock_velocity_acceleration_lagrangian_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Xin, Du; Bhanap, Jitendra (2014)

  • The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes 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...

  • option_volatility_acceleration_lagrangian_belal.pdf.jpg
  • 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 Black-Scholes 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...

  • output_employment_generated_Malaysian_manufacturing_sector_input-output_analysis_baharom.pdf.jpg
  • 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 2000-2004. 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...

  • ownership_structures_productivity_Indonesia_Malaysia.pdf.jpg
  • 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 policy-makers. 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...

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 172 to 181 of 265
  • new_evidence_from_an_alternative_methodological_approach_mansur_et_al.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Masih, Rumi; Hasan, Mohammad S. (1997)

  • Proposes to re-examine 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 under-fitting 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 Granger-causality between defence spending and economic growth. The results broadly indicate that defence spending and econ...

  • oil_food_prices_malaysia_nonlinear_ardl_analysis_mansor.pdf.jpg
  • 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...

  • oil_price_risk_in_selected_asean_market_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H. (2014)

  • This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear 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...

  • Option_price_and_market_instability_Belal_Miao.pdf.jpg
  • 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 Black-Scholes 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...

  • option_pricing_stock_price_stock_velocity_acceleration_lagrangian_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Xin, Du; Bhanap, Jitendra (2014)

  • The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes 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...

  • option_volatility_acceleration_lagrangian_belal.pdf.jpg
  • 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 Black-Scholes 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...

  • output_employment_generated_Malaysian_manufacturing_sector_input-output_analysis_baharom.pdf.jpg
  • 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 2000-2004. 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...

  • ownership_structures_productivity_Indonesia_Malaysia.pdf.jpg
  • 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 policy-makers. 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...