Browsing by Topic Conventional finance

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Showing results 182 to 191 of 265
  • path_integral_derivation_u1_kac–moody_characters_weyl–kac_denominator_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E. (1992)

  • The U(1) Kac-Moody character functions are derived from a path integral expression. It is shown that point-split regularization of the Virasoro generator also exactly regularizes the path integral. An exact derivation of the Weyl-Kac denominator is then given for an arbitrary Lie group using the semiclassical approximation and the results of the U(1) calculation.

  • path_integral_equities_dynamic_correlation_empirical_analysis_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Yang, Cao; Ada, Lau; Pan, Tang (2012)

  • This paper develops a model to describe the unequal time correlation between rate of returns of different stocks. A non-trivial fourth order derivative Lagrangian is defined to provide an unequal time propagator, which can be fitted to the market data. A calibration algorithm is designed to find the empirical parameters for this model and different denoising methods are used to capture the signals concealed in the rate of return. The detailed results of this Gaussian model show that the different stocks can have strong correlation and the empirical unequal time correlator can be described by the model's propagator. This preliminary study provides a novel model for the correlator of di...

  • Path integrals and Hamiltonians.pdf.jpg
  • Book


  • Authors: Baaquie, Belal E. (2014)

  • Providing a pedagogical introduction to the essential principles of path integrals and Hamiltonians, this book describes cutting-edge quantum mathematical techniques applicable to a vast range of fields, from quantum mechanics, solid state physics, statistical mechanics, quantum field theory, and superstring theory to financial modeling, polymers, biology, chemistry, and quantum finance. Eschewing use of the Schrodinger equation, the powerful and flexible combination of Hamiltonian operators and path integrals is used to study a range of different quantum and classical random systems, succinctly demonstrating the interplay between a system's path integral, state space, and Hamiltonian...

  • perception of auditors independence.pdf.jpg
  • Chapter in Book


  • Authors: Muhammad Sori, Zulkarnain; Karbhari, Yusuf; Turmin, Siti Zaidah (2015)

  • The objective of this chapter is to examine the effects of the joint provision of audit and non-audit services on perceived auditor independence from the perspective of senior managers of audit firms, loan officers and public listed companies in Malaysia. The effect of join provision of audit and non-audit services might be different when auditor perform the services based on their available resources.

  • performance_and_trading_characteristics_of_exchange_traded_funds_aftab_obiyathulla_mansur.pdf.jpg
  • Journal Article


  • Authors: Khan, Aftab Parvez; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • Exchange Traded Funds (ETFs) are one of the most successful financial innovations of the last decades. The main focus of this study is to examine the risk adjusted performance, tracking error and trading characteristics of emerging and developed markets ETF. 43 passively managed equity ETFs have been chosen to cover both markets. The results indicate that the emerging markets are less efficient in terms of index replication and possess higher tracking error compared to the developed market ETF. Conversely, emerging markets provide better risk adjusted performance. Last but not least, it is also found that assets size has positive impacts towards ETFs performance and in contrast, the e...

  • performance_evaluation_agricultural_sub_sectors_capital_productivity_perspective_kazem.pdf.jpg
  • Journal Article


  • Authors: Habibollah, Salami; Shabani, Zohreh; Sadr, Seyed Kazem (2009)

  • In the present study, the productivity of capital input in different agricultural subsectors is assessed for the period 1976-2007 and the performances compared accordingly. In addition, the performances are compared in the context of various five year economic, social and cultural development plans based on the rate of growth of capital input during the implementation of the different plans. Results indicate that fisheries, and forestry sub-sectors have undergone a declining trend in the productivity of capital input, while field cropping, horticulture, and animal husbandry sub-sectors have experienced increasing trend in the productivity of capital input during the study period. Amon...

  • permanent_transitory_oil_volatility_aggregate_investment_malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Ali Ahmed, Huson Joher (2014)

  • This paper investigates the relation between aggregate investment and oil volatility and its permanent and transitory components for a developing country, Malaysia. In the paper, the components generalized autoregressive conditional heteroskedasticity (CGARCH) model is utilized to decompose conditional oil volatility into permanent oil volatility and transitory oil volatility. Respectively reflecting fundamental-driven and random shifts in oil volatility, they are expected to exert differential effects on aggregate investment. Adopting a vector autoregression (VAR) framework to allow feedback effects between aggregate investment and its determinants, the paper documents evidence suppo...

  • political_patronage_firm performance_further_evidence_from_malaysia_shamser.pdf.jpg
  • Journal Article


  • Authors: Hassan, Taufiq; Hassan, M. Kabir; Ramadili Mohd, Shamsher Mohamad; Chen, Chaw Min (2012)

  • This paper investigates the characteristics, performance, and share price reaction of politically connected firms versus a control sample of independent firms in Malaysia. Politically connected firms had higher level of leverage, lower profitability, and lower sales to profitability, and paid lower taxes and lower dividends compared to independent firms. Their share prices increase with the announcement of favorable political events. In terms of performance, the active rent-seeking activities in return for preferential treatment produce comparable performance to independent firms during an economic upturn. However, their performance deteriorates more than independent firms during an e...

  • 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...

  • 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.

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 182 to 191 of 265
  • path_integral_derivation_u1_kac–moody_characters_weyl–kac_denominator_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E. (1992)

  • The U(1) Kac-Moody character functions are derived from a path integral expression. It is shown that point-split regularization of the Virasoro generator also exactly regularizes the path integral. An exact derivation of the Weyl-Kac denominator is then given for an arbitrary Lie group using the semiclassical approximation and the results of the U(1) calculation.

  • path_integral_equities_dynamic_correlation_empirical_analysis_belal.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Yang, Cao; Ada, Lau; Pan, Tang (2012)

  • This paper develops a model to describe the unequal time correlation between rate of returns of different stocks. A non-trivial fourth order derivative Lagrangian is defined to provide an unequal time propagator, which can be fitted to the market data. A calibration algorithm is designed to find the empirical parameters for this model and different denoising methods are used to capture the signals concealed in the rate of return. The detailed results of this Gaussian model show that the different stocks can have strong correlation and the empirical unequal time correlator can be described by the model's propagator. This preliminary study provides a novel model for the correlator of di...

  • Path integrals and Hamiltonians.pdf.jpg
  • Book


  • Authors: Baaquie, Belal E. (2014)

  • Providing a pedagogical introduction to the essential principles of path integrals and Hamiltonians, this book describes cutting-edge quantum mathematical techniques applicable to a vast range of fields, from quantum mechanics, solid state physics, statistical mechanics, quantum field theory, and superstring theory to financial modeling, polymers, biology, chemistry, and quantum finance. Eschewing use of the Schrodinger equation, the powerful and flexible combination of Hamiltonian operators and path integrals is used to study a range of different quantum and classical random systems, succinctly demonstrating the interplay between a system's path integral, state space, and Hamiltonian...

  • perception of auditors independence.pdf.jpg
  • Chapter in Book


  • Authors: Muhammad Sori, Zulkarnain; Karbhari, Yusuf; Turmin, Siti Zaidah (2015)

  • The objective of this chapter is to examine the effects of the joint provision of audit and non-audit services on perceived auditor independence from the perspective of senior managers of audit firms, loan officers and public listed companies in Malaysia. The effect of join provision of audit and non-audit services might be different when auditor perform the services based on their available resources.

  • performance_and_trading_characteristics_of_exchange_traded_funds_aftab_obiyathulla_mansur.pdf.jpg
  • Journal Article


  • Authors: Khan, Aftab Parvez; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2015)

  • Exchange Traded Funds (ETFs) are one of the most successful financial innovations of the last decades. The main focus of this study is to examine the risk adjusted performance, tracking error and trading characteristics of emerging and developed markets ETF. 43 passively managed equity ETFs have been chosen to cover both markets. The results indicate that the emerging markets are less efficient in terms of index replication and possess higher tracking error compared to the developed market ETF. Conversely, emerging markets provide better risk adjusted performance. Last but not least, it is also found that assets size has positive impacts towards ETFs performance and in contrast, the e...

  • performance_evaluation_agricultural_sub_sectors_capital_productivity_perspective_kazem.pdf.jpg
  • Journal Article


  • Authors: Habibollah, Salami; Shabani, Zohreh; Sadr, Seyed Kazem (2009)

  • In the present study, the productivity of capital input in different agricultural subsectors is assessed for the period 1976-2007 and the performances compared accordingly. In addition, the performances are compared in the context of various five year economic, social and cultural development plans based on the rate of growth of capital input during the implementation of the different plans. Results indicate that fisheries, and forestry sub-sectors have undergone a declining trend in the productivity of capital input, while field cropping, horticulture, and animal husbandry sub-sectors have experienced increasing trend in the productivity of capital input during the study period. Amon...

  • permanent_transitory_oil_volatility_aggregate_investment_malaysia_mansor.pdf.jpg
  • Journal Article


  • Authors: Ibrahim, Mansor H.; Ali Ahmed, Huson Joher (2014)

  • This paper investigates the relation between aggregate investment and oil volatility and its permanent and transitory components for a developing country, Malaysia. In the paper, the components generalized autoregressive conditional heteroskedasticity (CGARCH) model is utilized to decompose conditional oil volatility into permanent oil volatility and transitory oil volatility. Respectively reflecting fundamental-driven and random shifts in oil volatility, they are expected to exert differential effects on aggregate investment. Adopting a vector autoregression (VAR) framework to allow feedback effects between aggregate investment and its determinants, the paper documents evidence suppo...

  • political_patronage_firm performance_further_evidence_from_malaysia_shamser.pdf.jpg
  • Journal Article


  • Authors: Hassan, Taufiq; Hassan, M. Kabir; Ramadili Mohd, Shamsher Mohamad; Chen, Chaw Min (2012)

  • This paper investigates the characteristics, performance, and share price reaction of politically connected firms versus a control sample of independent firms in Malaysia. Politically connected firms had higher level of leverage, lower profitability, and lower sales to profitability, and paid lower taxes and lower dividends compared to independent firms. Their share prices increase with the announcement of favorable political events. In terms of performance, the active rent-seeking activities in return for preferential treatment produce comparable performance to independent firms during an economic upturn. However, their performance deteriorates more than independent firms during an e...

  • 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...

  • 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.