Master

This paper examines the long run relationship between Vietnam stock market and her ASEAN partners like Malaysia, Singapore, Thailand, Indonesia and the Philippines. The paper uses the weekly data from July 2006 till February 2014 and run through an analyzed using time series techniques in order to test for cointegration of Vietnam stock market with ASEAN members. Eagle-Granger, Johansen-Jeselius (JJ), and Vector Error Correction Model (VECM) methods are used in analyzing data. The results obtained from JJ test find at most one cointegration among ASEAN members ...

This paper investigates the target capital structure adjustment by Malaysia and Singapore, with a view to determine whether they exhibit similar behaviour. Firms may temporarily diverge from their target capital structure but seek to return optimal capital structure when indications of crisis are seen as well as in the aftermath of a crisis. Firms which are not on their optimum capital structure face high detrimental costs for being in such a position ...

Herding behaviour refers to an alignment of thoughts or behaviours of individuals in a group. In the case of capital market, it has been studied by several researchers such as Chang et al. (2000) and (Gavriilidis et al., 2015). Being a multicultural and multiracial country, and one of the main markets for the Islamic capital market, Malaysia provides a conducive landscape for the study of herding behaviour. The main motive for conducting this study is to investigate the presence of herding behaviour in Malaysia's religious holiday period, it's characteristic in reference to all securities and shariah-compliant securities ...

The paper evaluates the role of gold as a hedge and safe haven by using daily data ranging from January 1996 to September 2016 for gold and Shariah-compliant equities of developed and emerging market index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the time of financial downturns. We applied wavelet coherence technique to ascertain the best time-frequency for gold as a hedge and MGARCH-DCC to find out the reaction of gold to unfavorable market conditions ...

The paper aims to study the relationship between selected macroeconomic variables and Malaysia Shariah Index after the adjustment of the screening process. It also attempts to look at how the new screening process impacts the performance of the Shariah index. To achieve these aims, this study used Auto Regressive Distributive Lag (ARDL) to look at the long-run and short-run relationships of the macroeconomic variables towards the FTSE EMAS Shariah Index ...

The purpose of this study was to find whether value premium exists in the context of GCC markets, and if it does, whether idiosyncratic risk explain its presence. The sample consisted of stock indices and company level stock prices from three GCC countries: Oman, Kuwait and Saudi Arabia. The economic model used CAPM and the analyses were divided into 2 parts: the first part involves testing idiosyncratic risk has impact on value premium using GARCH-M and EGARCH-M model. It was found that value premium does exist in Gulf markets with positive significant relationship between value premium and idiosyncratic risk for Oman and Kuwaiti markets ...