INCEIF (Intern. Centre for Edu. in Islamic Finance)
Finance and Accounting
There is a considerable literature relating to a lead-lag relationship between the stock index (spot) and stock index futures markets in developed countries compared to emerging countries. The analysis of this relationship in an emerging... more
There is a considerable literature relating to a lead-lag relationship between the stock index (spot) and stock index futures markets in developed countries compared to emerging countries. The analysis of this relationship in an emerging market based on a different investment horizon is significant for both academic and trading purposes. In this study, we analyze the lead-lag relationship between stock index and stock index futures in Malaysia. We use a new approach based on the Continuous Wavelet Transform (CWT) and the Discrete Wavelet Transform (DWT). The results show variability of the lead-lag relationship across frequency ranges and time scales, and also occasional in-phase behaviour between both markets. The relationships between stock index and stock index futures are shown to evolve over time with non-homogeneous trends across different time scales. Some strong correlations have been found in lead-lag interactions between the markets. The result from this study would provid...
- by Hashim Jusoh and +2
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Highlights . Monetary Policy and the Role of Money in the case of Malaysia . Analysis of UK economy aggregates of Malaysia compared to those of UK taken as benchmark. . Relationship between the quantity of money, interest rate,... more
Highlights . Monetary Policy and the Role of Money in the case of Malaysia . Analysis of UK economy aggregates of Malaysia compared to those of UK taken as benchmark. . Relationship between the quantity of money, interest rate, inflation and exchange rate . Relationship between the quantity of money, index of industrial production and equity indices, . Lead/lag relationship between economy aggregates of Malaysia
The researcher investigates the Impact of inflation, exchange rate and interest rate on Pakistan stock Exchange performance KSE-100 index by using monthly time series data which covers the period of 2013 to 2020. The econometrics... more
The researcher investigates the Impact of inflation, exchange rate and interest rate on Pakistan stock Exchange performance KSE-100 index by using monthly time series data which covers the period of 2013 to 2020. The econometrics techniques which are employed includes ADF test, Ordinary Least squares regression Model, testing for Multi-collinearity, Residual analysis serial correlation, testing for co-integration, Error correction model (ECM), variance decomposition (VAR) and Pair wise granger causality test. The results indicate that there is positive impact of exchange rate on PSX 100 index and the impact of inflation and interest rate is fond negative but inflation have insignificant relationship with PSX 100 index and the other two relationships are found significant. From the ECM result it is found that in short run 20% of the variation in dependent variable is due to inflation, exchange rate and interest rate and 80% variation is unexplained in short run. Form the results of V...
- by Hashim Jusoh
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Entrepreneurs play a vital role in a society.They are always perceived as people with ethically high values and they are promised to achieve a good reward and 'falah' in hereafter provided they understand and apply business... more
Entrepreneurs play a vital role in a society.They are always perceived as people with ethically high values and they are promised to achieve a good reward and 'falah' in hereafter provided they understand and apply business concept from Islamic perspective with sincerity and honesty. Being an entrepreneur means being a man who successfully performs zakat obligation. This study concentrates on the level of awareness towards business zakat among 168 entrepreneurs in the state of Terengganu, Malaysia. The findings of this study discusses about, among others, resources on entrepreneurs information about zakat, entrepreneurs' awareness towards obligations of zakat, zakat as a part of Islamic commandments, 'nisab' for business zakat, zakat rate, and entrepreneurs' knowledge on zakat.
- by Hashim Jusoh
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Introduction The financial crisis occurs when the value of asset of financial institutions drops rapidly. It is much related with the investor behaviour. The panic situations led the investors to sell off their assets and withdraw their... more
Introduction The financial crisis occurs when the value of asset of financial institutions drops rapidly. It is much related with the investor behaviour. The panic situations led the investors to sell off their assets and withdraw their money from their bank accounts. This is due to the assumptions that the value of those assets will continuously drop if they remain at the financial institution. If the phenomenon happens continuously, then it will cause the economy to go into a recession or depression. However, the panic situation is normally due to certain core issues that potentially affect the economy such as what happened during the financial crisis of 1998. It started when the announcement of the Thai Baht which would be allowed to float, effectively devaluing the Baht by 20% (Bhagwan Chowdhry, 2000). Another crisis is the global financial crisis in 2007-2008 with the debt issues of subprime mortgage crisis in the United States where it was later spread to the rest of the world...
- by Hashim Jusoh
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We analyze the relationship between Bitcoin and major regional Islamic stock indices during two major events: COVID-19 and the Russia-Ukraine war. The multi-horizon analysis provide evidence of low correlation between Bitcoin’s... more
We analyze the relationship between Bitcoin and major regional Islamic stock indices during two major events: COVID-19 and the Russia-Ukraine war. The multi-horizon analysis provide evidence of low correlation between Bitcoin’s inter-temporal returns and Islamic indices returns during periods before extreme events. However, there is limited potential for diversification in the long run as their correlations increase significantly. During shocks, Bitcoin cannot be a safe haven for Islamic markets.
Purpose: The current study hypotheses that the antecedent factors (knowledge, skills and abilities, change attitude, and training) would influence budget preparers’ awareness of accrual-based budgeting in the Malaysian public sector.... more
Purpose: The current study hypotheses that the antecedent factors (knowledge, skills and abilities, change attitude, and training) would influence budget preparers’ awareness of accrual-based budgeting in the Malaysian public sector. Design/Methodology/Approach: This study employed a questionnaire survey to investigate three variables, namely knowledge, skills and abilities, change attitude, and training in predicting the accrual-based budgeting awareness among budget preparers in the Malaysian government sector. Before data collection, the questionnaire survey was validated by conducting expert reviews before examining 42 pilot data through exploratory factor analysis (EFA). Subsequently, multiple regression analysis was performed on 174 collected responses. Findings: The findings revealed that the three variables significantly influence budget preparers’ awareness of accrual-based budgeting in the Malaysian public sector. Specifically, fundamental knowledge is essential to assist ...
This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used... more
This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used as a case study. Using dynamic heterogeneous panel techniques, it is found that RSS brings long-term positive influence on the stocks. However, panel Granger causality analysis implied that it is indeed stock return which causes RSS, not the other way around. Henceforth, our findings tend to suggest to the policy makers, to revisit the permissibility of RSS in the Malaysian Islamic capital market (ICM). Moving forward, instead of having restricted short selling, a vibrant Islamic capital market should
promote risk sharing instruments coupled with strengthened information dissemination.
promote risk sharing instruments coupled with strengthened information dissemination.
- by Putri Swastika and +2
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- Behavioral Finance
A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations... more
A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their directions (positive or negative) and size (stronger or weaker) is of crucial importance for both the domestic and international investors with a view to diversifying their portfolios for hedging against unforeseen risks.
- by Mansur Masih and +2
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- Borsa İstanbul
JEL classification: C22 C58 E44 G15 Keywords: Islamic finance Shock transmission Financial crisis Contagion Wavelet analysis A B S T R A C T
We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited... more
We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary methodology, as much as 47% of the observed positive fund alpha is statistically attributable to luck. Thus, at 5% significance level, we find only 1.95% of our funds to be genuinely skilled. Our findings raise questions regarding the equitability of these funds levying fixed fees, making a case for potential innovation in fund remuneration structure.
- by Mansur Masih and +3
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Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of... more
Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to stock prices that dominates trading volume effects. We also observe asymmetric changes in the impact of trading volume between bull and bear price momentum phases and after large trading volume shocks. These results suggest that, in future, studies on trading volume should control for the cross-correlation impact from derivative prices and the differential impact of trading phases. D 2004 Elsevier Inc. All rights reserved. JEL classification: G15; C52
- by Allan Hodgson and +1
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- Law, Stock Market, Financial Analysis, Derivative Pricing
Keywords: Price dynamics of methanol and natural gas Time-series modelling a b s t r a c t A 'methanol economy' based mainly on natural gas as a feedstock has a lot of potential to cope with the current and ongoing concerns for energy... more
Keywords: Price dynamics of methanol and natural gas Time-series modelling a b s t r a c t A 'methanol economy' based mainly on natural gas as a feedstock has a lot of potential to cope with the current and ongoing concerns for energy security along with the reduction of CO-2 emissions. It is, therefore, important to examine the price dynamics of methanol in order to ascertain whether the price of methanol is mainly natural-gas-cost driven or demand driven in the context of different regions. This paper is the first attempt to investigate the following: (i) is the natural gas price significantly related to the regional methanol prices in the Far East, United States and Europe? (ii) who drives the regional methanol prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between natural gas and methanol prices. Our findings, based on the most recently developed 'long-run structural modelling' and subject to the limitations of the study, tend to suggest: (i) natural gas price is cointegrated with the regional methanol prices, (ii) our within-sample error-correction model results tend to indicate that natural gas was driving the methanol prices in Europe and the United States but not in the Far East. These results are consistent, during most of the period under review (1998.5-2007.3), with the surge in demand for methanol throughout the Far East, particularly in China, Taiwan and South Korea, which appears to have played a relatively more dominant role in the Far East compared to that in Europe and the United States within the framework of the dynamic interactions of input and product prices. However, during the post-sample forecast period as evidenced in our variance decompositions analysis, the emergence of natural gas as the main driver of methanol prices in all three continents is consistent with the recent surge in natural gas price fueled mainly, among others, by the strong hedging activities in the natural gas futures/options as well as refining tightness (similar to those that were happening in the crude oil markets).
- by Lurion De Mello and +1
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- Renewable Energy
Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of... more
Recent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to stock prices that dominates trading volume effects. We also observe asymmetric changes in the impact of trading volume between bull and bear price momentum phases and after large trading volume shocks. These results suggest that, in future, studies on trading volume should control for the cross-correlation impact from derivative prices and the differential impact of trading phases. D 2004 Elsevier Inc. All rights reserved. JEL classification: G15; C52
- by Rumi Masih and +2
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- Law, Stock Market, Financial Analysis, Derivative Pricing
Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic... more
Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre-and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.
- by Rumi Masih and +1
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- Time Series, Stock Market, Dynamic Analysis, Cointegration