The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malays... more The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malaysia using the daily data from 4 th January 1999 to 29 th December 2006. Employing the framework due to the study finds that the day of the week effect is present in Malaysian stock market. Specifically, the results show significant negative and significant positive for Monday and Tuesday, respectively. The Tuesday significant positive effect is possibly due to active buying on Monday because of the drop in price. However, the results of the Tuesday returns contradict almost all of the previous findings. The results indicate that information processed over weekends has affected the return of Kuala Lumpur Composite Index not only during the opening on Monday but also the following days. Thus, we suggest that information will decay only after a few days. The other possible explanation is that by using a more robust estimation on the turbulent sample period data do produce different results from the previous study. We also divide the full sample into two sub samples, we find no evident of the day of the week effect for both four years rolling samples . The results of the whole sample seem to be consistent with the previous findings particularly on the Monday returns.
Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear depe... more Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns ... Wan Mansor Wan Mahmood* Universiti Teknologi MARA Terengganu 23000 Dungun, Terengganu, ...
The different between investments in Shariah compliant stocks and conventional stock is that, whi... more The different between investments in Shariah compliant stocks and conventional stock is that, while the former is based on the capital market set of rules and law, the latter follows not only the capital market set of laws and but also the Islamic principles of transactions. Most of the previous studies examine issues related to the conventional stocks and market. the study finds that the day of the week effect is presence only in Malaysian Shariah market of KLSI and not for FBM Emas Shariah and FBM Hijrah Shariah. Specifically, the result show that there is significant negative Monday return and positive Friday returns in the Kuala Lumpur Shariah Index. The result suggests that the market is not purely efficient, a findings similar to those of conventional stock market in many countries
The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange a... more The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange and the financial index is modeled using a GARCH model with the number of volume traded as a regressor in the conditional variance equation. The empirical finding is consistent with the notion that information is a long lived process. The finding also suggests the possibility of other variables besides trading volume which can explain current volatility for banks with thin trading volume.
The study examines the relationship among Malaysian's market stock return, dividend yields and pr... more The study examines the relationship among Malaysian's market stock return, dividend yields and price earnings rat o. Specifically, it examines the existence of long-run and short-run relationship and also their predictive power (causality) between and among market stock return, dividend yie ds and price earnings. Using the monthly data from 1989-2005, the study finds that all these fundamental variables have a strong long run relationship. As for the short run relationship, the results show significant positive predictive power from dividend yield to stock return and significant negative relation from stock returns to price earning ratios. In addition, applying multivariate causality test, the results show that both dividend yields and price earning ratio Granger cause (predict) the stock return. Similar results are found from stock returns and P/E ratio to dividend yield, as well as from dividend yie d and stock returns to P/E rat on but with lesser magnitude. Thus, fundamental variables are an important source of nformation in determ n ng stock market returns and useful to investors and other marke participants in deciding their investment strategies.
The study provides evidence of the nature of the volatility transmission for daily currency futur... more The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission from the IMM to the SIMEX for both currency futures contracts but failed to find the reverse. This result suggests that currency futures market with larger trading volume i.e. IMM are influencing the direction of transmission of smaller currency futures market i.e. SIMEX JEL classification: G13, G14
This paper examines relationships among different currencies in two different regimes, ie, floati... more This paper examines relationships among different currencies in two different regimes, ie, floating and pegging (fixed) regimes. Daily rates for five foreign exchange rates (Great Britain Pound, Singapore Dollar, Japanese Yen, Chinese yuan, Germany Deutsche mark) for the ...
This paper discusses some of the issues related to the construction and interpretation of stock p... more This paper discusses some of the issues related to the construction and interpretation of stock price indices most widely used in the Kuala Lumpur Stock Exchange: the Composite index, the EMAS index, the Second Board index and the Industrial index. Each of the indices represents a benchmark portfolio for a different segment of the stock market. The study also compares the movements of the indices over the period between 1995 through 2000. The results show that the indices are highly integrated in all cases. There is no obvious indication of large size market capitalisation of indices particularly the Composite index leads other indices. The results suggest each index contain similar information content regardless of their size.
Abstrak : This study attempts to investigate the students' understanding of reading in English by... more Abstrak : This study attempts to investigate the students' understanding of reading in English by analyzing the students' project work. The objectives are to know the skills in note making the students used to assist in their understanding of reading text and how the note making help them in writing a summary. This study also looks at how the students' proficiency in English help them in understanding their reading material. Data were taken from the project work made by the students. The project work requires the students to read a piece of reading material, make notes on the reading material and write a summary of the reading material based on the note making that they have made. The students who did the project works were from the TESL and Civil in Education course in Faculty of Education in UTM. The findings show that most of the students employ some type of skills in note making. These skills are; using linear and non-linear form of note making, clear organization of idea, using simple words in the note making and also sufficient content. In addition, the students' proficiency in English also plays a role in understanding English. This study aims to help the students in their reading of English as a Second language by providing the skills that are useful in note making that can assist in understanding reading in English. It is also hoped that teachers of English as a Second language will benefit from the study where they can use the skills provided in their language learning classroom.
Abstract: In this paper, the relationship between returns and trading volume is examined for four... more Abstract: In this paper, the relationship between returns and trading volume is examined for four futures contracts for the period January 1, 1986 to April 30, 1997. Both linear and nonlinear dependence are examined. The study first employs linear causality tests and find that futures returns ...
Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear depe... more Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns ... Wan Mansor Wan Mahmood* Universiti Teknologi MARA Terengganu 23000 Dungun, Terengganu, ...
... NO AR247 0 SIRIM 074 Samb. 1203,1205,1206 Faxs : 840023 4 y Surat Kami Tarikh 100-CT (AKA/9/1... more ... NO AR247 0 SIRIM 074 Samb. 1203,1205,1206 Faxs : 840023 4 y Surat Kami Tarikh 100-CT (AKA/9/10/9) 28 Oktober 2002 ... 6. Kertaskerj a bole h dibentangka n dala m semina r setela h 75 % dera f awa l laporan akhi r penyelidika n dihanta rke Bir o untu k semakan . Wala u ...
What's wrong with companies listed in the MESDAQ market as more and more is leaving for more esta... more What's wrong with companies listed in the MESDAQ market as more and more is leaving for more established counter of the main board of Bursa Malaysia. There is the general perception that companies listed in the MESDAQ Market lack in quality -low prices. This study looks at the problem of MESDAQ by analyzing various criteria such as stock returns and the number of press release by the SC in relation with the civil suit cases due to financial fraud of the companies listed under the MESDAQ Market. The results show that the return for MESDAQ Market index is lower than that of the Main Board index. The results also show more companies in the MESDAQ Market fail do not follow the rules and procedures of the Security Commission.
This paper measures property companies' performance under new economic performance metric known a... more This paper measures property companies' performance under new economic performance metric known as Economic Value Added (EVA) and identifies which companies perform better. The EVA of 27 Malaysia property companies are computed and analysed during the periods of 1997 through 2006. The EVA is an economic performance metric proposed by Stern Stewart Management Services. It claims to have successfully eliminated financial and accounting distortions and provides a true measure of a company's success in driving shareholder value. Overall, the result of the present study shows that most property companies in Malaysia fail to generate enough income to cover their cost of capital, and thus indicating failure in creating corporate wealth. In order to have positive EVA in the future, the actions and decisions of managers should focus on investing more on capital in the high return projects.
Participation In An Online Forum: A …, Jan 1, 2010
Virtual world or environment such as Online Forum is one of the predominantly textbase asynchrono... more Virtual world or environment such as Online Forum is one of the predominantly textbase asynchronous Computer Mediated Communication (CMC) tools. Since early 1990s, Online Forum has generated much interest among second language researchers. However, to date, not many studies have focused on Online Forum as a platform for language learning. For the purpose of this study, in UTM, a fully-fledged virtual forum called MyLine, was chosen and analyzed to benefit students in their language learning and communication skills. This study began investigating on the nature of interaction among students in online forum, the factors that influences students' participation and language use within the electronic medium and finally on the reasons for their participation. Data were gathered through online observation and questionnaire. Content analysis was also done on the messages posted. Through the data collection, it was found that there are some patterns of interaction between the students. Besides that, there are a few factors that influenced students' participation such as accessibility of Internet, speed of access and their computer skills. There are a few patterns of language used in online forum which influence the students' language use. In particular, most of the students participated in online forum because i) the topics discussed are interesting, ii) coursework mark given by lecturer and iii) online forum motivate them to communicate by improving their language. Thus, MyLine forum is an affective medium to provide equal opportunity to second language learners with different levels of proficiency to participate without hesitant.
This study tests the determinants of capital structure for the firms listed in the Bursa Malaysia... more This study tests the determinants of capital structure for the firms listed in the Bursa Malaysia Securities Berhad (BMSB) market during the six year period from 2000 to 2005. The data derive from financial statements of 17 companies with numbers of observations totaling 102. We use dependent variable of debt ratio and is expressed by total debt divided by total assets while the independent variables are size, growth, liquidity and interest coverage ratio. Applying pooled OLS estimations, the result shows that the size, liquidity and interest coverage ratio is significantly negatively related to total debt. However, the study finds insignificant negative relation between capital structure and growth of the firm, expressed by the annual changes of earnings. Finally, the results of dummy variable show that there is significant different in capital structure among those firms that adopt more debt (more than 30 per cent of their total assets) and those who employ less leverage financing.
In this study, we examine the intertemporal interaction between Malaysian interest rates of diffe... more In this study, we examine the intertemporal interaction between Malaysian interest rates of different maturities. A cointegration tests and error correction model (ECM) are employed to simultaneously estimate the short-run and long-run dynamics of the variables. The results support the expectations hypothesis for interest rates between shortend maturities. However, the hypothesis is rejected when short-end and long-end maturities are paired and analysed. The findings are consistent with previous work in this area that, the yield curve has limited predicting power in determining interest rates with long-end maturities.
This paper employs the cointegration test and error correction model to investigate the impact of... more This paper employs the cointegration test and error correction model to investigate the impact of easing money market on stock returns in Malaysia during 1997 to 2000. The rationale for dividing the sample periods into three subperiods is mainly to the capture large drastic drop in money market rates. The empirical results suggest that Malaysian money market rates have insignificant negative impact on stock returns for the full sample period. Similar results of insignificant interactions for all subperiods with an exception for subperiod 2. The subperiod 2 shows significant positive unidirectional causality running from stock market to money market. Our empirical results suggest that an easing money market rate does not have positive impact on stock return. Other factors such as prolong pegging of ringgit against US dollar and confident in the market itself may influence Malaysian stock returns.
The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malays... more The study examines the day of the week effect on the Kuala Lumpur Composite Index of Bursa Malaysia using the daily data from 4 th January 1999 to 29 th December 2006. Employing the framework due to the study finds that the day of the week effect is present in Malaysian stock market. Specifically, the results show significant negative and significant positive for Monday and Tuesday, respectively. The Tuesday significant positive effect is possibly due to active buying on Monday because of the drop in price. However, the results of the Tuesday returns contradict almost all of the previous findings. The results indicate that information processed over weekends has affected the return of Kuala Lumpur Composite Index not only during the opening on Monday but also the following days. Thus, we suggest that information will decay only after a few days. The other possible explanation is that by using a more robust estimation on the turbulent sample period data do produce different results from the previous study. We also divide the full sample into two sub samples, we find no evident of the day of the week effect for both four years rolling samples . The results of the whole sample seem to be consistent with the previous findings particularly on the Monday returns.
Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear depe... more Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns ... Wan Mansor Wan Mahmood* Universiti Teknologi MARA Terengganu 23000 Dungun, Terengganu, ...
The different between investments in Shariah compliant stocks and conventional stock is that, whi... more The different between investments in Shariah compliant stocks and conventional stock is that, while the former is based on the capital market set of rules and law, the latter follows not only the capital market set of laws and but also the Islamic principles of transactions. Most of the previous studies examine issues related to the conventional stocks and market. the study finds that the day of the week effect is presence only in Malaysian Shariah market of KLSI and not for FBM Emas Shariah and FBM Hijrah Shariah. Specifically, the result show that there is significant negative Monday return and positive Friday returns in the Kuala Lumpur Shariah Index. The result suggests that the market is not purely efficient, a findings similar to those of conventional stock market in many countries
The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange a... more The conditional variance for five banks stock returns traded on the Kuala Lumpur Stock Exchange and the financial index is modeled using a GARCH model with the number of volume traded as a regressor in the conditional variance equation. The empirical finding is consistent with the notion that information is a long lived process. The finding also suggests the possibility of other variables besides trading volume which can explain current volatility for banks with thin trading volume.
The study examines the relationship among Malaysian's market stock return, dividend yields and pr... more The study examines the relationship among Malaysian's market stock return, dividend yields and price earnings rat o. Specifically, it examines the existence of long-run and short-run relationship and also their predictive power (causality) between and among market stock return, dividend yie ds and price earnings. Using the monthly data from 1989-2005, the study finds that all these fundamental variables have a strong long run relationship. As for the short run relationship, the results show significant positive predictive power from dividend yield to stock return and significant negative relation from stock returns to price earning ratios. In addition, applying multivariate causality test, the results show that both dividend yields and price earning ratio Granger cause (predict) the stock return. Similar results are found from stock returns and P/E ratio to dividend yield, as well as from dividend yie d and stock returns to P/E rat on but with lesser magnitude. Thus, fundamental variables are an important source of nformation in determ n ng stock market returns and useful to investors and other marke participants in deciding their investment strategies.
The study provides evidence of the nature of the volatility transmission for daily currency futur... more The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission from the IMM to the SIMEX for both currency futures contracts but failed to find the reverse. This result suggests that currency futures market with larger trading volume i.e. IMM are influencing the direction of transmission of smaller currency futures market i.e. SIMEX JEL classification: G13, G14
This paper examines relationships among different currencies in two different regimes, ie, floati... more This paper examines relationships among different currencies in two different regimes, ie, floating and pegging (fixed) regimes. Daily rates for five foreign exchange rates (Great Britain Pound, Singapore Dollar, Japanese Yen, Chinese yuan, Germany Deutsche mark) for the ...
This paper discusses some of the issues related to the construction and interpretation of stock p... more This paper discusses some of the issues related to the construction and interpretation of stock price indices most widely used in the Kuala Lumpur Stock Exchange: the Composite index, the EMAS index, the Second Board index and the Industrial index. Each of the indices represents a benchmark portfolio for a different segment of the stock market. The study also compares the movements of the indices over the period between 1995 through 2000. The results show that the indices are highly integrated in all cases. There is no obvious indication of large size market capitalisation of indices particularly the Composite index leads other indices. The results suggest each index contain similar information content regardless of their size.
Abstrak : This study attempts to investigate the students' understanding of reading in English by... more Abstrak : This study attempts to investigate the students' understanding of reading in English by analyzing the students' project work. The objectives are to know the skills in note making the students used to assist in their understanding of reading text and how the note making help them in writing a summary. This study also looks at how the students' proficiency in English help them in understanding their reading material. Data were taken from the project work made by the students. The project work requires the students to read a piece of reading material, make notes on the reading material and write a summary of the reading material based on the note making that they have made. The students who did the project works were from the TESL and Civil in Education course in Faculty of Education in UTM. The findings show that most of the students employ some type of skills in note making. These skills are; using linear and non-linear form of note making, clear organization of idea, using simple words in the note making and also sufficient content. In addition, the students' proficiency in English also plays a role in understanding English. This study aims to help the students in their reading of English as a Second language by providing the skills that are useful in note making that can assist in understanding reading in English. It is also hoped that teachers of English as a Second language will benefit from the study where they can use the skills provided in their language learning classroom.
Abstract: In this paper, the relationship between returns and trading volume is examined for four... more Abstract: In this paper, the relationship between returns and trading volume is examined for four futures contracts for the period January 1, 1986 to April 30, 1997. Both linear and nonlinear dependence are examined. The study first employs linear causality tests and find that futures returns ...
Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear depe... more Electronic copy of this paper is available at: http://ssrn.com/abstract=980890 ... Nonlinear dependence and conditional heteroscedasticity: A notes from Malaysian daily stock returns ... Wan Mansor Wan Mahmood* Universiti Teknologi MARA Terengganu 23000 Dungun, Terengganu, ...
... NO AR247 0 SIRIM 074 Samb. 1203,1205,1206 Faxs : 840023 4 y Surat Kami Tarikh 100-CT (AKA/9/1... more ... NO AR247 0 SIRIM 074 Samb. 1203,1205,1206 Faxs : 840023 4 y Surat Kami Tarikh 100-CT (AKA/9/10/9) 28 Oktober 2002 ... 6. Kertaskerj a bole h dibentangka n dala m semina r setela h 75 % dera f awa l laporan akhi r penyelidika n dihanta rke Bir o untu k semakan . Wala u ...
What's wrong with companies listed in the MESDAQ market as more and more is leaving for more esta... more What's wrong with companies listed in the MESDAQ market as more and more is leaving for more established counter of the main board of Bursa Malaysia. There is the general perception that companies listed in the MESDAQ Market lack in quality -low prices. This study looks at the problem of MESDAQ by analyzing various criteria such as stock returns and the number of press release by the SC in relation with the civil suit cases due to financial fraud of the companies listed under the MESDAQ Market. The results show that the return for MESDAQ Market index is lower than that of the Main Board index. The results also show more companies in the MESDAQ Market fail do not follow the rules and procedures of the Security Commission.
This paper measures property companies' performance under new economic performance metric known a... more This paper measures property companies' performance under new economic performance metric known as Economic Value Added (EVA) and identifies which companies perform better. The EVA of 27 Malaysia property companies are computed and analysed during the periods of 1997 through 2006. The EVA is an economic performance metric proposed by Stern Stewart Management Services. It claims to have successfully eliminated financial and accounting distortions and provides a true measure of a company's success in driving shareholder value. Overall, the result of the present study shows that most property companies in Malaysia fail to generate enough income to cover their cost of capital, and thus indicating failure in creating corporate wealth. In order to have positive EVA in the future, the actions and decisions of managers should focus on investing more on capital in the high return projects.
Participation In An Online Forum: A …, Jan 1, 2010
Virtual world or environment such as Online Forum is one of the predominantly textbase asynchrono... more Virtual world or environment such as Online Forum is one of the predominantly textbase asynchronous Computer Mediated Communication (CMC) tools. Since early 1990s, Online Forum has generated much interest among second language researchers. However, to date, not many studies have focused on Online Forum as a platform for language learning. For the purpose of this study, in UTM, a fully-fledged virtual forum called MyLine, was chosen and analyzed to benefit students in their language learning and communication skills. This study began investigating on the nature of interaction among students in online forum, the factors that influences students' participation and language use within the electronic medium and finally on the reasons for their participation. Data were gathered through online observation and questionnaire. Content analysis was also done on the messages posted. Through the data collection, it was found that there are some patterns of interaction between the students. Besides that, there are a few factors that influenced students' participation such as accessibility of Internet, speed of access and their computer skills. There are a few patterns of language used in online forum which influence the students' language use. In particular, most of the students participated in online forum because i) the topics discussed are interesting, ii) coursework mark given by lecturer and iii) online forum motivate them to communicate by improving their language. Thus, MyLine forum is an affective medium to provide equal opportunity to second language learners with different levels of proficiency to participate without hesitant.
This study tests the determinants of capital structure for the firms listed in the Bursa Malaysia... more This study tests the determinants of capital structure for the firms listed in the Bursa Malaysia Securities Berhad (BMSB) market during the six year period from 2000 to 2005. The data derive from financial statements of 17 companies with numbers of observations totaling 102. We use dependent variable of debt ratio and is expressed by total debt divided by total assets while the independent variables are size, growth, liquidity and interest coverage ratio. Applying pooled OLS estimations, the result shows that the size, liquidity and interest coverage ratio is significantly negatively related to total debt. However, the study finds insignificant negative relation between capital structure and growth of the firm, expressed by the annual changes of earnings. Finally, the results of dummy variable show that there is significant different in capital structure among those firms that adopt more debt (more than 30 per cent of their total assets) and those who employ less leverage financing.
In this study, we examine the intertemporal interaction between Malaysian interest rates of diffe... more In this study, we examine the intertemporal interaction between Malaysian interest rates of different maturities. A cointegration tests and error correction model (ECM) are employed to simultaneously estimate the short-run and long-run dynamics of the variables. The results support the expectations hypothesis for interest rates between shortend maturities. However, the hypothesis is rejected when short-end and long-end maturities are paired and analysed. The findings are consistent with previous work in this area that, the yield curve has limited predicting power in determining interest rates with long-end maturities.
This paper employs the cointegration test and error correction model to investigate the impact of... more This paper employs the cointegration test and error correction model to investigate the impact of easing money market on stock returns in Malaysia during 1997 to 2000. The rationale for dividing the sample periods into three subperiods is mainly to the capture large drastic drop in money market rates. The empirical results suggest that Malaysian money market rates have insignificant negative impact on stock returns for the full sample period. Similar results of insignificant interactions for all subperiods with an exception for subperiod 2. The subperiod 2 shows significant positive unidirectional causality running from stock market to money market. Our empirical results suggest that an easing money market rate does not have positive impact on stock return. Other factors such as prolong pegging of ringgit against US dollar and confident in the market itself may influence Malaysian stock returns.
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