6 research outputs found
Overall Performance of Malaysian Futures Market: Evidence Using Crude Palm Oil and Stock Index Futures Contract
This research analysed four important issues relating to the efficiency of futures
market, namely pricing characteristics, informational role, arbitrage efficiency and
hedging performance of two important derivative products namely crude palm oil
futures (CPO) and stock index futures contracts (SIF). Daily data on CPO contracts
for the calendar years 1987 through 1998 and 1996 through 1999 for stock index
contracts were used.
Several hypotheses concerning the pricing behaviour of futures contracts (CPO
and SIF) were tested to ascertain whether the pricing behaviour is consistent with
theory in the context of an emerging market. The fmding suggests that the pricing
behaviour of CPO futures is consistent with theory over the whole period of
analysis. And the liquidity increased with volume for the CPO futures. Delivery
month does not have any significant impact on price volatility. For stock index
futures, the pricing behaviour is not stable over time possibly due to the financial
crisis (July 1997 to September 1998) and/or more importantly, due to the learning period effect. The liquidity of this contract did not increase with the increase in
volume probably due to the lack of speculators.
Excepting in a sub-period (1993-1995), the findings suggest that information is
a major determinant of cash price movement of CPO contracts. For stock index
futures, significant informational linkages between cash and futures prices is
observed only after the financial crisis. There was no informational link between
cash and futures markets before the crisis.
In terms of arbitrage efficiency, the CPO futures show weak arbitrage activity.
Spot volatility reduces the spread between cash and futures though it was not
simultaneous while futures volatility does not have an important role in reducing the
spread. For stock index futures, spot volatility as well as futures volatility
simultaneously reduces the spread in the post crisis period. In the pre crisis period,
these contracts showe
Productivity and spillover effect of merger and acquisitions in Malaysia
Purpose: This paper aims to examine the productivity and spillover effect of Malaysian horizontal merger and acquisition (M&A) activities in the long run. Design/methodology/approach: In terms of analytical tools, economic value added (EVA) and data envelopment analysis (DEA) are used. Findings: The results of this study reveal that M&As in the absence of antitrust laws could be driven by managerial self-interest to create market power instead of realizing synergistic gains. Also, in Malaysia, the non-merging rival firms have significantly higher productivity improvement than the control bidder firms, and therefore, this study has identified the spillover effect as a behavior of M&A reaction. Originality/value: This paper differs from previous studies in that it attempts not only to examine the real long-term gains of horizontal M&A activities in Malaysia but also the spillover effects of M&A activities on similar but non-merging firms
Capital adequacy and lending and deposit behaviors of conventional and Islamic banks
Capital adequacy plays an important role in determining banking activities. A bank must hold a minimum level of capital to ensure sufficient funds to buffer against unexpected losses or adverse shocks. This study analyzes and compares Islamic and conventional banks in 14 Organization of Islamic Conference (OIC) countries from 1999 to 2009. The empirical evidence suggests that capital requirements have a significant impact on the deposit and lending behaviors of the 52 Islamic banks (IBs) and 186 conventional banks (CBs) in the sample. There is a strong positive relationship between capital requirements and deposit and loan growth for both IBs and CBs
Country risk assessment model for four ASEAN countries
This paper aims to investigate country risk by using the Two-Limit Tobit Model. This study begins by identifying empirically the important factors affecting the debt service capacity of borrowing countries. In this study we assess the riskiness of four developing countries in ASEAN over the period of 1970 to 2013. In this model, a quarterly-ahead debt rescheduling ratios are used as the dependent variable. Using the debt rescheduling ratios, we emphasize the role of relative sizes of debt rescheduling in predicting external debt crisis. A special emphasis is given to the seven crises, namely, the World Oil Crisis (1973-74), IMF Crisis (1976), Crisis of 1982, Black Monday 1987, the Saving and Loan Crisis (early 1990s), the Asian Financial Crisis (1997) and the Mortgage Crisis (2007) and their predictability. The final results show that Malaysia, the Philippines and Thailand have country risks that are highly affected by the crisis
Corporate governance reforms and financial reporting quality at Middle East stock markets
This research aims to provide empirical evidence about the effect of corporate governance (CG) reform on the financial reporting quality (FRQ). Using a sample of non-financial firms listed at Saudi stock market (TADAWAL), Abu Dhabi securities market (ADX) and Qatar stock market the study investigated the trend of the quality of the financial reporting at theses stock markets before and after corporate governance reforms that applied to the listed firms. This study adopts the working capital accruals quality as a measurement of the financial reporting quality that can determine the level of the efficiency and the effectiveness of the promoted reform of corporate governance. Panel data method was applied to McNicholas model (2002) to calculate firms FRQ. Independent sample t-test was performed to investigate the trend of the FRQ in the selected countries and to examine the significance degree of the differences between the means for the periods before and after the applied corporate governance reform. The result shows that the applied corporate governance reform was efficient and the FRQ improved for the era after corporate governance reform in the Middle East stock markets. In addition the result shows the level of the similarities and the variations between the stock market in Middle East region
Impact of internal audit function (IAF) on financial reporting quality (FRQ): evidence from Saudi Arabia
This study examined the impact of the quality of the internal audit function (IAF), an integral part of corporate governance structure, on the financial reporting quality (FRQ) of all Saudi companies listed in the Saudi stock exchange (TADAWL) in 2009, excluding banks. Both secondary and primary information was collected through a matched survey and interview of internal and external auditors. The findings show weak association between IAF quality and FRQ. The findings imply that the listed firms merely use IAF to provide a symbolic conformity to capital market authority (CMA) regulations. For better internal control and global recognition, CMA needs to put in place more initiatives to increase the role of IAF on firms in Saudi Arabia. Considering the environmental factors of emerging institutions, this study added different insights on the issue of IAF and its role in FRQ in the oil-based economy of Saudi Arabia