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

Does bursa Malaysia overreact?

Findings for the whole period from January 1987 to December 2006 reveal that loser has insignificantly becomes loser and winner has significantly reversed in the subsequent period. Arbitrage portfolio does not provide any significant abnormal return thus, not consistent with the overreaction hypothesis. This is due to the reason that Malaysian investors are overoptimistic. After controlling for size, both small and large stocks have significantly support the overreaction hypothesis even after adjustment for difference in risk. No evidence of January effect is reported during the period; however, there is evidence of Chinese New Year effect documented in the findings. The study also shows that Malaysian Stock Market overreacts prior to 1997 Asian Financial crisis. During the post crisis, the results are not consistent with overreaction hypothesis. One possible reason to this behaviour is that investors are more aware of the phenomenon and have altered their trading strategy. As a result, overreaction behaviour diminishes and stock market gradually becomes efficient in the post crisis. These findings suggest that stock overreaction behaviour in Malaysian stock market only benefited the short-term investors. However, when the strategy is based on a longer formation period such as 5-year formation period, long-term investors are able to earn significant positive abnormal returns

Stock overreaction and financial bubbles: Evidence from Malaysia

This paper attempts to seek linkage between stock overreaction behaviour and financial bubbles in the Malaysian stock market. Monthly data over a period between January 1987 and December 2006 shows no clear evidence of stock overreaction behavior in the market. However, when the study split the analysis into two sub-periods, evidence of stock overreaction behaviour becomes significant in the pre-crisis sub-period, but there is no significant evidence of financial bubbles in the same sub-period. During the post crisis, evidence of stock overreaction seems to diminish, and evidence of financial bubbles however, is observed in the period. This study believes that evidence of bubbles observed in the Malaysian stock market in the post crisis period is due to stock overreaction that took place in the market prior to the crisis

Stock Overreaction Behaviour in Bursa Malaysia: Does the Length of the Formation Period Matter?

This paper investigates whether stock overreaction behaviour in Malaysian stock market is sensitive to the length of the formation period. Using the basic framework of De Bondt and Thaler (1985), this study find that stock overreaction behaviour in this market is sensitive to the length of the formation period. Significant evidence of stock overreaction effect is documented in the longer formation period of up to 5-year, while for the medium formation period of 2-year, there is no clear evidence of stock overreaction behaviour. Evidence of stock overreaction behaviour is also reported for the shorter-term of 1-year, however, it may not be economically profitable after taken into account the transaction cost. This study also shows that size cannot explain the documented overreaction effect. However, the results suggest that the overreaction effect subsided after adjustment to time-varying risk

Morphological identification of Phytophthora species associated with black pod disease of cocoa (Theobroma cacao L.) / Mohd Taufiq Zulhelmy Abu Hassan

A glasshouse study was conducted to investigate the effects of mixture EFB biochar and EFB compost as growth medium on oil palm seedlings growth. There were four treatments with three replications consists of different volume of topsoil, EFB compost and EFB biochar ranging from 5% - 100%. The result showed treatment 3 with 25% EFB compost and 5% EFB biochar are the best rate on oil palm seedling growth as it is significant for the plant height, number of leaf, and chlorophyll content. For leaf number, treatment three is 100% higher from treatment one. For plant height, treatment three is 22.27% higher than treatment one with different 10.6cm. For chlorophyll content, treatment three is 3.88% higher than treatment one with different 1.9 in average. There is also a different of macronutrient content within different treatment

The behavior of MENA oil and non-oil producing countries in international portfolio optimization

It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs

PLS Based Financing for SMEs: Returns to IFIs

Profit and loss sharing (PLS) based financing without collateral and interest rate could ease the financing difficulty of small and medium enterprises (SMEs). However, this PLS based financing is not widely offered by Islamic financial institutions (IFIs). This exploratory study illustrates that PLS based financing to SMEs is viable for IFIs. Using financial information of SMEs to calculate profit sharing ratio and net income under PLS based financing context, this study determined the profit margin ratio of IFIs from extending PLS based financing to SMEs. The findings show that extending PLS based financing to hypothetical diversified portfolios of SMEs generate higher profit margin compared to conventional lending at low risk based on the Markowitz portfolio theory of diversification. Moreover, as the number of SMEs in the portfolio increases, the risk of insufficient returns from the portfolio when an enterprise suffers a loss reduces

The impact of new information regime on the Jakarta stock exchange.

Stock market efficiency is an important concept, especially in understanding the working of the stock markets particularly in emerging stock market such as Indonesia. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for international equity investments. This study provides empirical evidence on the impact of new information regime on the efficiency of the Jakarta Stock Exchange by using weak-form efficiency test. This study uses data from the returns series of the Composite Index and selected individual companies before regulation changes from 1991 to 1995 and after regulation changes from 1996 to 2004. This paper employs the BDS test, which is widely used to distinguish random independent and identically distributed error terms. Three variants of BDS were performed to evaluate weak-form efficiency namely: (i) the normalized BDS test, (ii) the BDS test under ARMA and (iii) the BDS test under EGARCH. The findings indicate that in general and with exceptions the null hypothesis of independent and identically distributed (iid) error term is not rejected and insignificant at the 5% level on the Composite Index and individual companies before and after regulation changes and more prominent after the imposition of the new information regime. The results suggest that it is difficult to reject the random walk hypotheses for most of the return series after the regulatory reform. This result confirms that the market is weak-form efficient, except for daily and weekly returns before regulation changes and except for daily return after regulation changes. The results also implied that the new information regime have impacted on the Jakarta Stock Exchange by making it becoming more efficient