Practical Volatility Modeling for Financial Market Risk Management

Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum of the KLIC, to compare the performance of a density forecast models in the tails. We include an illustrative simulation and an empirical application to compare a set of distributions, including symmetric/asymmetric distribution, and a family of GARCH volatility models. We highlight the use of our approach to a daily index, the Kuala Lumpur Composite index (KLCI). Our results shows that the choice of the conditional distribution appear to be a more dominant factor in determining the adequacy of density forecasts than the choice of volatility model. Furthermore, the results support the Skewed for KLCI return distribution.Density forecast; Conditional distribution; Forecast accuracy; KLIC; GARCH models

Mitos dan legenda sebagai produk pelancongan di Malaysia: kajian kes Lembah Lenggong

Setiap tempat mempunyai legenda dan mitos yang tersendiri. Ada yang menarik dan terus disebarkan, namun ada juga yang sudah dilupakan. Unsur mitos dan legenda yang menarik, jika dipakejkan berupaya menambah daya saing sesuatu destinasi pelancongan. Artikel ini membincangkan kesesuaian membangunkan unsur mitos dan kisah legenda setempat sebagai produk pelancongan budaya menggunakan Lembah Lenggong sebagai kes kajian. Lembah Lenggong yang telah diiktiraf sebagai tapak warisan dunia oleh UNESCO memiliki beberapa mitos dan legenda yang berupaya menjadi tarikan pelancong. Menggunakan data sekunder dan primer yang diperolehi melalui pemerhatian dan temu bual berstruktur, mitos dan legenda Lembah Lenggong telah dikenal pasti dan dianalisis. Antaranya termasuklah kisah Gua Puteri, Batu Puteri @ Batu Gajah dan asal usul nama Lenggong. Mitos dan legenda ini berserta empat mitos daripada komuniti Orang Asli suku Lanoh didapati berpotensi untuk dipakejkan menjadi produk pelancongan di Lembah Lenggong. Langkah membangunkan unsur mitos dan legenda tersebut melalui usaha pemeliharaan artifak, pendokumentasian dan menganimasikan wajar dilakukan segera agar ia dapat kekal menjadi tarikan pelancong di Lembah Lenggong pada masa hadapan

Nexus between Oil Price and Stock Performance of Power Industry in Malaysia

This paper examines the reaction of KLCI and five major power sector stocks listed on Bursa Malaysia to the changes in the world spot oil price using cointegration technique and impulse response analysis. Results indicate the existence of a long run positive relationship of world spot oil price with the stock returns of KLCI, TENAGA, TANJONG and YTLP. The impulse response analysis further shows that, in most of the cases, the oil price shock has only an impact on the short time horizon. As Malaysia is a net oil exporting country practicing oil and gas subsidization, the oil price shocks lead to the wealth transfer effect from oil importing to oil exporting countries, thus, confer a positive impact on the stock market.Stock market; Power industry; Oil price

Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model conditional on segregating positive and negative market risk premiums with time varying beta (Model IV). Empirical results indicate that both the standard CAPM models (Model I and Model II) are statistically insignificant. However, the CAPM models conditional on segregating positive and negative market risk premiums (Model III and Model IV) are statistically significant. In addition, this study also discovers that time varying beta provides better explanatory power.Stock market; CAPM; time-varying beta

A Study on the Knowledge, Attitude and Behavior of University Students’ Towards the Well Known Branded Products

Nowadays branding, marketing literature appears to be an important concept. Consumers' attitudes towards goods and services together with increased levels of education also have become more sensitive. Many of the young people are the actual mass for the brand. At this point, young people's attitudes towards brands and information are important to determine the behavior. Heading from this importance, it was tried to measure knowledge, attitude and behavior of high brand awareness for products among 384 students who are learning in Gölbaşı Campus of Gazi University. As a result of this research it was found that the joining students preferred the high brand awareness products. Accordingly, high brand awareness products are seen by students, as mostly reliable products, which provides possibility of protection to consumers that can be easily found on the shelves and have more promotions but they are thinking that their prices are not the same everywhere

Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices

This paper aims to study the relationship between local and foreign macroeconomic variables and Malaysia available Shariah Indices. In our study, we used the Vector Error Correction (VEC) framework by initially looking at the long run and short run relationship between Malaysia available Shariah indices (i.e. KLSI, FTSE Bursa Malaysia EMAS Shariah Index and FTSE Bursa Malaysia Hijrah Shariah Index) and the macroeconomic variables via the Johansen cointegration technique. Monthly data during the twenty two-year period (from January 1990 to December 2011) has been collected from DataStream and tested. The findings show positive relationship between the variables from 1990 to 2006. However, mix results were found after the period till 2011. This study then conclude that the standardized set of macroeconomic variables that specified by earlier researchers still can be relied but in careful policy formulation

Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices

This paper aims to study the relationship between local and foreign macroeconomic variables and Malaysia available Shariah Indices. In our study, we used the Vector Error Correction (VEC) framework by initially looking at the long run and short run relationship between Malaysia available Shariah indices (i.e. KLSI, FTSE Bursa Malaysia EMAS Shariah Index and FTSE Bursa Malaysia Hijrah Shariah Index) and the macroeconomic variables via the Johansen cointegration technique. Monthly data during the twenty two-year period (from January 1990 to December 2011) has been collected from DataStream and tested. The findings show positive relationship between the variables from 1990 to 2006. However, mix results were found after the period till 2011. This study then conclude that the standardized set of macroeconomic variables that specified by earlier researchers still can be relied but in careful policy formulation