An Econometric Model of the Role of Financial Institutions in Financing Private Investment in Pakistan

The paper examines the relationship not only between private investment and financial linkage variables but also amongst the linkage variables. It examines the effect of different policy instruments on investment to provide guidelines to monetary authorities. It shows that the private investment in Pakistan was linked with the availability rather than the price of funds

Tests of the different variants of the monetary model in a developing economy : Malaysian experience in the pre-and post-crisis periods.

This study examines the validity of four different variants of the monetary model of exchange rate determination for Malaysia covering both the pre- and post-crisis periods using the vector error-correction models. The findings demonstrate that for both periods, the variables used are cointegrated. Tests tend to suggest that of the four variants of monetary model, the sticky-price model holds in both periods and the flexible-price model holds only in the post-crisis period. The proportionality between the exchange rate and relative money does not hold in any period. The plotted actual and fitted exchange rates for both sub-samples show that the models are able to track the actual exchange rate trend quiet well

Interest Rate Changes and Islamic Stock Return with Wavelets: the Case of Indonesia

In a global economy, shocks affect many financial sectors including stock market through the discount factor of the cash flow model. As in the conventional stock market where global shocks play a significant role in influencing stock prices, it also occurs in the Islamic stocks. This paper investigates the linkage between interest rate and stock returns for Indonesia with the sample period from January 2005 to December 2012 in the time-frequency domain by using a number of cross-wavelet tools. The results reveal that the similar response of the Islamic and conventional equity finance to the global shock. In turn, the result depicts that the Islamic equity market is also sensitive to the monetary tools used in the conventional system. The results have useful implications for policy makers in the face of a global financial crisis to prevent the steep fall of stock market price by increasing or decreasing the interest rate. In other words, since interest rate changes have an impact in the stock market, harmonisation of monetary policies mainly in developed countries can contribute to a decrease in the contagion potential on the stock market

Algoritma Masih Musliatun (Mm) untuk Mendukung Sistem Otomatisasi Pendaftaran Praktikum dengan Pengujian pada Jaringan Komputer (Studi Kasus di Stta YOGYAKARTA)

Practicum registration systems that exist on campus STTA previously done manually, where students will sign up to the admin to bring proof of payment practicum. Students are free to choose his own class, this often resulted in unbalanced number of students in the classroom lab that is consideredless effective way. This makes the emergence of the idea to establish an MM algorithm is applied to a practical application o f automation systems. MM algorithm works by determining many lab classes based on students who took the KRS. Furthermore, students who have paid practicum will be immediately incorporated into the classes that are available with regard to the number of students and GPA o f students per class, so it will obtain practical classes by the number o f students and the average GPA o f each class balanced.Concept application using client-server database, where the database is on the Local Area Network (LAN) STTA. To facilitate the management admin, then the application will be tested on the LAN network and VPN (Virtual Private Network) network. LAN is a computers network that are connected to a computer server by using specific topologies, typically used in areas of the building or area a distance o f not more than 1 km (local area). While VPN is a secure way to access the Local Area Network that is in range, using the Internet or other public network to perform packet data transmission in private. By using a VPN, users can access the computer that is on the LAN even though the user is not in the same location with a LAN

Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts. Based on the information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross profit/TEV) and the book to market ratio as valuation factors; the gross profit to total assets, the return on capital, and the scaled total accruals as quality factors. We further construct active portfolios using the augmented Black Litterman (ABL) factor model to avoid the factor alignment problem, with the factor views predicted using Markov Switching VAR, MIDAS, and Bayesian Model Averaging. The out-of-sample performance of our portfolios can produce information ratios of 0.7 – 0.8 over the composite indices, and information ratios of 0.42 – 0.48 over the style indices, with the annualized alphas of 10 – 11%. Even when we put the constrained tracking error of 1% over the benchmark, our portfolios still produce information ratios of 0.9 – 1.2 before transaction costs, and 0.6 – 0.8 after transaction costs. We provide intuitive explanations for each premium changing over time, and suggest the promising strategy for Islamic equity investors to outperform the market

Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to 2012. We also include two macroeconomic mimicking portfolios to capture the premiums of industrial production growth and inflation innovation, accommodating the economic regime shifts. Based on the information coefficients, we find the six-month momentum and the fractal measure as momentum factors; the enterprise yield (gross profit/TEV) and the book to market ratio as valuation factors; the gross profit to total assets, the return on capital, and the scaled total accruals as quality factors. We further construct active portfolios using the augmented Black Litterman (ABL) factor model to avoid the factor alignment problem, with the factor views predicted using Markov Switching VAR, MIDAS, and Bayesian Model Averaging. The out-of-sample performance of our portfolios can produce information ratios of 0.7 – 0.8 over the composite indices, and information ratios of 0.42 – 0.48 over the style indices, with the annualized alphas of 10 – 11%. Even when we put the constrained tracking error of 1% over the benchmark, our portfolios still produce information ratios of 0.9 – 1.2 before transaction costs, and 0.6 – 0.8 after transaction costs. We provide intuitive explanations for each premium changing over time, and suggest the promising strategy for Islamic equity investors to outperform the market

The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test

This study investigates both conventional and Islamic investors’ problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. Our sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. This study uses the recent mean-variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of value added (tangency portfolio or global minimum variance). For intra-asset allocation, our findings show that both Islamic and conventional fund managers of a specific asset class can benefit from conventional and Islamic asset classes, respectively, in several regimes. For inter-asset allocation, conventional institutional investors cannot obtain any value added from Islamic asset classes. On the contrary, the U.S. Islamic institutional investors can expand their tangency portfolio by investing in U.S. TIPSs and REITs, and reduce their global minimum variance by allocating on U.S. high-yield bonds. Moreover, the Malaysian Islamic institutional investors can obtain risk reduction by investing in conventional bonds only in the high term premium regime. For the remaining asset classes, the opportunity sets are sufficient for Islamic investors to invest complying with Shariah rules. We provide some policy implications for the global Islamic financial industry