Pulangan,risiko dan kemeruapan sektor sekuriti diluluskan syariah : Pendekatan GARCH dan CAPM bersyarat

Bagi menunjukkan sistem kewangan Islam adalah satu alternatif yang terbaik, maka prestasi saham syariah perlu dikaji dun membandingkannya dengan saham konvensional. Pulangan yang tinggi akan menarik pelabur membuat pelaburan dalam sekuriti tersebut.Ini kerana pulangan kepada syarikat seterusnya dibahagikan kepada para pemegang saham dalam bentuk keuntungan dan dividen Walau bagaimanapun, pelabur juga mengetahui bahawa pelaburan yang berisiko tinggi akan menjamin pulangan yang tinggi (high risk high return).Oleh itu, kajian ini adalah satu usaha untuk mendalami pengetahuan tentang prestasi pulangan sekuriti lulus Syariah. Salah satu kajian yang perlu dilakukan ialah melihat hubungan di antara pulangan dan beta (pengukur risiko) dan peranan beta dan CAPM dalam menerangkan perbezaan keratan rentas pulangan sekuriti lulus Syariah. Kajian ini menumpukan kepada 456 sekuriti lulus Syariah yang tersenarai di Papan Utama dengan melihat hubungan bersyarat purata pulangan dan beta bagi sekuriti-sekuriti yang diluluskan oleh Majlis Penasihat Syariah. Sementara itu kemeruapan pulangan saham ditakrifkan sebagai serakan terhadap purata pulangan saham atau lebih dikenali sebagai varians. Maklumat dan pengetahuan mengenai gelagat kemeruapan pulangan saham begitu penting kepada ahli ekonomi dan para penganalisis kewangan dalam menyelesaikan beberapa masalah ekonomi yang berkaitan. Poterba dan Summers (1986) telah mengaitkan pengaruh keberterusan pulangan terhadap hubungan antara perubahan kemeruapan dengan harga saham manakala Bollerslev et. al. (1992) pula menyatakan bahawa terdapat tiga sifat yang mempengaruhi kemeruapan pulangan saham iaitu sifat keberterusan pulangan, sifat min-varians, dan sifat hubungan tidak simetri. Kajian ini menggunakan model-model keluarga ARCH untuk menganalisis gelagat kemeruapan pulangan saham lulus syariah di Bursa Saham Kuala Lumpur, Malaysia. Penganggar empirikal ini menggunakan data mengenai harga saham lulus syariah untuk setiap hunter, volume dagangan, Indeks industri Dow Jones (IZDJ), Indeks Syariah, Indeks Komposit, Kadar Faedah Antara Bank dun Kadar Faedah Antara Bank Islam. Analisis seterusnya adalah membandingkan dapatan untuk melihat hubungan antara risiko,pulangan dan kemeruapan

RE-EVALUATING SUSTAINABILITY OF MICROFINANCE INSTITUTIONS BY USING TOPSIS

Purpose: The measurement of sustainability for microfinance institutions (MFIs) has been a serious problem for both practitioners and researchers over the last few decades. A multicriteria decision-making approach is used to develop an index that measures the sustainability of microfinance institutions based on the double bottom line. Methodology: The sustainability score of MFIs operating in Pakistan for the year 2006-2015 is measured using the technique for order preference by similarity to ideal solution (TOPSIS). During the assessment, equal weights are assigned to all indicators of sustainability. Additionally, a hypothetical organization was assigned the industry threshold to generate composite scores using TOPSIS. Later, sustainability levels of individual MFIs were compared with this industry threshold. Findings: Microfinance institutions that attain higher financial sustainability and positive outreach are ranked high. The result shows that the threshold sustainability level of the microfinance sector in Pakistan from 2006-2015 was 23.52, 26.31, 23.80, 45.83, 45.83, 66.67, 77.77, 91.60, and 88.88 percent respectively. Although the sustainability level in 2015 decreases with respect to 2014, still the overall growth of the sector is remarkable. Practical implications: The results obtained from TOPSIS for evaluating the sustainability of MFIs under the double bottom line highlight its practical applicability. MFIs are under immense pressure by regulatory bodies, investors, donors, and financial experts to achieve sustainability. This index would help MFIs to track progress and improve their sustainability. Novelty/Originality: This study is the first of its kind to determine the sustainability of MFI by using all the four indicators of sustainability, including financial self-sufficiency, operational self-sufficiency, depth of outreach and breadth of outreach. Existing sustainability indicators does not provide the threshold level of sustainability. Instead, they provide a ranking of MFIs from top to bottom only. This study is novel to identify whether MFIs have met or failed to achieve sustainability by providing the threshold level

Pulangan dan beta sekuriti lulus syariah di Bursa Malaysia: Satu bukti keratan rentas menggunakan CAPM bersyarat

Objektif kajian ini ialah untuk mengkaji hubungan bersyarat antara pulangan dan beta sektor sekuriti lulus Syariah dengan menggunakan analisis regresi keratan rentas.Regresi pulangan dan beta tanpa membezakan antara pulangan lebihan pasaran positif dan negatif menghasilkan hubungan tidak bersyarat ‘flat’ antara pulangan dan beta bagi semua sampel kajian.Kajian ini juga bertujuan untuk menguji adakah beta memainkan peranan penting dalam menerangkan perbezaan keratan rentas pulangan sektor sekuriti lulus Syariah. Selain itu, kajian ini membuat perbandingan antara hubungan tidak bersyarat dan hubungan bersyarat antara beta dan pulangan sektor sekuriti lulus Syariah berdasarkan pendekatan Hodoshima (2000) iaitu statistik ringkas seperti R2 terlaras dan sisihan piawai persamaan dan Fletcher (1997) iaitu menggunakan magnitud nilai sebenar anggaran kecerunan.Dengan menggunakan CAPM bersyarat dan analisis regresi keratan rentas, bukti dalam kajian ini cenderung menyokong hubungan positif yang signifikan ketika minggu pasaran naik dan hubungan negatif yang signifikan ketika pasaran jatuh bagi semua sampel kajian.Kajian ini mencadangkan bahawa beta merupakan alat yang berguna dalam menerangkan perbezaan keratan rentas dalam pulangan sektor sekuriti lulus Syariah dan menyokong kesinambungan penggunaan beta sebagai pengukur risiko.Berdasarkan kepada R2 terlaras, sisihan piawai persamaan dan magnitud nilai sebenar anggaran kecerunan, hubungan bersyarat antara pulangan dan beta didapati lebih kuat ketika pasaran jatuh berbanding ketika pasaran naik dan didapati hubungan ini lebih sesuai diukur dengan pendekatan Fletcher (1997) berbanding Hodoshima (2000) dengan menggunakan kaedah CAMP Bersyarat oleh Pettengil (1995)

Pulangan dan beta sektor sekuriti diluluskan syariah: Bukti keratan rentas menggunakan CAPM bersyarat

Objektif kajian ini ialah untuk mengkaji hubungan bersyarat antara pulangan dun beta sektor sekuriti lulus Syariah dengan menggunakan analisis regresi keratan rentas. Regresi pulangan dun beta tanpa membezakan antara pulangan lebihan pasaran positif dun negatif menghasilkan hubungan tidak bersyarat 'flat' antara pulangan dun beta bagi semua sampel kajian. Di samping itu ia bertujuan untuk menguji adakah beta memainkan peranan penting dalam menerangkan perbezaan keratan rentas pulangan sektor sekuriti lulus Syariah. Kajian ini juga akan membuat perbandingan antara hubungan tidak bersyarat dan hubungan bersyarat antara beta dun pulangan sektor sekuriti lulus Syariah berdasarkan pendekatan Hodoshima (2000) iaitu statistik ringkas seperti R2 terlaras dun sisihan piawai persamaan dan Fletcher (1997) iaitu menggunakan magnitud nilai sebenar anggaran kecerunan. Dengan menggunakan CAPM bersyarat dun analisis regresi keratan rentas, bukti dalam kajian ini cenderung menyokong hubungan positif yang signifikan ketika minggu pasaran naik dan hubungan negatif yang signifikan ketika pasaran jatuh bagi semua sampel kajian. Kajian ini mencadangkan bahawa beta merupakan alat yang berguna dalam menerangkan perbezaan keratan rentas dalam pulangan sektor sekuriti lulus Syariah dun menyokong kesinambungan penggunaan beta sebagai pengukur risiko. Berdasarkan kepada R2 terlaras, sisihan piawai persamaan dun magnitud nilai sebenar anggaran kecerunan, hubungan bersyarat antara pulangan dan beta didapati lebih kuat ketika pasaran jatuh berbanding ketika pasaran naik dun didapati hubungan ini lebih sesuai diukur dengan pendekatan Fletcher(1997) berbanding Hodoshima (2000)

Kefahaman umum terhadap perdagangan matawang (FOREX) dan kedudukannya dalam syarak

Kertas ini bertujuan memahami perdagangan matawang semasa pada peringkat global secara ringkas.Kajian juga akan melihat secara ringkas amalan perdagangan matawang di Malaysia dan seterusnya mengkaji secara lebih terperinci amalan perdagangan matawang di kalangan masyarakat umum dan membahaskannya berpandukan petunjuk al-Quran dan al-sunnah melalui perbahasan ulama-ulama muktabar dan ahli akademik kontemporari

Kemeruapan pulangan pasaran indeks syariah Kuala Lumpur (KLSI): analisis model GARCH

Volatility of stock returns can be defined as a dispersion of stock return mean, which is known as variance. Information and knowledge about the behaviour of stock return volatility is pertinently important to economists and financial analysts in order to solve related economic problems. Poterba and Summers(1986) relate the influence of continuous volatility in relation with changes in stock price volatility, while Bollerslev, Chou and Kroner, (1992) mentioned that there are three factors that influence the volatility behaviour which are continuous volatility, means-variance and asymmetric relationship. This research used the ARCH family model in analysing the volatility of "syariah" compliant stock return at BSKL because of its importance in analysing and predicting volatility. Empirical estimators used were syariah compliant stock prices for every counter, volume trading, Dow Jones Industrial Index, Syariah Index, Composite Index, lnterbank Interest Rate and Islamic Interbank Interest Rates. The research duration was from 2 January 1995 to 13 June 2003. The duration was then divided into two periods with the first period starting from 2 January 1995 to 29 April 1999, which was before the launch of syariah compliant stock. The second was after the launch of syariah compliant stock from 30 April 1999 to 13 June 2003

Determinants of capital structure: evidence from Malaysian firms

The paper examines the impact of oil and gas price shocks on bank performance in the major oil and gas exporting GCC countries, using data for the period 2000-2017. Results indicate that oil and gas price rises have a direct bearing on bank performance through the channel of priceinduced bank deposits and related lending to business activities. The negative impact on bank performance due to a drop in oil and gas prices is greater than the positive effect of a rise in prices. Findings suggest that oil and gas price volatility has an asymmetric effect on conventional and Islamic banks. Conventional banks reap more benefit from the increased cash flow created by oil and gas prices, compared to Islamic banks. While Islamic banks are generally vulnerable to adverse oil and gas price shocks, conventional banks tend to benefit more from positive oil and gas price shocks. The association between oil and gas price shocks and bank performance in GCC has been distorted by the global financial crisis, the Arab Spring, and the ongoing Yemen War, which have lowered performance. The findings of the study have significant policy implications for the central banks as well as the governments in the oil and gas-exporting countries

Kuala Lumpur Stock Index Futures Market Efficiency: Long Memory Approach

This research focuses on the market efficiency tests using Fractional Integration approach.This approach involves testing the long memory component in the futures basis, which leads to the rejection of the market efficiency if there is an existence of the long memory.Data used consist of the Kuala Lumpur Composite Index (KLCI) futures contract and spot prices of KLCI from year 2000 to 2015. Based on ARFIMA model, there is evidence of long memory component in the KLCI futures basis, which suggests that KLCI futures price is inefficient. This leads us to conclude that the KLCI futures price is biased in predicting future spot prices; and therefore past price might be used to predict future prices

Macroeconomic sensitivity and firm level volatility: the case of New York Stock Exchange

Purpose – This paper investigates whether the macroeconomic factors affect the firm stock returns volatility differently depending on their location in different sectors. For this purpose, daily financial time-series data for 683 firms located in nine US sectors for the period of 2000 to 2017 are employed. Research methodology – The GARCH (1,1) model was applied to each firm located in nine US sectors. The four macroeconomic factors, namely, exchange rate, treasury yield spread, oil prices, and market return, are included in both mean and variance equations of GARCH (1,1) model to estimate the effect. Research limitations – This research study is limited to the New York Stock Exchange; therefore, it can be extended to the other economies as well. Further, this study uses one firm feature that is the sectoral location of the firm; it is recommended that some other firm features should be studied to explore the volatility behaviour of firms. In the methodological part, this study does not include the lag effect, since it is recognised in the literature that the investors underreact to public information, so future research can be extended to test the underreaction hypothesis. Practical implications – This study has implications for the investors and policymakers. Since it has emerged from the findings that some sectors are more sensitive than others to macroeconomic changes, so this knowledge will help the investors to diversify their portfolio and policymakers to maintain macroeconomic discipline. Originality/Value – The main contribution of this study is that it undertakes the assumption of heterogeneous nature of firms and conducts a detailed firm level analysis by sector covering a more extended period of time to investigate the impact of four macroeconomic factors, namely, exchange rate, treasury yield spread, oil prices, and market return on firm stock returns, volatility using daily data. Further, this study contributes by including all the macroeconomic factors together as an exogenous variable in mean and conditional variance equations of the GARCH (1,1) model to investigate the effect simultaneously