Test statistics with event-induced variance: evidence from stock dividend

Even though many researchers have found the problem of event-induced variance in event studies, they are tended to neglect these hazards by using conventional event-study methods, such as the Patell test. This test tends to reject the null hypothesis of zero average abnormal returns too often when it is true (higher type I error). In this study, we had implemented a more advanced event-study method, Boehmer, Mucumeci, and Poulsen (BMP) test, to remedy the issue of event-induced variance. Using stock dividend, the empirical findings demonstrated that the BMP test produced six significant abnormal returns from day 10 before the event to day 30 after the event while the Patell test generated 11 significant abnormal returns. In other words, the over-rejection rate in Patell test was 83.33%. At the same time, the level of significance in test values increased from 1%-5% in the Patell test to 5%-10% in the BMP test. A possible explanation for the two main findings might be due to the presence of event-induced variance. We found that the BMP test generated equally powerful tests as the null was false as well as suitable rejection rates as it was true. In addition, there has the impact of the stock dividend event on the Malaysia stock market returns. This paper provides an empirical comparison between conventional event-study methods and the BMP test to resolve event-induced variance in event studies

The Determinants of Intention to use E-voting System: The Case of Generation X in Malaysia

The internet has opened doors for electronic voting (E-voting). A review of the loopholes of the 14th General Election in Malaysia including the delay of votes from overseas voters, the declaration of a public holiday on voting day and the extraordinary heavy traffic, implies that E-voting could be a better alternative to the paper-based ballot voting. Therefore, the objective of this study is to examine the determinants of the intention to use the E-voting system among Generation X in Malaysia. This study focused only on Generation X because most internet users are from this age group (22 to 37-year olds) compared to other age groups. Hence, Generation X may be the focus of E-voting. A survey of 351 respondents on their intention to use E-voting system was conducted throughout 13 states and the Federal Territory of Kuala Lumpur (Wilayah Persekutuan). Additionally, an empirical model was drawn from adopted theories and data was analyzed using the Partial Least Squares – Structural Equation Modeling (PLS-SEM) approach. The findings showed that compatibility, relative advantages and perceived ease of use significantly contributed to the intention to participate in E-voting. However, perceptions of image, complexity of use, perceived usefulness, trust in the internet and in the government are not significantly related to the intention to use E-voting

Contemporary event study test: event-induced variance and cross correlation among abnormal returns in dividend

Although many literatures related to event studies have reported the problem of event-induced variance and cross correlation among abnormal returns, a lot of researchers still employ conventional event-study methods which tend to reject the null hypothesis of zero average abnormal returns too frequent when it is true (higher type I error). In this paper, we applied a more advanced event-study method, namely the adjusted Boehmer, Mucumeci, and Poulsen (Adj-BMP) test, to provide a remedy to the issue of event-induced variance and cross correlation among abnormal returns. Using cash dividend increase to evaluate a battery of both statistical tests, the empirical results found the presence of the cross-correlation among abnormal returns. Consequently, the Adj-BMP test produces four significant abnormal returns from day 10 before the event to day 30 after the event while the BMP test generates eight significant abnormal returns. The BMP test exhibits 100% over-rejection of null hypothesis. At the same time, the level of significance has been decreased from 5% to 1% in the BMP test to 10% to 5% in the Adj-BMP test. Thus, we show that the Adj-BMP test is a robust test in presence of cross correlation among abnormal returns. According to the Adj-BMP test, this study found that there is an impact of cash dividend increase events on the average abnormal returns. This study makes a major contribution to research on providing an empirical comparison between BMP test and Adj-BMP test to resolve event-induced variance and cross correlation among abnormal returns in event studies of emerging market

Forecasting Malaysian stock market volatility

This study evaluates a battery of forecasting volatility models using daily data of the FTSE Bursa Malaysia CI Index. The forecasting models include random walk model, historical mean model, and moving average models. The mean error statistic, mean absolute error statistic, root mean squared error statistic, mean absolute percentage error statistic, under-predictions mean mixed error, and over-prediction mean mixed error were used to evaluate precision of forecasts. The results suggested that the 3 years moving average model offered advanced forecasts volatility information. Nevertheless, the different models rankings indicated that they are sensitive toward the error statistic employed in evaluating the precision of the forecasts