Co-integration and causality between the spot and futures markets: pre and post implementation of NKEAs / Mohamad Azwan Md Isa, Syamsyul Samsudin and Mohd Khairul Ariff Noh.

The Tenth Malaysian Plan (RMK10) through the Economic Transformation Programme (ETP) focuses on 12 National Key Economic Areas (NKEAs). One of the key areas is the palm oil industry. Hence, this study is aimed at examining the implication of the ETP/NKEAs (pre and post) towards the crude palm oil (CPO) and its futures (FCPO) markets. The Johansen approach and the Granger test were employed to prove the co-integration and causality respectively between both markets for the period January 2008 to May 2015. Other empirical tests including the correlation analysis and multiple regressions were also conducted in order to investigate the relationship between the CPO price with the FCPO price, trading volume and open interest. The findings from the Johansen test show that there exists a co-integration in the long run between the Malaysian CPO and FCPO markets. The Granger test result indicates that there is causality of FCPO prices on the CPO prices, but not the other way around. In addition, the Regression analysis shows that FCPO price is the only significant factor that affects CPO price whilst the other two independent variables show insignificant results. The findings would be useful to the market regulators, operators and traders in setting their policy and regulations, and also in their decision making process

Unlock day effect of expiration of mandatory IPOS lock up: Case of ace market in Malaysia / Syamsyul Samsudin ...[et al.]

This research studies the role of lockup in assessing price and volume of IPOs during the expiration of lockup in Malaysia market. The reaction of price is measured by the abnormal return while the reaction of volume is measured by the abnormal volume. The companies were selected from the years 2010 to 2018 and only companies that were still listed in Bursa Malaysia were chosen. The time frame of the study was 30 days before and 30 days after the expiration date of lock up provision. The results may show for these circumstances of i) the volume will remain and the price will decrease; ii) volume will be decrease and price will be decrease too and iii) promoters retain % of shares during expiration date. For situation number i), it might show the sign of a quite good quality of performance of IPOs in stock market. Evidently, the second circumstance shows decrease in price and volume of IPOs after expiration date. The scenario actually leads by demand and supply of stock. Another important evidence which supports the insignificant result is promoters retain % of shares during expiration date. The amounts that should be released by the companies are not offered to the market during that time. By looking the Signaling Theory, insiders of IPOs firms who are previously restricted from selling their holdings have the first chance to sell large proposition of their shares. Investors will know the dates of IPO lockup expiration and numbers of shares by looking at the prospectus. Due to the scenario, the price and volume of IPOs will be reacting during expiration date based on this theory. It is hoped that this study will help investors or any Malaysian market participation especially in the IPOs market to notice the situation in Malaysian market regarding the lock up provision