INTERNATIONAL PRICE RELATIONSHIPS AND VOLATILITY TRANSMISSIONS BETWEEN STOCK INDEX AND STOCK INDEX FUTURES IN MALAYSIA, HONG KONG AND JAPAN.

ABSTRACT

This study tries to investigate the international price relationship and volatility transmissions between stock index and stock index futures in Asia by using three countries which are Malaysia, Hong Kong and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine years daily price of stock index and stock index futures from these three countries. The results show that there are feedback effects in the domestic price relationships between the spot and futures markets. In addition, the findings suggest that Japanese markets are the main information producer to the market price changes in the countries investigated. This study also highlights that international market interdependence only affected the domestic volatility transmission of spot and futures market in Hong Kong. In addition, the results present evidence that asymmetric effects exist in all markets and the volatility persistence in each markets is high. Finally, the overall conditional correlation estimates for spot and futures markets in these three countries are higher in the unrestricted model form compared to the restricted model form.

Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets.

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THE EFFECTS OF THE INTRODUCTION SYARIAH INDEX TO THE BURSA MALAYSIA STOCK INDEX AND BURSA MALAYSIA STOCK INDEX FUTURES.

ABSTRACT

This study tries to investigate the effect of introduction of Syariah Index to the price relationships and volatility transmissions between the Bursa Malaysia Stock Index and Bursa Malaysia Stock Index Futures. In addition, it also tries to find the relationships between Bursa Malaysia Stock Index, Bursa Malaysia Stock Index Futures and Syariah Index. Vector Autoregression (VAR) GJR-GARCH model was applied to nine years daily price of the variables investigated. The results present evidence that the introduction of Syariah Index has changed the price relationships and volatility transmissions between the spot and futures markets in Malaysia. Furthermore, the findings of this study show that the there are feedback effects in the price relationships between the variables investigated. The findings also suggest that Bursa Malaysia Stock Index is the main information producer in predicting and analyzing the volatility of Bursa Malaysia Stock Index Futures and Syariah Index. Finally, the overall conditional correlation estimates between the three variables investigated are higher in the unrestricted model form compared to the restricted model form.

Keywords: spot-futures, syariah index, lead-lags, volatility, VAR GJR-GARCH, Islamic financial markets.

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ESTIMATING VALUE-AT-RISK BY HISTORICAL SIMULATION APPROACH: A STUDY ON MALAYSIAN SYARIAH-BASED FIRMS

ABSTRACT

This paper presents the comparative study of VaR values based on two perspectives. First, to compare VaR calculations between one year and five year observation period and secondly to evaluate VaR estimates based on two confidence level; 95% and 99%. The sample period is from November 24, 2000 until November 23, 2005. The procedure is based on a full valuation approach specifically the historical simulation. Underlying dataset concentrates on the syariah-based firms traded in the Malaysian stock exchange. Despite several caveats, based on the analysis the overall results illustrate the important roles of the length of the observation period and the confidence level in determining the VaR values.

Keywords: Value-at-Risk, historical simulation, holding period, confidence level

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DETERMINANTS OF CAPITAL STRUCTURE OF MALAYSIAN FIRMS: SOME EVIDENCE FROM PANEL DATA

Abstract

This study observes the determinants of the capital structure of Malaysian firms.  It is based on a sample of 342 firms selected from the main board of the Malaysian Stock Exchange from the period of 1994 to 2004.  Based on the panel data estimations, the study evaluates the agency cost of debt, the bankruptcy cost, the age, the growth rate, the non-debt tax shield, the profitability, size, the tangibility and the volatility of the firms.  Except for AGCY, PROF and TA all of the variables are positively correlated with the firms’ leverage, LEV. Therefore, the determinants are discovered to be consistent with the capital structure theory.

By:

ASSOC. PROF. DR. ISMAIL AHMAD

WAN HASNAH WAN ABD KADIR

KHARUDIN MOHD SALI @ SALLEH

Finance Lecturers

Universiti Teknologi MARA Johor

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Islamic Financial System Design: What are the Incentives?

Abstract

This paper examines the Islamic financial system design that is determined by the regulation dictating the structure of the banking industries, the law and accounting incentives. This regulatory framework for financial intermediaries should be tailored to achieve the different levels of economic development. How do these changes take place? Are these changes also aimed towards the changing roles of financial intermediaries and the emergence of new markets and products? Do the development of the legal and accounting standard have influenced on revolutionized roles of the financial intermediaries and market? And finally, how would all these changes affect the firm financing choices and capital structure? Therefore, the aim of this paper is to produce the incentives of regulation, law and accounting that may influence this design.

JEL classification: G21; G23; G28;

Keywords: Islamic financial system design; regulation; law; finance; accounting;

The top five cancer-causing foods are

1. Hot dogs

Because they are high in nitrates, the Cancer Prevention Coalition advises that children eat no more than 12 hot dogs a month. If you can ' t live without hot dogs, buy those made without sodium nitrate.

2. Processed meats and bacon

Also high in the same sodium nitrates found in hot dogs, bacon, and other processed meats raise the risk of heart! disease . The saturated fat in bacon also contributes to cancer.

3. Doughnuts

Doughnuts are cancer-causing double trouble. First, they are made with white flour, sugar, and hydrogenated oils, then fried at high temperatures. Doughnuts, says Adams , may be the worst food you can possibly eat to raise your risk of cancer.

4. French fries

Like doughnuts, French fries are made with hydrogenated oils and then fried at high temperatures. They also contain cancer- causing acryl amides which occur during the frying process. They should be called cancer fries, not French fries, said Adams .

5. Chips, crackers, and cookies

All are usually made with white flour and sugar. Even the ones whose labels claim to be free of trans-fats generally contain small amounts of trans-fats.

Reasons for sleeping and waking up early.

Evening at 9 - 11pm: is the time for eliminating unnecessary/toxic chemicals (detoxification) from the antibody system (lymph nodes). This time duration should be spent by relaxing or listening to music.. If during this time a housewife is still in an unrelaxed state such as washing the dishes or monitoring children doing their homework, this will have a negative impact on health.

Evening at 11pm - 1am: is the detoxification process in the liver, and ideally should be done in a deep sleep state.

Early morning 1 - 3am: detoxification process in the gall, also ideally done in a deep sleep state..

Early morning 3 - 5am: detoxification in the lungs. Therefore there will sometimes be a severe cough for cough sufferers during this time. Since the detoxification process had reached the respiratory tract, there is no need to take cough medicine so as not to interfere with toxin removal process.