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Articles 1 - 8 of 8
Full-Text Articles in Economics
The Performance Of Stock Portfolios: Evidence From Analysing Malaysia Case, And Implication For Open Innovation, Ariful Hoque, Sharmeen Rakhi, Kamrul Hassan, Thi Le
The Performance Of Stock Portfolios: Evidence From Analysing Malaysia Case, And Implication For Open Innovation, Ariful Hoque, Sharmeen Rakhi, Kamrul Hassan, Thi Le
Research outputs 2014 to 2021
© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms …
Malaysian Equities: A Sector Analysis Of Risk And Normality, Robert J. Powell
Malaysian Equities: A Sector Analysis Of Risk And Normality, Robert J. Powell
Research outputs 2014 to 2021
This study uses Value at Risk (VaR) and Conditional Value at Risk (CVaR) metrics to measure the relative riskiness of sectors for Malaysian equities. VaR is a widely used volatility measure, but only measures risk below a specified threshold, whereas CVaR looks at risk beyond that threshold. The study finds that the relative risk of sectors changes with changing economic circumstances as measured by VaR, but remains significantly the same as measured by CVaR. Parametric (normally distributed) measures of VaR are compared to nonparametric measures, and it is found, consistently across all sectors, that parametric measures are not suitable measures …
An Investigation Into The Volatility And Cointegration Of Emerging European Stock Markets, Anna Golab
An Investigation Into The Volatility And Cointegration Of Emerging European Stock Markets, Anna Golab
Theses: Doctorates and Masters
This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability.
The majority of prior studies on stock market comovements and integration have concentrated on mature developed markets or the advanced emerging markets of the Czech Republic, …
Introduction To Special Issue: Globalisation And Economic Integration In East Asia, Paul De Grauwe, Zhaoyong Zhang
Introduction To Special Issue: Globalisation And Economic Integration In East Asia, Paul De Grauwe, Zhaoyong Zhang
Research outputs 2011
No abstract provided.
How Short And Long Term Interdependencies Have Changed Due To The Global Financial Crisis, Lungowe Andala
How Short And Long Term Interdependencies Have Changed Due To The Global Financial Crisis, Lungowe Andala
Theses : Honours
This study investigates how short and long term interdependencies have changed among ten countries grouped into countries from the same region (close geographical proximity) as a result of the recent Global Financial Crisis. A number of econometrics methodologies are employed in doing the analysis. Johansen's cointegration methodology is carried out to assess whether the stock markets have long run interdependencies and whether these interdependencies have changed as a result of the Global Financial Crisis. For the stock markets not cointegrated Granger Causality is carried out to analyze short run interdependencies between pairs of stock markets. Furthermore, generalized Impulse Response Function …
Exchange Rate Pass Through Into Domestic Prices In Mainland China, Xiangyu Zhang
Exchange Rate Pass Through Into Domestic Prices In Mainland China, Xiangyu Zhang
Theses : Honours
The present study sets up an empirical framework to study the exchange rate pass through (ERPT) issue in China's domestic markets, within the Chinese economic reform period from 1978 till present. The results show a relative low degree of pass-through to consumer and retail prices, but high degree of pass-through to producer and purchasing prices. It suggests that the degree of ERPT tends to diminish along the price chain. In addition, the results also show an increasing trend of the degree of ERPT in recent years. The speed of price reaction to exchange rate shocks may be quicker in recent …
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
Research outputs pre 2011
There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …
Compatibility Of A Western Systemic Approach For Handling Complex, Pluralist And Coercive Problems In Developing Countries: A Case Study Of Micro Satellite Development In Indonesia, Alexander Sudibyo
Theses: Doctorates and Masters
In this era of globalization, there has been much western investment in the eastern world, increasing the number of large projects financed by internal and foreign investments. It was thought a challenging proposition to investigate whether systemic approaches could be used in eastern developing countries that are in transition between Toffler’s first (agricultural focused) and second (industrial centered) waves of economic development.