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Articles 1 - 6 of 6
Full-Text Articles in Business
Bank Stock Returns Under Money Supply Endogeneity: Empirical Evidence Using Panel Data, Zatul Badarudin, Mohamed Ariff, Ahmed Khalid
Bank Stock Returns Under Money Supply Endogeneity: Empirical Evidence Using Panel Data, Zatul Badarudin, Mohamed Ariff, Ahmed Khalid
Ahmed Khalid
There is as yet a study of money supply effect on the aggregate bank stock prices using modern money supply theories. Endogenous money theory suggests loans made by banks cause deposits, and, consequently, bank creates money supply. Resulting changes in bank’s loans and deposits affects bank stock returns: Also, consequent credit creations/reductions affect a bank’s profitability, thus stock prices. Whether money endogeneity is in fact the way the money supply behaves has also not yet been widely tested. Applying panel regression and generalized method of moments, this paper provides new evidence on this little explored relationship between endogenous money supply …
Was Financial Market Contagion The Source Of Economic Crisis In Asia? Evidence Using A Multivariate Var Model, Ahmed Khalid, Masahiro Kawai
Was Financial Market Contagion The Source Of Economic Crisis In Asia? Evidence Using A Multivariate Var Model, Ahmed Khalid, Masahiro Kawai
Ahmed Khalid
The episodes of financial crises in many parts of the world during the 1990s have sparked interest in identifying channels through which such crises spread from one country to another. Researchers have identified several factors that may have sparked and induced contagion. This study further extends the existing research by identifying and testing three financial market variables to trace the alleged origin and the subsequent path of the contagion during the 1997 Asian Crisis. Foreign exchange rates, stock market prices and interest rates are three main financial market indicators, representing the currency, stock and money markets, respectively. We use a …
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Ahmed Khalid
Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru
Ahmed Khalid
This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market indicators namely, the exchange rates, stock prices and interest rates. We construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we perform impulse response analysis by introducing a shock in each of the Russian market and observe the impact and duration of this shock on …
Testing Twin Deficits Hypothesis Using Vars And Variance Decomposition, Ahmad Zubaidi Baharumshah, Evan Lau, Ahmed M. Khalid
Testing Twin Deficits Hypothesis Using Vars And Variance Decomposition, Ahmad Zubaidi Baharumshah, Evan Lau, Ahmed M. Khalid
Ahmed Khalid
This paper examines the twin deficits hypothesis in the ASEAN countries. The major findings of this paper are the following. (1) Long run relationships are detected between budget and current account deficits. (2) The Keynesian view fits well for Thailand since the causality runs from budget deficit to current account deficit. For Indonesia, the causality runs in an opposite direction while the empirical results indicate that a bidirectional pattern of causality exists for Malaysia and the Philippines. (3) We also found support for an indirect causal relationship that runs from budget deficit to higher interest rates, and higher interest rates …
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru
Ahmed Khalid
Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …