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Capital Markets Review

1993 - 2022

Current editor(s): Hooy Chee Wooi

From Malaysian Finance Association
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Volume 30, issue 1, 2022

The Effects of Market Strength, Information Asymmetry, and Industrial Characteristics on Malaysian Firms’ CAR During COVID-19 Pandemic pp. 1-15 Downloads
Saw Imm Song, Jennifer Tunga Janang, Erimalida Yazi and Fareiny Morni
Board Governance, Dividend Payout and Executive Compensation in Malaysian Firms pp. 17-35 Downloads
Ravichandran K. Subramaniam, Khakan Najaf and Murugasu Thangarajah
Impact of Governance Quality on Default Risk of Socially Responsible Firms: International Evidence pp. 37-49 Downloads
Bolaji Tunde Matemilola, Suleiman Ahmed Bhandari and Amin Noordin Bany-Ariffin
An Empirical Study on Co-Integration and Causality Among GCC Stock Markets pp. 51-64 Downloads
Vikram Mohite and Vibha Bhandari
Currency Carry Trades and Stock Market Returns in Africa Abstract: Research Question: Is there a causal link between African currency targeted carry trades and the returns of their stock market indices? What is the nature of return volatility in carry trades and stock markets, and does volatility spillover exist between the two series in Africa? Motivation: The interactive and dynamic relationship between currency carry trade returns and stock market returns has not been communicated in exactitude, especially in emerging and frontier markets of Africa. This study explores the causal link between African currency carry trades and stock market returns. It also explores the dynamic relationship and volatility spillover between the currency carry trades and stock market returns. Idea: The primary idea is that there is conclusive evidence on the empirical failure of the uncovered interest rate parity (UIP) condition, and currency carry trades, which are investment/trading strategies, seek to exploit this failure. Data: Data on prices of stock market indices, interbank interest rates, and exchange rates between the target currencies and funding currencies of weekly periodicity sourced from DataStream, Quantic EasyData, and the central banks of the sampled countries are used. Method/Tools: The vector autoregressive (VAR) - Granger causality framework and the dynamic conditional correlationgeneralised autoregressive conditional heteroskedasticity (DCC-GARCH) estimation technique were employed in this study. Findings: The study finds evidence of causality running from carry trades to stock markets in 22 out of the 28 currency pairs studied, but not causality from stock markets to carry trades. Traces of volatility spillover could only be observed from carry trades to stock markets in 10 out of the 28 currency pairs studied. We conclude that the African currency carry trades drive their stock markets, that the conditional correlations between currency carry trades and stock market returns are dynamic and time-varying, and that there is high degree of persistence in African return volatility. Contributions: This study has made significant contribution to our knowledge on currency carry trades in Africa’s emerging and frontier markets. It has shown the interactive and dynamic relationships that exist between currency carry trade returns and the returns of stock market indices pp. 65-83 Downloads
Godfred Aawaar, Eric Nkansah and Irrshad Kaseeram

Volume 29, issue 2, 2021

Stock Market Reaction to Political Regime Change in Malaysia pp. 1-11 Downloads
Fareiny Morni and Erimalida Yazi
Effects of Venture Capital, R&D, and Technology on IPO Underpricing: Evidence from China pp. 13-28 Downloads
Md. Jahidur Rahman and Mingyang Yang
Effect of Minimum Tick Size Policy on Price Efficiency and Execution Cost pp. 29-41 Downloads
Syamsul Idul Adha and A. Sakir
Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries pp. 43-54 Downloads
Muhammad Mar’i and Turgut Türsoy

Volume 29, issue 1, 2021

Interaction Impact of Monetary Policy and Inflation on Corporate Debt in Developing Nations pp. 1-16 Downloads
Bolaji Tunde Matemilola and Mohamed Azali
Does Entropy Index Explain the Determinant of Capital Market Integration in ASEAN? pp. 17-39 Downloads
Ignatius Roni Setyawan and Buddi Wibowo
ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis pp. 41-58 Downloads
Ritesh Patel
Noise Trader Risk-Evidence from China’s Stock Market pp. 59-72 Downloads
Liang Ye and Yeng-May Tan

Volume 28, issue 2, 2020

Performance of ProShares Triple-Leveraged Equity ETFs pp. 1-18 Downloads
Ramesh Adhikari, Humnath Panta and M. Kabir Hassan
Max-Effect in the Indonesian Market pp. 19-27 Downloads
Leo Julianto and Irwan Adi Ekaputra
Predicting SMEs Failure: Logistic Regression vs Artificial Neural Network Models pp. 29-41 Downloads
Juraini Zainol Abidin, Nur Adiana Hiau Abdullah and Karren Lee-Hwei Khaw
Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature pp. 43-71 Downloads
Muhammad Hanif and Ariba Sabah

Volume 28, issue 1, 2020

Corporate Governance in Australia: Share Repurchases under an Imputation Tax System pp. 1-23 Downloads
Hussein Abedi Shamsabadi, Byung S. Min, Imen Tebourbi and Mohammad Nourani
Do Heterogeneous Boards Promote Firm Innovation? Evidence from Malaysia pp. 25-47 Downloads
Sa’adiah Munir, Gary John Rangel, Ravichandran Subramaniam and Mohd. Zulkhairi bin Mustapha
We Bring You Capital and Job – Foreign Investment and Employment in Malaysia pp. 49-63 Downloads
Amy Dict-Weng Kwan and Tuck Cheong Tang
Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities pp. 65-76 Downloads
Pradita Nareswari and Sigit Wibowo

Volume 27, issue 2, 2019

Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework pp. 1-13 Downloads
Robert Faff
Institutional Quality, Tax Avoidance, and Analysts' Forecast: International Evidence pp. 15-35 Downloads
Akmalia M. Ariff and Khairul Anuar Kamarudin
An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities pp. 37-57 Downloads
Oi-Ping Chong, A.N. Bany-Ariffin, Annuar Md Nassir and Junaina Muhammad
The Effect of Financial Constraints on Audit Fees pp. 59-87 Downloads
Samuel Jebaraj Benjamin
Effect of Standardization of Trading Board Lot on Abnormal Liquidity in Malaysian Stock Market pp. 89-102 Downloads
Nor Elliany Hawa Ibrahim, Kamarun Nisham Taufil Mohd and Karren Lee-Hwei Khaw

Volume 27, issue 1, 2019

Financial Openness and Trade Openness Nexus: Empirical Evidence from Global Data pp. 1-18 Downloads
Xiao-Jun Goh, Wen-Qi Tong and Tuck Cheong Tang
Asymmetric Effects of Exchange Rates on Stock Prices in G7 Countries pp. 19-33 Downloads
Arash Habibi and Chin Lee
The Malaysian Domestic Bond Market: Growing into its Rightful Role pp. 34-52 Downloads
Meng-Wai Lee, Kim-Leng Goh and Michael Meow-Chung Yap
Exchange Rate Movements, Earnings Management and Stock Returns in Malaysia pp. 53-68 Downloads
Bao Quan Lock, Ei Yet Chu, Saw Imm Song and Lian Yin Lee

Volume 26, issue 2, 2018

Frequency and Sequence: Convertible Debt Issuance Announcement Effect on Stock Returns pp. 1-20 Downloads
Sri Noor Aishah Binti Mohd Salleh and Karren Lee-Hwei Khaw
Stock Market Liberalization Impact on Sectoral Stock Market Return in Malaysia pp. 21-31 Downloads
Subashini Maniam and Chin Lee
Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework pp. 32-52 Downloads
Jasman Tuyon and Zamri Ahmad
Do Firm Size and Value Affect Shareholder Returns in Malaysia? pp. 53-69 Downloads
Pheng Bian Ong, Mohamed Hisham Hanifa and Mansor Mohd Isa

Volume 26, issue 1, 2018

Political Uncertainty and the Greek Stock Market over the Period 2011-2015 pp. 1-18 Downloads
Gerasimos G. Rompotis
Interaction Effects of Country-Level Governance Quality and Debt on Stock Returns in Developing Nations pp. 19-35 Downloads
Bolaji Tunde Matemilola, Bany-Ariffin A. N. and Annuar Md. Nassir
The Role of Country-Level Differences in Influencing ASEAN Firms’ Cross-Border Mergers and Acquisitions (CBMAs) Success pp. 36-55 Downloads
Nurhazrina Mat Rahim and Ruhani Hj. Ali
The Relative Importance of Cash Flow News and Discount Rate News at Driving Stock Price Change pp. 56-72 Downloads
Mohsen Jafarian, Fauzias Mat Nor and Izani Ibrahim

Volume 25, issue 2, 2017

Investigation of Herding Behaviour in Developed and Developing Countries: Does Country Governance Factor Matters? pp. 1-14 Downloads
Ahmad Fawwaz Mohd Nasarudin, Bany Ariffin Amin Noordin, Siong Hook Law and Mohd Hisham Yahya
Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach pp. 15-31 Downloads
Gary John Rangel and Jason Wei Jian Ng
The Determinants of Financial Development in the Republic of Yemen: Evidence from the Principal Components Approach pp. 32-48 Downloads
Ramez Badeeb and Hooi Hooi Lean
Dynamic Linkages between Newly Developed Islamic Equity Style Indices: Is Growth Style More Influential Than Value Style? pp. 49-64 Downloads
Shahrin Saaid Shaharuddin, Wee Yeap Lau and Tien-Ming Yip

Volume 25, issue 1, 2017

Substantial Shareholders and Their Trading Behaviour around Lock-Up Expiry: Evidence from Emerging Markets pp. 1-18 Downloads
Abdolhossein Zameni and Othman Yong
Does Interest Rate Still Matter in Determining Exchange Rate? pp. 19-25 Downloads
Wai Mun Har, Ai-Lian Tan, Chong-Heng Lim and Chai-Thing Tan
Momentum and Investor Sentiment: Evidence from Asian Stock Markets pp. 26-42 Downloads
Shangkari V. Anusakumar and Ruhani Ali
The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market pp. 43-62 Downloads
You-How Go and Wee Yeap Lau

Volume 24, issue 2, 2016

The Performance of Government-Linked Companies in Malaysia pp. 1-13 Downloads
Mansor Isa and Siew-Peng Lee

Volume 24, issue 1, 2016

Does Manager’s Perceived Competition Affect the Capital Structure Decisions of Malaysian Firms? A Text Mining Approach on the Chairman’s Statement pp. 1-15 Downloads
Hanandewa and Fauzias Mat Nor
Effect of Geographical Diversification on Informational Efficiency in Emerging Countries pp. 16-37 Downloads
Suan Poh and Chee-Wooi Hooy
Portfolio Diversification Strategy in the Malaysian Stock Market pp. 38-67 Downloads
Raymond Leh Bin Ling and Jeng Yuan Chia
A Survey of Literature on Islamic Equity Style Investing and its Applications pp. 68-83 Downloads
Shahrin Saaid Shaharuddin, Wee Yeap Lau and Rubi Ahmad
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