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

Saw Imm Song, Jennifer Tunga Janang, Erimalida Yazi and Fareiny Morni

Board Governance, Dividend Payout and Executive Compensation in Malaysian Firms pp. 17-35

Ravichandran K. Subramaniam, Khakan Najaf and Murugasu Thangarajah

Impact of Governance Quality on Default Risk of Socially Responsible Firms: International Evidence pp. 37-49

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

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

Godfred Aawaar, Eric Nkansah and Irrshad Kaseeram

Volume 29, issue 2, 2021

Stock Market Reaction to Political Regime Change in Malaysia pp. 1-11

Fareiny Morni and Erimalida Yazi

Effects of Venture Capital, R&D, and Technology on IPO Underpricing: Evidence from China pp. 13-28

Md. Jahidur Rahman and Mingyang Yang

Effect of Minimum Tick Size Policy on Price Efficiency and Execution Cost pp. 29-41

Syamsul Idul Adha and A. Sakir

Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries pp. 43-54

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

Bolaji Tunde Matemilola and Mohamed Azali

Does Entropy Index Explain the Determinant of Capital Market Integration in ASEAN? pp. 17-39

Ignatius Roni Setyawan and Buddi Wibowo

ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis pp. 41-58

Ritesh Patel

Noise Trader Risk-Evidence from China’s Stock Market pp. 59-72

Liang Ye and Yeng-May Tan

Volume 28, issue 2, 2020

Performance of ProShares Triple-Leveraged Equity ETFs pp. 1-18

Ramesh Adhikari, Humnath Panta and M. Kabir Hassan

Max-Effect in the Indonesian Market pp. 19-27

Leo Julianto and Irwan Adi Ekaputra

Predicting SMEs Failure: Logistic Regression vs Artificial Neural Network Models pp. 29-41

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

Muhammad Hanif and Ariba Sabah

Volume 28, issue 1, 2020

Corporate Governance in Australia: Share Repurchases under an Imputation Tax System pp. 1-23

Hussein Abedi Shamsabadi, Byung S. Min, Imen Tebourbi and Mohammad Nourani

Do Heterogeneous Boards Promote Firm Innovation? Evidence from Malaysia pp. 25-47

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

Amy Dict-Weng Kwan and Tuck Cheong Tang

Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities pp. 65-76

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

Robert Faff

Institutional Quality, Tax Avoidance, and Analysts' Forecast: International Evidence pp. 15-35

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

Oi-Ping Chong, A.N. Bany-Ariffin, Annuar Md Nassir and Junaina Muhammad

The Effect of Financial Constraints on Audit Fees pp. 59-87

Samuel Jebaraj Benjamin

Effect of Standardization of Trading Board Lot on Abnormal Liquidity in Malaysian Stock Market pp. 89-102

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

Xiao-Jun Goh, Wen-Qi Tong and Tuck Cheong Tang

Asymmetric Effects of Exchange Rates on Stock Prices in G7 Countries pp. 19-33

Arash Habibi and Chin Lee

The Malaysian Domestic Bond Market: Growing into its Rightful Role pp. 34-52

Meng-Wai Lee, Kim-Leng Goh and Michael Meow-Chung Yap

Exchange Rate Movements, Earnings Management and Stock Returns in Malaysia pp. 53-68

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

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

Subashini Maniam and Chin Lee

Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework pp. 32-52

Jasman Tuyon and Zamri Ahmad

Do Firm Size and Value Affect Shareholder Returns in Malaysia? pp. 53-69

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

Gerasimos G. Rompotis

Interaction Effects of Country-Level Governance Quality and Debt on Stock Returns in Developing Nations pp. 19-35

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

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

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

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

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

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

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

Abdolhossein Zameni and Othman Yong

Does Interest Rate Still Matter in Determining Exchange Rate? pp. 19-25

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

Shangkari V. Anusakumar and Ruhani Ali

The Relationship of Crude Palm Oil Spot-Futures under Inflationary Expectation in Gold Market pp. 43-62

You-How Go and Wee Yeap Lau

Volume 24, issue 2, 2016

The Performance of Government-Linked Companies in Malaysia pp. 1-13

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

Hanandewa and Fauzias Mat Nor

Effect of Geographical Diversification on Informational Efficiency in Emerging Countries pp. 16-37

Suan Poh and Chee-Wooi Hooy

Portfolio Diversification Strategy in the Malaysian Stock Market pp. 38-67

Raymond Leh Bin Ling and Jeng Yuan Chia

A Survey of Literature on Islamic Equity Style Investing and its Applications pp. 68-83

Shahrin Saaid Shaharuddin, Wee Yeap Lau and Rubi Ahmad