Abdul Halim Mohd Nawawi

Does Malaysian REITs outperform the equity market

The objective of this study is to evaluate the overall performance of REITs in Malaysia against Kuala Lumpur Composite Index (KLCI) by using Sharpe and Treynor Ratios, Jensens Capital Asset Pricing Model (CAPM), Fama-French 3Factor CAPM as well as Carhart 4-Factor CAPM. The data consist of 14 REITs in Malaysia while the risk free rate is represented by the yield on the 3-month Treasury bills. The alpha values obtained from each evaluation model are then regressed against expense ratio, net asset value, management years of tenure and fund turnover to evaluate the relationship between risk-adjusted performance and fund characteristics. The result indicates that Malaysian REITs outperform the market index. The positive alpha values under CAPM methods denote that investors are earning a significant return after accounting for market risk. As for fund characteristics, the findings show that the risk-adjusted return is negatively related to net-asset value (fund size) and also turnover but not related to expenses and management tenure.

Causality linkages between USA and Asian Islamic stock markets

In earlier studies on co-movement of stock markets focused mainly on conventional equity markets. In contrast to previous studies, this research investigated on co-movement of Islamic equity markets. Emphasis was placed on two questions: do the Islamic stock markets in Asia and US move together and what will be the directions of the movements? The data are obtained from Morgan Stanley Capital International (MSCI) of daily indices of sixteen equity markets, for the period between August 2004 to December 2008. The study uses correlation analysis, Augmented Dickey Fuller, unit root test and Granger causality test. The results revealed: (1) more than half of the Islamic equity markets in Asia and US are significantly and positively correlated, implying there are potentials for diversification especially those markets that have low correlation values, (2) the unit root test indicated that Islamic equity markets are stationary, and (3) Granger causality indicated that 23 percent of the Islamic equity markets of Asia and US are bidirectional causality, 53 percent are unidirectional causality and 24 percent have showed no causality.

Impact of Regulated Short Sale: Study on Malaysia Stocks’ Liquidity and Volatility☆

Abstract Short sale has been mostly associated with decrease in the equity markets volatility, and increase in the equity markets liquidity, this paper examines the volatility and the liquidity of the 55 stocks that are eligible for regulated short sale (RSS) before and after the reintroduction of RSS. First, this study utilizes both the non-parametric Wilcoxon Signed Rank test, and the GARCH (1,1) model in order to analyze the impact of the reintroduction of RSS on the 55 stocks’ volatility. Second, this study also utilizes the non-parametric Wilcoxon Signed Rank test and the bid-ask spread to determine whether the reintroduction of RSS has any significant impact on the 55 stocks liquidity. The results show that the volatility and the liquidity of the 55 stocks significantly increase after the reintroduction of RSS. In addition, through the GARCH (1,1) model, it was found that the market is more efficient after the reintroduction of RSS due to increase in the impact of recent news and decrease in the impact old news on the 55 stocks’ volatility.

Socioeconomic Study of Arenga pinnata Smallholders in Malaysia

Socioeconomic in this study refers to the way of living of sugar palm farmers, and this includes their incomes from sugar palm activities. Social is defined as something that is closely related to society, culture, and demographic, while economic relates to individual’s financial status. Full utilization of yield contributes to farmers’ incomes since it became a valuable product. This study was conducted at Benta, Lipis, in Pahang within these areas: Kg. Peruang, Kg. Peruang Lama, Kg. Kekabu, Kg. Tualang Padang, and Kg. Chat. Investigation research study was done by interviewing farmers which focused on five elements. Findings showed that sap yield was being fully utilized and became the main source of income for most farmers. For farmers who were planting palm, their practices of distance with triangular method were similar with practices in oil palm planting, but both differed in planting density. Most of these practices were applied in the pre- and postharvest activities. These practices were based on farmers’ indigenous knowledge, and any differences were depending on the time or the amount of the used variables. On the other hand, the products were being sold either directly to consumers or through intermediaries.

Transparency initiatives (TI) of construction industry of Malaysia

Transparency is one of the practical measures taken to curtail corruption. It is about the sharing of information of government decisions and activities, good record management and access to information. Whereas, integrity provides the basis for transparency and accountability since integrity is referred to as honesty and trustworthiness in the discharge of official duties, serving as antithesis to corruption. Corruption is a fiduciary crime that is believed to slowly penetrate the construction sectors in countries across the globe. Hence, the aim of this paper is to investigate transparency initiatives of construction industry by identifying various strategies to eradicate corruption in the Malaysian construction industry. The methodology used for this research is based on qualitative research technique and the methods are two-folds: (1) preliminary interview, and (2) a well-planned brainstorming workshop. The findings revealed that nine (9) initiatives were taken based on the notion of integrity that can be divided into behavioural and technical issues. These are: Code of Ethics (CoE) for contractors, Integrity program, Bina Integriti journal, Code of Business Ethics for Construction Industry (for SMEs), CIDB reporting and sanctioning structure, Core Values, Legal and Enforcement, Integrity Pacts (IP), and Integrity Role Model. These initiatives are regarded as fundamental efforts in educating and creating awareness to the industry players despite a more drastic strategy could be considered by the construction industry for a more significant results.

Financial integration in ASEAN+3 bond markets: Evidence in financial crisis

The objective of this study is to investigate whether the ASEAN, ASEAN+3 and US markets are integrated or segmented. The countries that are included in the sample are five ASEAN countries comprise Malaysia, Thailand, Singapore, Indonesia, and Philippines plus Japan, Korea, China, Taiwan, and Hong Kong and US countries. In this study, the data will be divided into two financial crises which are Asian financial crisis and global financial crisis which each is divided into three sub-periods namely the pre-crisis period, crisis period, and post crisis period. Methods of this study are correlation analysis, unit root test, Johansens cointegration test and Granger causality test. The findings show that government bond yield markets are more related during post crisis period as compared to pre-crisis period for both Asian financial crisis and global financial crisis. The government bond markets are found to be less cointegrated among themselves. In terms of causality test, it can be argued that global crisis period seems to be more significant causality related as compared to Asian crisis period. There is a possibility that the government bond yield markets are more related in the later years as compared to the earlier years. Further, it can be argued that for markets that are less cointegrated, investors can enjoy long-run international diversification benefits by investing across these markets because they do not have a tendency to move together in the long run.

Evaluation on international unit trust funds: A case for Malaysia

As an investor, the most important thing when invest in unit trust funds is to achieve higher return with low risk. To do so, such method has been created by fund managers such as Sharpe measure [18], Treynor measure [20] and Jensen Alpha measure [11]. Using such methods create problem in understanding and misleading rankings. Modigliani and Modigliani [13] suggest a ranking procedure by providing best portfolio after return has been adjusted for risk. This study uses Modigliani and Modigliani model to provide the ranking procedure in determining “best” portfolio for Malaysian international unit trust funds. The leverage factor provides guidelines for strategic investment decisions. Further, it is found MSCI EAFE index is the best benchmark for international investment as compared to FBM KLCI and S&P 500 index.