Hooi Hooi Lean

INTELLECTUAL CAPITAL PERFORMANCE OF FINANCIAL INSTITUTIONS IN MALAYSIA

Purpose – This paper aims to examine the intellectual capital performance and its relationship with financial performance of financial institutions in Malaysia for the period 1999 to 2007.Design/methodology/approach – The value added intellectual coefficient (VAICTM) by Pulic is used.Findings – The paper reveals that VAIC and ROA are positively related among Malaysias finance sector. The results also show that the three components of VAIC are associated with profitability with the explanatory power of 71.6 per cent.Research limitations/implications – This study does not cover all finance companies in Malaysia due to limited data. Future study should therefore further improve on the aspect of coverage.Practical implications – The findings may serve as a useful input for bankers to apply knowledge management in their institutions. Furthermore, the financial institutions may have more definite understanding of the composition of intellectual capital and evaluate its developing tendency periodically.Original...

The influence of economic growth, urbanization, trade openness, financial development, and renewable energy on pollution in Europe

This study investigates the influence of disaggregated renewable electricity production by source on CO2 emission in 23 selected European countries for the period of 1990–2013. Panel data techniques were used in examining the relationships. The Pedroni cointegration results indicated that CO2 emission, GDP growth, urbanization, financial development, and renewable electricity production by source were cointegrated. Moreover, the fully modified ordinary least-square results revealed that GDP growth, urbanization, and financial development increase CO2 emission in the long run, while trade openness reduces it. Furthermore, renewable electricity generated from combustible renewables and waste, hydroelectricity, and nuclear power have a negative long-run effect on CO2 emission, while renewable electricity generated from solar power and wind power is insignificant. The VECM Granger causality also revealed that GDP growth is the only variable that has causal effects on CO2 emission in all the investigated models, while the rest of the variables have causal effects on CO2 emission in only a few models. A number of policy recommendations were provided for the European countries.

Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis

We analyse the performance characteristics of sustainable investments over the period 2004 to 2013. Our unconditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indices for the global and three regional markets, experience lower Sharpe ratios than their corresponding conventional portfolios. The conditional analysis indicates some evidence of significant effects of the recent crisis on sustainable investment return and volatility, while the US policy uncertainty only affects returns in two regions (Asia Pacific and North America) during the crisis period. We finally find a relative decoupling of sustainable investing from the overall market system during crisis times.

Asian financial crisis, avian flu and terrorist threats: are shocks to Malaysian tourist arrivals permanent or transitory?

International visitor arrivals from Malaysias 10 major source markets are examined using Lagrange Multiplier (LM) unit root tests with one and two structural breaks to ascertain whether shocks to the time path of tourist arrivals are permanent or transitory. The LM unit root test with one break is able to reject the unit root null for between 60% of source markets where the break is specified as in the intercept and 90% of source markets where the break is specified as in the intercept and slope. The LM unit root test with two breaks is able to reject the unit root null for all source markets, irrespective of how the break is specified. This result suggests that the effects of shocks on the growth path of tourist arrivals to Malaysia from its major markets are only transitory and that Malaysias tourist sector is sustainable in the long run. Although the effects of shocks are not permanent, we do find that following shocks the growth in tourist arrivals from Malaysias source markets has generally slowed. This result suggests there is a need to reduce the negative effects of slower growth in the recovery phase.

Will Inflation Increase Crime Rate? New Evidence from Bounds and Modified Wald Tests

This paper employs the modified Wald (MWALD) causality test to re-examine the relationship between crime and its determinants (inflation and unemployment) in the United States from 1960 to 2005. Bounds test approach is employed to investigate the existence of a long-run relationship. The empirical evidence suggests that inflation and crime rates are cointegrated with a positive relationship. Moreover, the causal link is from inflation and unemployment to crime.

The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions

Testing for stochastic dominance among distributions is an important issue in the study of asset management, income inequality, and market efficiency. This paper conducts Monte Carlo simulations to examine the sizes and powers of several commonly used stochastic dominance tests when the underlying distributions are correlated or heteroskedastic. Our Monte Carlo study shows that the test developed by Davidson and Duclos [R. Davidson, J.Y. Duclos, Statistical inference for stochastic dominance and for the measurement of poverty and inequality, Econometrica 68 (6) (2000) 1435-1464] has better size and power performances than two alternative tests developed by Kaur et al. [A. Kaur, B.L.S.P. Rao, H. Singh, Testing for second order stochastic dominance of two distributions, Econ. Theory 10 (1994) 849-866] and Anderson [G. Anderson, Nonparametric tests of stochastic dominance in income distributions, Econometrica 64 (1996) 1183-1193]. In addition, we find that when the underlying distributions are heteroskedastic, both the size and power of the test developed by Davidson and Duclos [R. Davidson, J.Y. Duclos, Statistical inference for stochastic dominance and for the measurement of poverty and inequality, Econometrica 68 (6) (2000) 1435-1464] are superior to those of the two alternative tests.

Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks

This paper applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to examine the random walk hypothesis for stock prices in eight Asian countries. The results from the univariate LM unit root tests and panel LM unit root test with one structural break suggest that stock prices in each country is characterized by a random walk, but the findings from the panel LM unit root test with two structural breaks suggest that stock prices in the eight countries are mean reverting.

Are Malaysia's tourism markets converging? Evidence from univariate and panel unit root tests with structural breaks.

Over the past 25 years, the tourism sector has emerged as an important source of foreign exchange for Malaysia. This paper applies univariate and panel Lagrange multiplier (LM) unit root tests with one and two structural breaks to examine whether Malaysias ten most important tourist markets are converging. The study finds strong evidence that Malaysias tourism markets are converging. Based on these findings, implications are drawn about the success of the marketing strategies of Tourism Malaysia and the prospects for the continuing contribution of tourism to the Malaysian economy.

Regional House Prices and the Ripple Effect in Malaysia

This paper applies univariate and panel Lagrange multiplier (LM) unit root tests with one and two structural breaks to the ratio of the regional to national house price to examine the ripple effect for five different housing price indices (aggregate housing, detached housing, semi-detached housing, terrace housing and high-rise housing) across 14 regional locations in Malaysia. Segmentation is restricted to a small group of states across most housing types for which there is no long-run relationship with the Malaysian average. When all housing types are taken together, evidence of a ripple effect is generally found from the most developed states to the less developed states of Malaysia. While overall rates of conversion to the long-run equilibrium are consistent with a low level of persistence, there is some evidence of regional clusters based on similar speeds of adjustment in different parts of the country.

Exchange Rate and Stock Price Interaction in Major Asian Markets: Evidence for Individual Countries and Panels Allowing for Structural Breaks

This article examines the relationship between exchange rates and stock prices in eight Asian countries. We test for cointegration and Granger causality for both individual countries using the Gregory and Hansen cointegration test that accommodates a structural break in the cointegrating vector, and for a panel using the Westerlund panel Lagrange multiplier (LM) cointegration test that allows for multiple structural breaks in the level of the individual cointegrating equations. Our results for individual countries suggest that the only country for which exchange rates and stock prices are cointegrated over the entire period is Korea where there is a weak long-run unidirectional Granger causality running from exchange rates to stock prices. Employing the panel LM cointegration test with multiple structural breaks, we find that exchange rates and stock prices are not cointegrated. We conclude that for the eight Asian countries, exchange rates and stock prices primarily have only a contemporaneous effect on each other that is reflected in the short-run intertemporal comovements between these financial variables.