Imbarine Bujang

Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference

Dealing with stationarity remains an unsolved problem. Some of the time series data, especially crude palm oil (CPO) prices persist towards nonstationarity in the long-run data. This dilemma forces the researchers to conduct first-order difference. The basic idea is that to obtain the stationary data that is considered as a good strategy to overcome the nonstationary counterparts. An opportune remark as it is, this proxy may lead to overdifference. The CPO prices trend elements have not been attenuated but nearly annihilated. Therefore, this paper presents the usefulness of autoregressive fractionally integrated moving average (ARFIMA) model as the solution towards the nonstationary persistency of CPO prices in the long-run data. In this study, we employed daily historical Free-on-Board CPO prices in Malaysia. A comparison was made between the ARFIMA over the existing autoregressive-integrated moving average (ARIMA) model. Here, we employed three statistical evaluation criteria in order to measure the performance of the applied models. The general conclusion that can be derived from this paper is that the usefulness of the ARFIMA model outperformed the existing ARIMA model.

Tax Structure and Economic Indicators in Developing and High-income OECD Countries: Panel Cointegration Analysis☆

Abstract This paper investigates the long-run relationship between tax structure and economic growth and the other economic indicators via panel unit root tests and panel cointegration analysis. Panel unit root tests are carried out to determine the order of integration of panel variables. In order to find out the long-run cointegration relationship, we employ the Kao residual cointegration test. The results of panel cointegration test reveal that there is no long-run cointegrating relationship between tax structure and both of GDP and gross saving (SAVING) in developing countries. Yet, there is an evidence of a strong cointegrating relationship among tax structure and international trades activities. Conversely, for high-income OECD countries, Kaos test suggests that there is a long-run cointegrating relationship between components of tax revenue and GDP and gross saving, while there is no evidence for imported and exported of goods and services (international trade).

The Impact and Consequences of Tax Revenues' Components on Economic Indicators: Evidence from Panel Groups Data

© 2012 Hakim and Bujang, licensee InTech. This is an open access chapter distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/3.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The Impact and Consequences of Tax Revenues’ Components on Economic Indicators: Evidence from Panel Groups Data

Shock and Volatility Transmission Between Oil Prices and Stock Returns: Case of Oil-Importing and Oil-Exporting Countries

This study examines shock and volatility transmission between oil prices and stock returns in oil-importing and oil-exporting countries, including the USA, China, Saudi Arabia, Malaysia and a Brent oil market. We used daily data starting from January 1, 2004, until December 31, 2014. By using a bivariate vector autoregressive–generalised autoregressive conditional heteroscedasticity (VAR-GARCH) model, the empirical results suggest that there is a unidirectional shock transmission from oil to stock and bidirectional volatility transmission between oil prices and stock returns in the Standard and Poor 500 (S&P 500). Additionally, bidirectional shock and volatility transmission was discovered between oil prices and stock returns in the Tadawul All Share Index (TASI) and FTSE Bursa Malaysia KLCI (FBMKLCI). Nevertheless, there is no evidence found in the Shanghai Stock Exchange (SSE) Composite. The empirical results also suggest that the transmissions appear more often from oil to stock markets.

The Impact of Reducing Tick Size on Malaysian’s Stock Market Liquidity

This paper provides a unique opportunity to investigate the impact reduction in tick size towards Malaysian’s stock market liquidity by utilising spread and trading volume as proxies to market liquidity. The main function of tick size it is a tool to improvise the market liquidity, it is a tool to beautify the market liquidity. Using the components of FTSE-BMKLCI and closing daily data compiled starting from the implementation new tick size regime, from 3 August 2009 until the end of trading day 31 December 2014, this study found that, with the reduction in tick size, it reduces the spread significantly and there is a significant impact on trading volume.

Revisiting Exchange Rate Exposure: A Case Study of Malaysia and Singapore

This paper investigates the relationship of foreign exchange rate movements on national market returns in Malaysia and Singapore using multi-bilateral exchange rates Euro (EUR), Japanese Yen (JPY) and Chinese Renminbi (CNY). The contemporaneous, asymmetric and lagged exchange exposure framework is used to investigate the nature of these exchange rate movements towards national market returns. Our study results show that both Malaysia and Singapore market returns are exposed to those currencies. The relationship of JPY and CNY exchange rate movements towards national market returns is contemporaneous in both countries. Meanwhile, EUR has a contemporaneous effect on national market returns in Malaysia but a lagged 1-month relationship in Singapore. Only JPY exchange rate returns have significant asymmetric effects on national market returns in Singapore. Future research should be conducted at industry and firm levels for more countries to better understand the stylised exchange rate exposure for mitigation purposes. Choice of the market index should also be taken into consideration when investigating the exchange rate exposure at the country level.

Global Digital Divide: Inter-regional Study on the Impact of ICT Diffusion on Economic Growth

This paper investigates the impact of ICT on economic growth as measured by GDP growth, on 149 countries divided into 5 regions—Africa, America, Arab, Asia and Europe, over a 9-year period from 2006 to 2014. Using pooled OLS and generalized method of moments (GMM) estimation methods, findings from dynamic panel data models revealed that ICT has significant impact on economic growth particularly in regions such as America, Asia and Europe. It is still unclear whether or not regions such as Africa and Arab would benefit from diffusion of ICT; nevertheless, fixed broadband appears promising for Africa’s future economic progress, whereas significance of fixed telephone reflects the importance of telecommunication networks in the Arab region.

Exchange Rate Exposure: Does International Involvement Matter?

This paper investigates the effect of exchange rate movements on large non-financial firms’ share returns in Malaysia and Singapore using multi-bilateral exchange rates namely the Euro (EUR), US Dollar (USD) and Chinese Renminbi (CNY). Our empirical results show that only a few firms in both Malaysia and Singapore are exposed to exchange rate movements. More firms in Singapore are exposed to exchange rate movements than Malaysia, especially to EUR and CNY. Surprisingly, only three of the large non-financial firms in Singapore are exposed to USD and none in Malaysia. In both Malaysia and Singapore, the majority of the exposed firms have a high level of foreign sales ratio (more than 25%), but in the case of Singapore, it seems that a firm with a low level of foreign involvement (<5%) is also exposed to the studied currencies. The results disclosed that the majority of exposed Singapore firms would mainly benefit from CNY appreciation and USD depreciation, meanwhile Malaysian firms benefited from CNY appreciation and EUR depreciation. The insignificant exchange rate movements in most firms imply that these large firms mitigate the effect of the exchange rate movements through hedging programmes. Future research should include more firms and countries with different levels of market capitalisation to better understand the stylised effect of exchange rate exposure in firm-level analysis.

The Effect of Religiosity, Financial Knowledge, and Financial Behaviour on Financial Distress Among Undergraduate Students

This paper aims to make a specific contribution relating to the determinants of financial distress among undergraduate students in Malaysia. Therefore, this paper tends to assess the relationship between religiosity, financial knowledge, and financial behaviour on financial distress to examine whether public universities’ students are equipped with sufficient financial knowledge, depth of religiosity, and right financial behaviour to face this issue. First, the literature on personal financial distress is reviewed with a view to the identification of useful models and concepts. The small number of reference especially on personal financial distress in that literature is noted, especially here in Malaysia. The debate will focus issues on the influence of religiosity, financial knowledge & financial behaviour towards financial distress among undergrad students. Finally, a proposed theoretical framework is recommended to examine on how religiosity, financial knowledge, and financial behaviour influence personal financial distress. We anticipate that behavioural traits will emerge as having a stronger impact on the incidence of financial distress than religiosity or financial knowledge. We expect the results will raise questions about whether policy can be oriented towards improving financial habits and mitigating the impact of behavioural characteristics on personal finances. It presents an ideal approach whereby policymakers are confronted with the latest research findings concerning the determinants of financial distress, how they can be applied, how the policymakers can attempt to increase and improve the financial knowledge and inculcate positive financial behaviour in Malaysia through education. In return, it will permit researchers to study “cases” over time and to gain greater depth of knowledge concerning not only the presence of behavioural success-related traits, but also an understanding of how policymakers navigate the public universities’ students towards financial knowledge and eventually reduce financial distress by fine-tuning their levels of readiness.

Effect of Cash Holding Towards Firm’s Efficiency: Moderating Effect of Earning Quality

This conceptual paper attempts to assess the moderating effect of earning quality on the relation of cash holding towards the firm’s efficiency by sector in Malaysia. Failure in utilizing the cash within the firms may lead to the existence of agency conflict which later will cause the firm value to drop. This situation later will cause the manager to change the figures of earning in the financial report throughout the reporting period that will lead to poor earning quality. The earning quality will influence the efficiency of the firms as the financial report will reflect the actual economic activity. Changes in financial report may lead to the misallocation of resources and directly affect the efficiency of the firms. Generally, the findings have the important information that can be used in proposing the new policy in managing the cash for each sector in Malaysia.