Kasim Mansur

The Efficient Market Hypothesis Revisited: Evidence From The Five Small Open Asean Stock Markets

The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This paper investigates the stock prices behavior of five ASEAN (Association of Southeast Asian Nations) countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand, for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing nonlinearity and non-stationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are a non-linear series and are characterized by a unit root process, consistent with the EMH. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore follow a non-linear series, however, stock price indices are stationary processes that are inconsistent with the EMH.

EXTERNAL SHOCKS, STRUCTURAL BREAKS AND UNEMPLOYMENT HYSTERESIS IN SELECTED ASIAN COUNTRIES

This paper re-examines the hypothesis of unemployment hysteresis using panel data for 11 Asian countries for the period from 1980 to 2008. This study employs a variety of panel data unit root tests recently advanced by Bai and Ng (2004), Pesaran (2007) and Chang and Song (2009). The advantage of these tests is that they are able to exploit the cross-section variations of the series. In addition to these tests, a new powerful panel stationarity test proposed by Carrion-i-Silvestre et al. (2005) is applied which exploits the cross-section variations of the series and also allows for different numbers of endogenous breakpoints in the series. Our findings stress the importance of accounting exogenous shocks in the series and provide stronger evidence against the hypothesis of unemployment hysteresis for the countries analyzed. We also discover critical economic affairs which may cause the unemployment rates to fluctuate significantly. Policy implications are proposed through our observations.

Entrepreneurial capability (EC) environment in ASEAN-05 emerging economies: An empirical approach

Purpose The entrepreneurial capability (EC) environment refers to the general social and economic settings of a given local/regional entrepreneurship environment. The primary purpose of this study is to uncover key indicators of the EC milieu and test these components empirically within the context of the Association of South East Asian Nations (ASEAN)-5 economies to elucidate the current state of their EC environments, at the regional and national levels. To this end, the aim of this study is twofold. First, this work endeavors to explicate the determinants of EC, with aims of elucidating its association to commercial opportunities in (ASEAN)-5 economies, namely, Indonesia, Malaysia, the Philippines, Singapore and Thailand. Next, this study applies the developed theory, including the identified determinants of EC to empirically test the efficiency and imperative coefficients of variables that have an impact on perceived entrepreneurial capabilities within a given environment. Design/methodology/approach This research applies two frontier models, namely, the consistent estimation of fixed-effects and linear transformation stochastic frontier models, to assess the coefficients of significant EC variables for the panel sample. Data corresponding to the assessed variables were retrieved from the databases of the Global Entrepreneurship Monitor (GEM) – 2016 and the World Competitiveness Yearbook (WCY) – 2016, for the period, 2010-2016. Findings The attained results suggest that factors corresponding to the variables “Entrepreneurship as a good career choice” and “perceived opportunities” have played a significantly positive role on the EC environment of ASEAN 05, although findings suggest both factors may still be improved upon. Conversely, the “fear of failure rate” factor was shown to have exerted a negative impact on the efficiency of the EC environment of ASEAN 05. Other important variables – such as intellectual property rights, university education and knowledge transfer rate – were shown to generate a positive impact on the EC environment of these economies. Originality/value This study makes an important contribution to the entrepreneurship literature and can stimulate policymakers to rethink the EC settings of ASEAN-05 in their pursuit of an innovation-driven region.