Mohd Azmi Omar

Dynamic linkages among ASEAN‐5 emerging stock markets

Purpose – The purpose of this paper is to empirically explore market integration among five selected Association of Southeast Asian Nations (ASEAN) emerging markets (Malaysia, Thailand, Indonesia, the Philippines and Singapore) during the pre‐ and post‐1997 financial crisis periods.Design/methodology/approach – Employs two‐step estimation, cointegration and generalized method of moments (GMM).Findings – The study finds that the stock markets in the ASEAN region are cointegrated both during the pre‐ and post‐1997 financial crisis. However, the markets are moving towards a greater integration, particularly during the post‐1997 financial crisis. Finally, as measured by the error correction terms, except the emerging market of Indonesia, all other ASEAN markets appear to be the important bearers of short‐run adjustment to a shock in the long‐run equilibrium relationships in the region both during the pre‐ and post‐crisis periods.Research limitations/implications – The study only focuses on stock markets of th...

S-Rater: Data mining application in Islamic financial sector

Islamic finance and capital market is one of the fastest growing segments of international financial markets. Recent innovations in Islamic finance and capital market have changed the terrain of the landscape of the financial industry. One of them is Islamic securities which are known as Sukuk. The use of Sukuk as the alternative to the existing conventional bond, has become increasingly popular in the last few years. They are used as a means of raising government finance through sovereign Sukuk issues, and means through which companies raise funds by issuing corporate Sukuk. In addition, theoretically there should be some differences in rating methodologies for bond and Sukuk because these two instruments are different in nature. Thus, it is the aim of this study to identify the important determinants in Sukuk Rating using data mining approach. The final model is then implemented into web application, called S-Rater.

Asset Pricing and Volatility Modeling: The Case of Indonesia Stock Market

In determining the rate of return of stocks, many models have been introduced. Equilibrium models like APT and multifactor models have been used in calculating the level of risk and returns through portfolio formation. Since the development initiated by Markowitz, the empirical results of many researchers have produced different points of view related to stock return and risk relationship. This study aims to look at what factors that can be used as a basis to determine returns and at the same time to minimize the risk. As in previous research studies using the CAPM, APT and multifactor models, this study focuses on determining the combination of the most significant variables that determine portfolio stock returns in Indonesia. In addition to using the standard of beta estimates, this study also uses an estimate of volatility models. To obtain the best model, the first group of variables was selected through several test models of equilibrium. This allows the best model to only include several valid variables. The results show that the CAPM is not valid and that market capitalization variable can explain changes in the portfolio yield more than do other variables. The model of the APT shows that macroeconomic and market risk premium are significant in explaining changes in portfolio returns, except for the production index. Several fundamental factors of the multifactor models are also found to be significant variables, including rating, and that liquidity factor is still an investment benchmark in Indonesia. It is proven that the volume and frequency of trades are consistently significant in all test models. Apart from that, it is also found that investors in Indonesia are still passive and not comfortable with risk, and follow traditional pattern. The simulation results of this study indicate that beta is estimated using a standard similar to that estimated using ARCH beta (volatility modeling), and that both methods show the same conclusion. In addition, the portfolio simulation indicates that there is an effect of market capitalization.