Siti Aida Sheikh Hussin

Performance of low volatility shariah equities in Malaysia

Underperformance of Islamic equity investment encourages investors to look for new strategies such as low-volatility investing. The most popular advantage in low-volatility stocks picking approach claimed by global players, is the ability of volatile or bear market as a tool to reduce losses. The main objective of this paper is to investigate the performance of low-volatility Shariah stocks in Malaysia by using FTSE Bursa Malaysia Emas Shariah Index as the universe. The performance is evaluated using risk adjusted ratio, Sharpe and Treynor ratio over a 10-year period from 2006 to 2016. The results show that the low-volatility shariah stocks in Malaysia outperformed the conventional stock market in medium and long-term period. However the low-volatility Shariah stocks underperformed the FBM Emas Shariah Index for all period of study. The analysis also suggest that in long-term period, Sharpe Ratio of low-volatility equity has a significant lower unsystematic risk. The Sharp Ratio for long-term period is the highest among the quintile portfolio. Sharpe Ratio of 0.01 indicates that the low-volatility has earned an excess return over the risk free rate 0.01 the level of risk that it adds. However, short-term and medium-term show negative Sharpe Ratio for all quintile portfolio indicate that these portfolios earn a negative excess return over the risk free rate of every 1% of risk that it adds.Underperformance of Islamic equity investment encourages investors to look for new strategies such as low-volatility investing. The most popular advantage in low-volatility stocks picking approach claimed by global players, is the ability of volatile or bear market as a tool to reduce losses. The main objective of this paper is to investigate the performance of low-volatility Shariah stocks in Malaysia by using FTSE Bursa Malaysia Emas Shariah Index as the universe. The performance is evaluated using risk adjusted ratio, Sharpe and Treynor ratio over a 10-year period from 2006 to 2016. The results show that the low-volatility shariah stocks in Malaysia outperformed the conventional stock market in medium and long-term period. However the low-volatility Shariah stocks underperformed the FBM Emas Shariah Index for all period of study. The analysis also suggest that in long-term period, Sharpe Ratio of low-volatility equity has a significant lower unsystematic risk. The Sharp Ratio for long-term period is th...

Investigating the effect of non-performing loans on technical efficiency in Malaysian banking sector

This study investigates the issues of non-performing loans (NPL) on technical efficiency in the Malaysian banking sector. This study aims to estimate the technical efficiency of banking performance in Malaysia and also to determine the effect of non-performing loans on bank efficiency in Malaysia. The technical efficiency was estimated using the Slack-based measure approach while the Tobit regression model is employed to determine the effect of NPL on bank efficiency. The results indicate that the technical efficiency score of commercial foreign banks is better than commercial domestic banks, while the Tobit regression results show that non-performing loans give negative and statistically significant impact to commercial domestic banks.This study investigates the issues of non-performing loans (NPL) on technical efficiency in the Malaysian banking sector. This study aims to estimate the technical efficiency of banking performance in Malaysia and also to determine the effect of non-performing loans on bank efficiency in Malaysia. The technical efficiency was estimated using the Slack-based measure approach while the Tobit regression model is employed to determine the effect of NPL on bank efficiency. The results indicate that the technical efficiency score of commercial foreign banks is better than commercial domestic banks, while the Tobit regression results show that non-performing loans give negative and statistically significant impact to commercial domestic banks.

Multi-dimensional flood vulnerability assessment using data envelopment analysis

Malaysia has been greatly impacted by flood during monsoon seasons. Even though flood prone areas are well identified, assessment on the vulnerability of the disaster is lacking. Assessment of flood vulnerability, defined as the potential for loss when a disaster occurs, is addressed in this paper. The focus is on the development of flood vulnerability measurement in 11 states in Peninsular Malaysia using a non-parametric approach of Data Envelopment Analysis. Scores for three dimensions of flood vulnerability (Population Vulnerability, Social Vulnerability and Biophysical) were calculated using secondary data of selected input and output variables across an 11-year period from 2004 to 2014. The results showed that Johor and Pahang were the most vulnerable to flood in terms of Population Vulnerability, followed by Kelantan, the most vulnerable to flood in terms of Social Vulnerability and Kedah, Pahang and Terengganu were the most vulnerable to flood in terms of Biophysical Vulnerability among the eleven ...

Performance comparison of Islamic and commercial banks in Malaysia

The steady growth in the size and increase in the number of Islamic banks show that the Islamic banking system is considered as an alternative to the conventional banking system. Due to this, comparisons in term of performance measurements and evaluation of the financial health for both type of banks are essential. The main purpose of this study is to analyse the differences between Islamic and commercial banks performance. Five years secondary data were collected from the annual report for each bank. Return on Asset ratio is chosen as the dependent variable, while capital adequacy, asset quality, management quality, earning, liquidity and sensitivity to market risk (CAMELS) are the independent variables. Descriptive analyses were done to understand the data. The independent t-test and Mann Whitney test show the differences of Islamic and commercial banks based on the financial variables. The stepwise and hierarchical multiple regressions were used to determine the factor that affects profitability performance of banks. Results show that Islamic banks are better in term of profitability performance, earning power performance, liquidity performance and sensitive to market risk. The factors that affect profitability performance are capital adequacy, earning power and liquidity variable.The steady growth in the size and increase in the number of Islamic banks show that the Islamic banking system is considered as an alternative to the conventional banking system. Due to this, comparisons in term of performance measurements and evaluation of the financial health for both type of banks are essential. The main purpose of this study is to analyse the differences between Islamic and commercial banks performance. Five years secondary data were collected from the annual report for each bank. Return on Asset ratio is chosen as the dependent variable, while capital adequacy, asset quality, management quality, earning, liquidity and sensitivity to market risk (CAMELS) are the independent variables. Descriptive analyses were done to understand the data. The independent t-test and Mann Whitney test show the differences of Islamic and commercial banks based on the financial variables. The stepwise and hierarchical multiple regressions were used to determine the factor that affects profitability perfor...

Modeling technical efficiency of inshore fishery using data envelopment analysis

Fishery industry contributes significantly to the economy of Malaysia. This study utilized Data Envelopment Analysis application in estimating the technical efficiency of fishery in Terengganu, a state on the eastern coast of Peninsular Malaysia, based on multiple output, i.e. total fish landing and income of fishermen with six inputs, i.e. engine power, vessel size, number of trips, number of workers, cost and operation distance. The data were collected by survey conducted between November and December 2014. The decision making units (DMUs) involved 100 fishermen from 10 fishery areas. The result showed that the technical efficiency in Season I (dry season) and Season II (rainy season) were 90.2% and 66.7% respectively. About 27% of the fishermen were rated to be efficient during Season I, meanwhile only 13% of the fishermen achieved full efficiency 100% during Season II. The results also found out that there was a significance difference in the efficiency performance between the fishery areas.

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.

An asset and liability management (ALM) model using integrated chance constraints

This paper discusses and develops a Two Stage Integrated Chance Constraints Programming for the Employees Provident Fund Malaysia. The main aim is to manage, that is, balance assets and liabilities. Integrated Chance Constraints not only limit the event of underfunding but also the amount of underfunding. This paper includes the numerical illustration.