Factors influencing spread in Malaysia securitization market

Bakri, Mohammed Hariri; Ismail, Shafinar; Zainal, Nurazilah; Kamarudin, Fakarudin; Shami, Samer Al

doi:10.5267/j.ac.2020.4.0016

Cited by 3 publications

(2 citation statements)

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“…e above formula is the logarithmic GARCH-MIDAS model. is model can be gradually developed from GARCH model [17,18]. e traditional GARCH(1,1) model is shown as follows:…”

Section: Garch-midas Modelmentioning

confidence: 99%

Quantitative Evaluation Model of Stock Market Liquidity by Macroeconomic Factors

Wang

2022

Mathematical Problems in Engineering

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In order to further understand the effects of macroeconomic factors on the stock market volatility and liquidity and solve the problem that the traditional volatility measurement model loses high-frequency data information in the modeling of the influence of macroeconomic factors on stock market volatility, monthly consumer price index, daily exchange rate, and monthly money supply are taken as the main indicators to investigate the stock market liquidity in the research. Meanwhile, CARCH-MIDAS model is used to investigate the factors affecting stock market liquidity. Through the model test, it is found that the H value of the volatility effect model of the three factors is 0.0307, and the H value of the horizontal effect model is 0.0220, and the result of the horizontal effect model is closest to 1%. The results show that CARCH-MIDAS model is relatively accurate in quantitative evaluation and prediction of the stock market liquidity and volatility.

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“…e above formula is the logarithmic GARCH-MIDAS model. is model can be gradually developed from GARCH model [17,18]. e traditional GARCH(1,1) model is shown as follows:…”

Section: Garch-midas Modelmentioning

confidence: 99%

Quantitative Evaluation Model of Stock Market Liquidity by Macroeconomic Factors

Wang

2022

Mathematical Problems in Engineering

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show abstract

“…This study also revealed a negative and significant correlation between inflation (linf ) and both of the efficiencies of the selected MFIs. According to the study by Bakri, Ismail, Zainal, Kamarudin and Shami (2020) and Zainal, Law, Md Nasir and Bakri (2020), a spike in general prices during a period of high inflation would give rise to a problematic situation for borrowers who needed to make loan repayments, as their higher living costs would increase, while their income remained constant. However, when referring to Table 6, value-added industry (lvd) recorded a positive and significant coefficient only with the financial efficiency of the selected MFIs.…”

Section: The Determinants Of Firms' Characteristics and Macroeconomicmentioning

confidence: 99%