Integration or Segmentation of the Malaysian Equity Market: An Analysis of Pre- and Post-Capital Controls

Kemeruapan Bersyarat dan Korelasi Dinamik Pasaran Saham ASEAN

“…Oleh itu, pemahaman terhadap mekanisma transmisi pergerakan saham mempunyai implikasi penting kepada peletakan harga sekuriti dan lindung nilai serta strategi perdagangan (Baharumshah, Sarmidi & Tan 2003). Malahan, pemahaman tentang hubungan jangka panjang dan interaksi dinamik antara pasaran ekuiti nasional juga mempunyai implikasi penting dalam mengimplementasi dasar makroekonomi, pempelbagaian portfolio antarabangsa dan pembangunan pasaran modal (Ibrahim 2006a).…”

“…Antaranya, kajian ke atas pasaran saham ASEAN (Ibrahim 2006a(Ibrahim , 2006bKarim & Karim 2012;Hwa, Teng & Sheng 2012), kajian ke atas pasaran saham Asia Baharumshah et al 2003;Tai 2007), kajian khusus untuk negara tertentu seperti Singapura (Maysami & Koh 2000), Indonesia (Ibrahim 2005), Poland dan Hungary (Li & Majerowska 2008), Eropah (Fonseca 2008) dan pasaran saham utama dunia seperti Amerika Syarikat (US), United Kingdom (UK), Jepun dan Jerman (Morana & Beltratti 2008). Selain itu, terdapat kajian ke atas pasaran saham Asia dan hubungannya dengan US dan Jepun (Maysami & Koh 2000;Baharumshah et al 2003;Ibrahim 2005Ibrahim , 2006aIbrahim , 2006b.…”

Access to Finance

“…Shawky et al, [3] argued that portfolio diversification is always a Penerbit Akademia Baru reasonable method of reducing the risk of an investment portfolio without negatively affecting its return expectations. Studies such as Bekaert et al, [4] Defusco et al, [5] Masih et al, [6] Ibrahim [7], Gilmore et al, [8] Solarin and Mansourfar et al, [9,10] have not reached consensus on the degree of integration between various stock markets. There is inconsistency in the results which show some markets are integrated, partially integrated and not integrated.…”

“…To analyse the impact of financial liberalisation on the integration of stock markets, previous studies, such as Bekaert et al, [4], Phylaktis et al, [11], Ibrahim [7] and Puan et al, [12] dissected the data into pre-and post-liberation period. The contribution of this paper is by using a financial liberalisation dummy to capture the impact of financial liberalisation on the integration of markets.…”

Stock Return Response to Monetary and Fiscal Policy Interaction in Singapore

“…Current study applied information criteria method vis-à-vis residual test. Thus, based on above arguments about selection of appropriate lag length, the present study used lag orders where VAR residuals are serially uncorrelated and these lag lengths are varying country wise using residual test in accordance with (Ibrahim, 2006). Examining the residual tests lag 8 is selected for analysis.…”