Valuation in an emerging market like Malaysia poses to be a great challenge because there is no clear single 'best practice' for the valuation of assets and securities in emerging markets. Adopting some of the emerging market models reviewed in Pereiro (2001), together with the two-factor CAPM...

The main aim of this paper is to investigate the dynamic relationship and volatility spillover between the stock markets in Turkey and the United States under the conditions for Turkey's accession to the European Union. This study uses bivariate cointegration, ECM, CGARCH and threshold...

This paper estimates the time-varying world integration of the Malaysian stock market and examines if the paths of the time-varying integration match the economic events of the country. We employed weekly time series data for the period between February 1988 and September 2009 to coincide with...

This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000...

This paper examines audit report lag in Malaysian public listed companies, following the implementation of the Malaysian Code on Corporate Governance in 2001. It departs from the standard audit report lag studies by incorporating characteristics of the board of directors and the audit committee....

This study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major...

This paper proposes a new prediction function for the Stock Exchange of Thailand (SET index). Included in the proposed prediction function are the important economic factors: namely, the Dow Jones, Nikkei, and Hang Seng indexes; the minimum loan rate (MLR); and the previous SET index. The tuning...

To gauge the effect of the 2001 official "harmonisation" of the Chinese Accounting Standards (CAS) and International Accounting Standards (IAS) regimes, we examine all companies that simultaneously issued both A and B shares in both the SHSE and SZSE using the Weetman, Jones and Gray (1998)...

This paper investigates the relationship between unit trusts invested domestically and those invested overseas. The performance of unit trusts investing overseas is compared to unit trusts that are invested locally to determine whether they outperform the local funds. The Kuala Lumpur Composite...

The major purpose of this study is to classify and analyse capital market research conducted in the Tehran Stock Exchange Market (TSEM). Similar to Namazi and Nazemi’s (2005) review of Finance Studies on the TSEM in 1991–2003, we review, classify and analyse the significant...