Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’welfare. In this paper, we...

This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sectorial indices are examined in this study. The pandemic is represented by a lockdown dummy, new...

This study provides some evidences showing high degree of financial integration from both evidences of common shocks and real interest parity in the context of two small and open economies, i.e., Malaysia and Singapore. A few key policy implications are suggested from the findings in this study....

Understanding the degree of integration between India and the Association of Southeast Asian Nations (ASEAN) is important to measure the impact of the proposed India-ASEAN Free Trade Area (FTA). If both India and ASEAN are well integrated, the impact of such liberalization will be small and vice...

The major finding of this study is that the long run purchasing power parity (PPP) deviations of the major ASEAN exchange rates exhibit nonlinear adjustment which may be characterised by the Smooth Transition Autoregressive (STAR) model. This finding warrants us that policy decision based on...

This paper endeavors to contribute to the debate on the relevance of non-linear forecasts in the financial markets. To that end, this study forecasts the Yen-based Ringgit by using the Exponential Smooth Transition Autoregressive (ESTAR) model. When formally assessed for forecast accuracy, the...

This study examines whether the nonlinear adjustment dynamic of exchange rate to the equilibrium level as documented in Liew et al. (2003, 2004) is symmetrical or asymmetrical. Following the sequential tests as proposed in Teräsvirta and Anderson (1993), this study is able to identify that the...

Estimating the lag length of autoregressive process for a time series is a crucial econometric exercise in most economic studies. This study attempts to provide helpfully guidelines regarding the use of lag length selection criteria in determining the autoregressive lag length. The most...

This article aims at testing real interest parity (RIP) by using nonlinear unit root tests. The results from Kapetanios et al. (2003) demonstrated that the adjustment of ASEAN-5 real interest rates towards real interest rates in Japan and the US follows a nonlinear (stationary) process. Overall,...

The objective of this study is to discover the determinants of Direct Investment Abroad (DIA) of Singapore. It also measures the impacts of various determinants on the DIA of Singapore. Based on theoretical justification, several potential determinants including aggregate income, interest rate,...