Purpose The purpose of this paper is to appraise the effectiveness of monetary policy actions in variant market conditions for Islamic stocks. These stocks offer ground for a natural experiment as they have restrictions on the line of business and their distinguished capital structure does not allow them to combat the liquidity crisis through the use of leverage. Design/methodology/approach The paper uses the quantile regression approach for a multi-country sample of Islamic stock indices to assess the impact of domestic as well as US expansionary monetary policy on stock returns of Islamic indices at various locations of distribution of returns. Findings It is found that, at lower return levels, an expansionary monetary policy has a negative effect on the returns. In other cases, there is no significant impact of policy rate change on index returns. Research limitations/implications It is more appropriate to use firm level data of Islamic stocks instead of stock indices. However, the information regarding index constituents is not publicly available. Practical implications The paper offers useful information to investors and policy makers. It shows that central banks should improve their credibility for monetary policy to be effective and their policies must be designed keeping in view the strong impact of US rate on global monetary environment. Originality/value This paper provides first empirical evidence of the impact of discount rates on the returns of Islamic stocks in different market conditions.
Objective - The purpose of this research is to measure performance of State-owned Enterprises that listed on Bursa Malaysia and Indonesian Stock Exchange. Methodology/Technique - The economic performance will be measured by DEA. This study was employed technical efficiency and Malmquist Productivity Index. The Period of this study was conducted from 1992 to 2007, consist of three periods: a) Pre Crisis, b) Crisis, and c) Post Crisis. Findings - For Indonesia's SOEs, the conclusion over the periods of study that the technical efficiency of SOEs improved, especially in period of Crisis, when the government injected direct subsidies in order to enable SOEs maintain their performance Meanwhile, the result for Malaysia's SOEs sample demonstrates that over the periods of study, technical efficiency of SOEs was also improved. The improvement from Pre-crisis to Crisis period was not only due to some enterprises having an early recovery compared to others, but also government supported SOEs during a crisis, by getting lower investment and export financing cost and purchasing and sales preference. Type of Paper - Empirical Novelty – There is a lack of studies on State-owned Enterprises productivity in this region, so this study can fill this research gap and provide a useful reference to policy makers and users. Keywords: Owned Enterprises, SOEs, Ownership Concentration, Productivity, Technical Efficiency, Malmquist Productivity Index, Indonesia, Malaysia
This paper reports evidence of significant abnormal returns in call and put options in the New York Stock Exchange around the disclosure time of two equity funding events. The delta values as risk of options are used to adjust gross returns of calls and puts to obtain adjusted abnormal returns. Theory suggests any stock price increases around private placement announcement dates would make calls to become in-the-money, so call prices should increase: conversely, puts would become out-of-money so put prices should be unaffected. Stock price declines around seasoned equity announcement dates would make put prices to increase since puts become in-the-money: call prices, having become out-of-money, would not change. Further, if the spot to the derivative market price impact is due to both markets being fully integrated, a trading strategy could yield profits. To test this, we apply cointegration and Granger-causality tests: we find there is no predictable spot-to-option-market integration in either direction. The empirical evidence of option price changes reported here and also evidence of no integration provide support for the idea that spot and option prices are being formed independently of each other, therefore prices are consistent with the efficient market hypothesis and the option pricing model.
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