The Determinants of Gold Price in Malaysia

The purpose of this paper is to look into the linkage between inflation rate, exchange rate, stock market return with price of gold. The sample collected for this empirical study covered 30 years of data from 1991 to 2020. The secondary data was collected annually and total 30 observations are taken for each variable. Multiple Linear Regression model is developed to find out the linkage between variables chosen with gold prices. The independent variables included Inflation rate (Consumer Price Index), exchange rate (Malaysia to USD), stock market return (FTSE Bursa Malaysia Kuala Lumpur Composite Index) and dependent variable is Price of Gold. Besides that, several tests are used including Unit Root Test (Augmented Dickey-Fuller Test), Jarque-Bera Normality Test, Breusch-Godfrey Serial Correlation LM Test, Heteroscedasticity-White Test, Ramsey Regression Equation Specification Error (RESET) Test and Granger Causality Test. The time series analysis used as the methodology by using Eview 11 to proceed all the test. The result showed that inflation rate and exchange rate have strong positive link to gold price while stock market return does not have significant relationship with gold price. In summary, this research can provide reference for other investors.

Does Model Reflect on Reality? Exploring Beneish M Score on Selected Private Commercial Banks in Nepal

This research explores if possible fraudulent financial statement is present in private commercial banks in Nepal. This study examines the viability of Beneish M-score model in detecting probable earning manipulation considering the sample of 16 private commercial banks including the joint ventures. The published annual report (income statement and balance sheet) of the year 2018 and 2019 of respective banks are used as a secondary source of information. This research employs Beneish M-score equation and threshold value -2.22 as keys to analysis. The result shows even four banks are engaging in income manipulation, the Beneish model cannot identify the deception on the financial statement. Though the given model is suggested for manufacturing companies, the researcher has used it to explore the Banks—this is the limitation of this research. Further investigation of these tools combined with other fraud detection models is suggested to discover financial manipulation and relationship with the stock market return.

Shareholders and the environment: a review of four decades of academic research

We provide a synthesis of four decades of empirical research regarding the reaction of shareholders to environmental events. This literature is at the crossroads of finance, environmental economics, management and corporate social responsibility (CSR). To set the stage, we first provide an account of the Brumadinho ecological disaster that occurred in Brazil on January 25th, 2019. Second, we provide a critical review of more than 100 event studies. These papers cover a diverse set of events, such as industrial accidents, public disclosure programs, legal actions following environmental violations, changes in environmental regulation, environmental news, and corporate initiatives. This review makes four contributions. First is the synthesis of a large strand of literature in a structured setting, so as to be readily handled by both experts and non-experts. Second is the observation that stock market penalties in the event of environmental concerns are likely to be quite low: on average there is a (temporary) drop in the excess stock market return to events that are harmful to the environment of about 2% and the median is −0.6%. Third is to highlight the limits of CSR as a business strategy towards a sustainable society. Fourth is to provide an open access bibliographic database.

Nexus Between COVID-19 Infections, Exchange Rates, Stock Market Return, and Temperature in G7 Countries: Novel Insights From Partial and Multiple Wavelet Coherence

This study attempts to analyze the time-varying pattern between the exchange rates, stock market return, temperature, and number of confirmed COVID-19 cases in G7 countries caused by the COVID-19 pandemic. We have implemented our analysis using wavelet coherence and partial wavelet coherence (PWC) on independent variables from January 4, 2021 to July 31, 2021. This paper contributes to the earlier work on the same subject by employing wavelet coherence to analyze the effect of the sudden upsurge of the COVID-19 pandemic on exchange rates, stock market returns, and temperature to sustain and improve previous results regarding correlation analysis between the above-mentioned variables. We arrived at the following results: 1) temperature levels and confirmed COVID-19 cases are cyclical indicating daily temperatures have a material bearing on propagating the novel coronavirus in G7 nations; 2) noteworthy correlations at truncated frequencies show that a material long-term impact has been observed on exchange rates and stock market returns of G7 and confirmed COVID-19 cases; 3) accounting for impact of temperature and equity market returns, a more robust co-movement is observed between the exchange rate returns of the respective nations and the surge in COVID-19 cases; and 4) accounting for the influence of temperature and exchange rate returns and the increase in the confirmed number of coronavirus-infected cases and equity returns, co-movements are more pronounced. Besides academic contributions, this paper offers insight for policymakers and investment managers alike in their attempt to navigate the impediments created by the coronavirus in their already arduous task of shaping the economy and predicting stock market patterns.

Impact of the Covid-19 pandemic on stock market return volatility of Gulf Cooperation Council countries

This study examined the asymmetric impact of the COVID-19 pandemic on the Gulf Cooperation Council (GCC) stock market return volatility. The data included daily closing prices of the GCC stock market from the day of the acknowledgment of the first case of COVID-19 in each country to March 6, 2021. In addition, the study employed generalized autoregressive conditional heteroscedasticity (GARCH) family models. According to the Akaike information criterion, GARCH and exponential GARCH (EGARCH) were the most accurate models. The findings of the GARCH model indicate that the COVID-19 pandemic affected the GCC stock markets. The EGARCH model also confirmed the impact of the COVID-19 pandemic on the GCC stock markets, confirming that the COVID-19 negatively affected GCC stock market returns. The value of the persistence of this volatility continued over a long period. This study has potential implications for investors and policymakers in diversifying investment portfolios and adopting strategies to maintain investor confidence during such crises. Moreover, mechanisms must be developed for reducing risks in financial markets in times of crisis, and central banks should take financial measures to mitigate risks to capital markets. AcknowledgmentsThis achievement was made with the aid of my family’s support, thank you all.

Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market

This study aims to determine stock return behaviour in Indonesia and Malaysia Shariah stock market. Indonesia and Malaysia are selected based on the countries level of development and geographical factor, since both countries are emerging market with a rapid growth of Shariah stock market not only in term of listed companies but also in term of number of investor. Based on geographical proximity, both countries close to each other and have a strong bilateral relationship which makes their stock market return behaviour influence by many factors. This studies relies on two major time series investigation techniques, namely Economteric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling of GARCH and its extension. The result showed that stock return behavior happening in Indonesia and Malaysia Shariah Stock Market.

A note on the relationship between COVID-19 and stock market return: evidence from South Asia

Purpose The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of the number of confirmed COVID-19 cases on stock market returns using panel data of the countries stated above. Design/methodology/approach This study collects and analyzes the daily data on COVID-19 spread and stock market return over the period May 28, 2020 to October 01, 2020. Using Dumitrescu and Hurlin panel Granger non-causality test, the empirical results demonstrate that the COVID-19 spread measured through its daily confirmed cases in a country significantly induces stock market return. This paper cross-validates the results using the pairwise Granger causality test. Findings The empirical results suggest unidirectional causality from COVID-19 to stock market returns, indicating that the spread of COVID-19 has a dominant short-term influence on the stock movements. To the best of the knowledge, this study provides the first empirical insights into the impact of COVID-19 on the stock markets of selected South Asian countries taking the cross-sectional dependence into account. The results are also in line with the findings of other existing literature on COVID-19. Moreover, the results are robust across the two tests used in this study. Originality/value The findings are equally insightful to the fund managers and investors in South Asian countries. Taking into account the possible impact of COVID-19 on stock markets’ returns, investors can design their optimal portfolios more effectively. This study has another important implication in the sense that the impact of COVID-19 on the stock markets of South Asian countries may have spillover effects on other developing or even developed countries.

ANALYZING TIME EFFECT IN THE PUSH AND PULL FACTORS AFFECTING FOREIGN PORTFOLIO INVESTMENT IN INDONESIA STOCK MARKET (CASE STUDY OF FOREIGN BUYING DURING THE PERIOD 2003-2018)

This study examined the influence of pull and push factors on foreign portfolio investment in Indonesia Stock Market. Two measures of foreign portfolio investment are foreign investor total buying and foreign investor net buying. The pull factors are represented by Return on Jakarta Composite Index, Jakarta Stock Marker liquidity, IDR Exchange Rate, and Infation Rate. The push factors included are return on Dow Jones Industrial Average, Yield on US Treasury Bill, and return on Gold. This study takes Foreign Investor Total Buying and Foreign Investor Net Buying as dependent variables. To accomodate time or year effect, a panel data regression is employed as analytical tool. Processing monthly data from January 2003 to December 2018, and using Foreign Investor Total Buying as dependent variable, this study finds that exchange rate and stock market liquidity affect the foreign investor total buying significantly. The negative coefficients of exchange rate and the positive coefficient of stock market liquidity support the hypotheses. The regression on Net Buying shows that exchange rate, stock market return, and stock market liquidity affect foreign investor net buying significantly. The negative coefficient of exchange rate and positive coefficient of stock market return support the hypotheses while the negative coefficient of stock market liquidity does not. The individual year fixed effect and individual year random are present in the first and second regressions repectively. In both regressions, no variables in push factors affect foreign portfolio investment significantly. hence, the foreign portfolio investment in Indonesia is affected only by pull factors