Venus Khim-Sen Liew

Venus Khim-Sen Liew
University Malaysia Sarawak

Ph.D

About

145
Publications
98,204
Reads
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1,828
Citations
Citations since 2016
27 Research Items
991 Citations
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2016201720182019202020212022050100150200
Introduction
Venus Liew likes international economics, financial economics, business modelling, technical analysis, nonlinear study & forecasting. He had involved in few government consultancy projects on regional and sectoral manpower requirements projection, as well as local housing demand. He is now undertaking construction & tourism consultancy projects funded by the local government agencies. Venus authored a book entitled “Monetary Model of Exchange Rate: Nonlinearity Matters”. He has edited a book & few conference proceedings. Venus is the English & Malay Editor of the MPRA, hosted by Munich University Library. Venus had published more than 60 articles in journals indexed in SCOPUS and SSCI. Google Scholar & SCOPUS h-index are 21 & 9 respectively. He ranks top 5% authors in IDEAS.
Additional affiliations
January 2010 - December 2017
University Malaysia Sarawak
Position
  • Social Science Experts Panel
April 2009 - present
University Malaysia Sarawak
Position
  • Professor (Associate)
September 2004 - March 2009
Universiti Malaysia Sabah (UMS)
Position
  • Professor (Associate)
Education
July 2002 - August 2008
Universiti Putra Malaysia
Field of study
  • Financial Economics

Publications

Publications (145)
Article
Using daily data from January 2, 2020 to May 31, 2021, this study empirically examines the day-of-the-week effect in the Malaysian stock market during the coronavirus disease 2019 (COVID-19) outbreak. We also test the impact of the lockdown policy and market sentiment index on the stock market. We resort to ordinary least square regression with gen...
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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 sector indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, desc...
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This article adopts the augmented versions of the Gravity Model to examine the effects of the signing of the ASEAN-China Free Trade Agreement (ACFTA) on the bilateral aggregate trades. Specifically, ACFTA dummy variables are incorporated in the basic model is to estimate the direction and magnitude of the ACFTA effects. A total of 79 trading partne...
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The unprecedented Wuhan lockdown due to the outbreak of the COVID-19 pandemic provides a natural experiment that will elucidate its immediate impact on the stock market. Event study methodology is adopted to identify any short-run abnormal returns in the Shanghai Stock Exchange Composite Index and its ten component sectors. This paper reports empir...
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The objectives of this paper are to provide empirical evidences on whether i) government policies represented by mortgage rate and loan-to-value ratio are associated with the dynamics of the New Zealand Residential Price Index, ii) macroeconomic factors such as house price to income ratio and inflation rate that proxy capability to consume, as well...
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This study finds significant immediate adverse impact of the novel coronavirus (COVID-19) pandemic on tourism shares listed in the Shanghai and Shenzhen stock exchanges, in terms of breadth and depth. Overall, prices of these shares plunged by 20% in three consecutive days in response to pandemic fears, before technical rebound set in. Significant...
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Purpose This paper aims to provide swift feedback to readers and investors on the early effect of novel coronavirus (COVID-19) pandemic outbreak on tourism industry. Design/methodology/approach Three leading consolidators of hotel accommodations, airline tickets and travel services in the tourism industry around the globe, namely, Booking Holdings...
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The Movement Control Order (MCO) not only restricts movement of human being, it also reduces firms' financial profits and brings significant impact to stock returns. The objective of this study is to examine the relation between Malaysian stock market returns and variables related to the novel Coronavirus (COVID-19) pandemic outbreak. The FTSE Burs...
Preprint
Full-text available
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 COVID-19 cases and a dummy for 3 February 2020. First, d...
Preprint
Full-text available
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 sector indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, desc...
Article
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This paper seeks to explore the effects of ASEAN Economic Community (AEC) Blueprint adoption since 20 November 2007 on the bilateral manufacturing trade between the ASEAN member countries and their trading partners. Ten ASEAN member countries and their 39 trading partners are considered in this study. The gravity model is estimated on a set of pane...
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This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative a...
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This study measures the tracking errors of exchange traded funds (ETFs) listed in Bursa Malaysia. Five measures of tracking errors are estimated in this study for the seven ETFs involved. Overall, the best ETF is METFAPA with the least tracking error. The ranking of the remainder ETFs, in the ascending order of tracking error is MYETFID, METFSID, M...
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This study attempts to estimate the impact of business cycle on Pakistani banks capital buffer and portfolio risk. Dynamic Panel data model, which includes a set of control variables reflect bank characteristics, has been estimated by using two-step Generalized Method of Moments (GMM) during the period of 2004-2014. The main results exhibit that ba...
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Despite the relatively strong adjustment in the global economy outlook, the Malaysian economy remains uncertain as the ringgit movement lies ambiguously ahead while volatile capital flows, inflationary pressure, and the vulnerable external sector and global trade remain intense. The Sarawak economy, which relies heavily on primary commodities and e...
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In this study, we examined whether the exchange rates in ASEAN-5 countries are driven by monetary fundamentals. We applied the panel unit root tests and found that the United States denominated nominal exchange rates of Malaysian Ringgit, Indonesian Rupiah, Philippines Peso, Singapore Dollar, and Thailand Baht are all integrated of order one. Meanw...
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Stability of the exchange rate is critical for policy formulation in Indonesia and thus, has boosted the study of exchange rate behaviour. In this study, the monetary model of exchange rate has been utilised to determine the exchange rate for Indonesia. The model was improved by means of including the Divisia monetary aggregate as the money measure...
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The economic performance of Malaysia was affected by a series of financial crises that had induced macroeconomic instability in the country, which in turn had immensely dampened the nation’s economic growth rate. No doubt Malaysia needs an indicator to monitor the nation’s economic performance from time to time. This study attempts to construct suc...
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This study investigates the effects of ASEAN Free Trade Area (AFTA) agreement on the bilateral manufacturing trade between the 10 member countries of ASEAN and 39 of their trading partners. The period of study covers 1995 to 2014. Results obtained from panel data analysis of the gravity model with random effects show that the economic sizes, popula...
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Using the data set for the sample period of January 1999 to December 2016, this paper aims to analyse the interest rate pass-through effect and the asymmetric behaviour of retail rates in Indonesia’s economy. By employing asymmetric threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models, the deposit and lending rates wer...
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This study intends to examine the effect of the debt on economic growth of Malaysia from the perspective of domestic debt and external debt. Furthermore, the impact of different type of debts on growth upon either above or below certain threshold level of the debt also investigated using Threshold regression method for sample period 1980-2015. Empi...
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This article examines the oil price-output nexus for the case of Malaysia between the years 1970 to 2014. Autoregressive Distributed Lag (ARDL) modeling approach is adopted to investigate long-run relationships among oilprice and real aggregate GDP as well as the real outputs of agriculture, manufacturing, industrial and service sectors. The outcom...
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During the latest episode of general election held in Malaysia, it is observed that the FBMKLCI index was lifted 62.52 points in a day soon after the announcement of election outcome. Moreover, the index registered a highest gain of 96.29 points in the middle of the intra-day trade. This suggests that investors who had got the right direction could...
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This study constructs a factor-based model of business cycle identification for the Malaysian economy via the dynamic factor approach. Our central focus is to explore a factor-based business cycle indicator (BCI) that can serve as a good gauge for economic crises. The empirical finding is in harmony with the envisaged objective; the constructed BCI...
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From an economic perspective, energy-output relationship studies have become increasingly popular in recent times, partly fuelled by a need to understand the effect of energy on production outputs rather than overall GDP. This study dealt with disaggregated energy consumption and outputs of some major economic sectors in Thailand. ARDL bound testin...
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In order to successfully transform into a knowledge economy and eradicate poverty, many ASEAN countries have allocated a considerable amount of their yearly expenditures in research and development over the last decade. The objective of this paper is to examine the long-run relationship between research and development expenditure and gross nationa...
Article
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This study finds the existence of Friday effect in the return of Hang Seng Index. This finding implies that the Hong Kong Stock market is inefficient with respect to price information. Besides, the Hang Seng Index returns are predictable and hence profitable trading strategies can be developed. Thus, investors could use the day-of-the-week effect i...
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This study uncovers that there exists asymmetrical market reaction on the positive and negative news by the TGARCH, EGARCH and EGARCH – M models. Thus, investors could use the calendar anomaly in terms of asymmetrical behavior information to avoid and reduce the risk when investing in the Hong Kong stock market.
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The initiative to capture the information content behind the rise and fall of the business cycle has popularized the study about leading indicators. Many of the foreign experiences shared by economically advanced countries evidently show that the leading indicators approach work well as a short-term forecasting tool. Thus, exploring into an indicat...
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The interest rate channel is the primary and most important mechanism for policymakers. Knowledge of the pass-through of interest rates has allowed policymakers to draw conclusions on how fast and to what extent a shock in policy rates are transmitted to retail rates. This paper investigates the pass-through effect of policy rate on retail rates in...
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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 DIA of Singapore. Based on theoretical justification, several potential determinants including aggregate income, interest rate, trade openness and exchange rate are considered in this st...
Article
Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found that the MACD(12,26,0) and RSI(21,50) rules consis...
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It is recognized that energy-output relationship studies from an economic perspective have become popular among researchers recently. This study deals with the electricity consumption and outputs of some major economic sectors in Cambodia. The newly developed ARDL bound testing approach has been employed to examine the cointegration relationship. T...
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This paper investigates the co-integration relationship and causality effect between energy used and main economic sectors such as agriculture, services and industrial sector in India for the period of 1980-2009. The purpose of this study is to well organise the energy used among the sectors in India to achieve the optimum usage of energy and reduc...
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The application of rational expectations hypothesis (REH) in macroeconomic research has marked a revolution in economic thinking, and the magnitude of its impact on the world of economics is undeniably significant. However, the extent to which REH applies in real-world settings is ambiguous even though the concept of REH is well established in econ...
Conference Paper
It is recognized that energy-output relationship studies from an economic perspective have become popular among researchers recently. This is fueled by the appropriateness of finding the effect of energy on the production outputs rather than overall GDP. This study deals with the disaggregated energy consumption and outputs of some major economic s...
Article
Full-text available
Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also provide simulation results regarding the performance of t...
Chapter
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For years, economists have sought to summarize the visual evidence of cyclical oscillation in economic series to learn the characteristics of such cycles in real macroeconomic settings. The existence of various business cycle conceptions indeed shared a single objective, that is, to strengthen insight into the underlying thoughts behind recurring u...
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This study examines both the long-run and short-run relationships between the internet usage rate and the gross national income per capita of an emerging economy – Malaysia. Empirical findings from the econometrics analysis of a thirteen years time series found that there is a significant long-run and short-run relationship between these two variab...
Conference Paper
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This study investigates the relationship between different types of energy consumption and outputs of the main economic sectors in Laos, where energy shortage is a major challenge faced by the economy. Our empirical analysis suggests that coal consumption and the outputs of the agricultural, services, transportation, and industrial sectors are co-i...
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We investigate the relationships between energy consumption and the outputs of the main economics sectors in Pakistan, where energy shortage is a major challenge faced by the economy. It is found that services and industrial output, which make up of fourth-fifth of Pakistan gross domestic product, are not led by energy consumption in the country. H...
Conference Paper
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The purpose of this paper is to investigate the cointegration and causality link between selected type of energy consumption and selected sectoral outputs in Myanmar for 1980-2009 periods. The sum of selected sectors examined in this study contributed more than 80% to the GDP of Myanmar for the time period under studied (United Nation, 2011). The c...
Article
Much interest has been paid recently to the nonlinear cointegrating relations existing among economic variables. Various testing procedures are already available to test for the existence of nonlinear cointegration. For example, Breitung (2001) proposes rank tests and his testing procedure has been broadly applied. In this study, we warn against a...
Article
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Early detection of a turning point in a business cycle is crucial, as information about the changing phases in business cycles enables policy makers, the business community, and investors to cope better with unexpected events brought about by economic and business situations. The Malaysian economy is fortunate to own a publicly accessible composite...
Article
Full-text available
The initiative to capture the information content behind the rise and fall of the business cycle has popularized the study of leading indicators. Many of the foreign experiences shared by economically advanced countries reveal that the leading indicator approach works well as a short-term forecasting tool. Thus, exploring an indicator-based forecas...
Article
Full-text available
This study tests the hysteresis hypothesis of unemployment in fourteen OECD countries by examining the stationarity of unemployment rates using several panel unit root tests. Empirical results show that the hysteresis hypothesis cannot be rejected for majority of the OECD when the tests are conducted on the basis of individual countries. However, r...
Article
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The objective of this study is to examine the relationship between gross national income per capita and the internet usage rate per 100 people of an emerging economy – Malaysia both in the short and long-run. Autoregressive Distributed Lag Modeling Approach (ARDL) was used to analyze the thirteen-year time series collected for these two variables....
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This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrenot et al. (Applied Economics, 38, pp. 203-229, 2006) to validate the parity. The major finding are: (i) the...
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This study examines the existence of day-of-the-week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the pre-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/11 sub-period. Further analysis using the EGARCH and EGARCH-M mo...
Article
This paper provides new evidence on the purchasing power parity (PPP) hypothesis in six East Asian countries. Based on nonlinear unit root tests, we discovered that the results are broadly consistent with the fact that real exchange rates (RERs) follow a nonlinear mean reversion process. We presented new evidence that the adjustment towards the PPP...
Article
This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum...
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The study examines the effect of different types of debts on the economic growth in Malaysia during the sample period 1970 -2006. Using cointegration test, the findings suggest that all components of debts have a negative effect on long-run economic growth. In addition, the Granger causality test reveals the existence of a short-run causality linka...
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This study finds that Purchasing Power Parity (PPP) holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung's (20014. Breitung , J. 2001. Rank tests for nonlinear cointegration. Journal of Business and Economic Statistics, 19: 331–40. [Taylor & Francis Online], [Web of Science ®]View all references) rank tests for cointe...
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This study provides evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for the consideration of cross-country interdependence of real interest rates in the estimation. One important implication of our finding is that monetary policy will be more effective in influencing long-term interest rates...
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Because of its very important role in modern production and management, information technology (IT) has become a major driver of economic growth and has speeded up the integration of the global economy since the 1990s. Due to the prominent position of the IT industry in the U.S., the U.S. IT stock market is believed to have driven up IT stock marke...
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The objective of this study is to examine whether the notion of monetary neutrality holds in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysian stock market. The important implication is that the stock market is inefficient with respect to money supply. Agent...
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This study finds evidence supportive of the Purchasing Power Parity for Azerbaijan and Kazakhstan using threshold cointegration tests. This finding suggests the existence of an asymmetry relationship between exchange rate and relative prices. The asymmetric relationship may be due to the heavily regulated price and exchange rate systems in these tr...
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This study has found an empirical support of Purchasing Power Parity (PPP) theory for an East Asia transition economy – Cambodia. It is based on the results of cointegration among KHR/USD, Cambodia CPI, and world CPI over the monthly period May 2001-February 2009. This finding is useful for policy implications i.e. de-dollarization (and exchange...
Article
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This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. The multivariate cointegration approach is adopted to attain our objective of this study. The empirical results provide evidence favoring the monetary approach to exchange rate for a small and open emerging economy, n...
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There is a broad consensus in the literature that spinoffs tend to create value for shareholders and exhibit positive long-run excess returns. However, most of the prior studies are confined to the US and the European cases. The spinoff problems in Hong Kong are surprisingly under-studied despite its important role as a global center of capital for...
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This study finds that there is a common force which brings all the five ASEAN stock markets together in the long run by the nonparametric tests. This suggests that shocks from any of these five markets may spillover to the other markets in the same region. The recent Asian financial crisis bears a good testimony to this ‘contagion effect’. Subseque...
Article
This paper aims at testing international parity conditions by using non-linear unit root tests advocated by Kapetanios et al. (2003, KSS). Results from the KSS tests based on 17 countries (G7 and 10 Asian countries) overwhelmingly show that the adjustment of real interest rates towards real interest rate parity (RIP) follows a non-linear process ex...
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The finding of nonlinear cointegration between Asian exchange rates with the corresponding relative prices and aggregate price levels based on Breitung's (2001) nonparametric rank tests reinforces previous validations of purchasing power parity (PPP) by the parametric testing procedures. Hence, the long-run Asian exchange rates are in equilibrium w...
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This study examines the impact of volatility of FDI, rather than its level on the economic growth of ASEAN-5 countries. Using bounds testing approach, we show that FDI volatility retards long-run economic growth in Indonesia, Malaysia, the Philippines and Thailand. Our results suggest that the economic growth of Indonesia is the most susceptible to...
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This study contributes to the existing literature by examining the validity of PPP hypothesis for Cambodia. The standard unit root tests (ADF and PP) and the panel unit root tests fail to support PPP hypothesis for the nine Cambodia’s trading partners. The unit root tests with structural break support the PPP hypothesis for the bilateral real excha...
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This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung`s (2001) nonlinear cointegration testing procedures. The existence of such relationship is probably resulted from the strong and co...