Zaidi Isa

• National University of Malaysia

ABSTRACT This study forecasts the labor force participation rates in Malaysia by applying stochastic models with cohort effects, which is a method that offers a fresh perspective compared to the traditional age group analyses. The forecasted rates are then applied to estimate the expected retirement period for workers aged 20 years old. Specifical...

ABSTRAK Analisis Penyampulan Data (APD) ialah kaedah analisis bukan parametrik yang boleh menghitung skor kecekapan dengan mempertimbangkan input dan output. Model APD telah melalui beberapa semakan sejak awal diperkenalkan oleh Farrell pada tahun 1957. Model awal, yang dikenali sebagai Model CCR, telah diperkenalkan oleh Charnes, Cooper dan Rhodes...

Heterogeneity in the data is a common issue arising in research. When data are heterogeneous, equal variation in the data to set up a model for the studied phenomena cannot be assumed. Ordinary least square regression does not consider the unequal variation which may provide inefficient estimation of the relationship between variables. On the contr...

The existence of outliers in panel data may violate the assumption of classical OLS estimator. They may lead to misestimating the relationship between variables. The main objective of this study is to detect the outliers, leverages and the influence points by using different diagnostic methods. The other objective is to measure the effects of outli...

The objective of this study is to use the Bayesian quantile regression for studying the retirement consumption puzzle, which is defined as the drop in consumption upon retirement, using the cross-sectional data of the Malaysian Household Expenditure Survey (HES) 2009/2010. Three different measures of consumption, namely, total expenditure, work-rel...

The objective of this study is to estimate the retirement wealth adequacy of future retirees under defined contribution (DC) plan in Malaysia using wealth-need model and simulation approach. Several feasible scenarios are projected, including the best case (or optimistic) and worse case (or pessimistic) scenarios, based on several related assumptio...

This paper aims to study the demographic and socioeconomic determinants of retirement wealth adequacy in Malaysia, and further investigates the effects of Employees Provident Fund (EPF) contribution rate and income replacement ratio on the retirement wealth adequacy. The retirement wealth adequacy is estimated using the Malaysian Household Income S...

This study seeks to estimate the extent of underinsurance among Malaysian families in 2012. Underinsurance is quantified by the extent to which the citizens in a country are inadequately covered by the life insurance protection. To measure underinsurance, we use the concept of the life insurance protection gap as proposed by Swiss Re (2004). The mo...

Retirement adequacy is estimated using Malaysian Household Income Survey (HIS) 2009 data which are based on 5881 sample of households and contain information on income, demographic and socioeconomic characteristics of each household. The adequacy of retirement income is assessed by comparing accumulated projected wealth of an individual’s work life...

It is essential to test the stability of the efficient frontier and the reliability of efficiency scores obtained from DEA. This becomes more significant if the results will be used to make management decisions or to enhance the efficiency of the firm. Therefore, this study will perform several tests to ensure the stability of the relative efficien...

Household expenditure is important as an indicator to financial stability of household in a country. According to economic theory, well-being is measured better by expenditure rather than by income. In general, there are various factors affecting household expenditure patterns including income, demographic and socioeconomic characteristics of each...

The interested researchers to detect the relationship between energy consumption (EC), economic growth (GDP) and (C02) have been increased. In this paper we are going to reexamine that relationship but by using different transformation forms; natural logarithm and inverse form then compare between the estimated models to detect which is the best mo...

Quantile regression model is a statistical analysis that does not restrict attention to the conditional mean and therefore, permitting the approximation of the whole conditional distribution of a response variable. Quantile regression model is robust to outliers compared to the mean regression model. In this paper we demonstrate how the quantile re...

Many scholars have shown their interest into the relationship between energy consumption (EC), gross domestic product (GDP) and emissions. The main objective of this study is to investigate the relationship between GDP, EC and CO2 within multivariate model by using panel data method in Asian countries; Korea, Malaysia, Japan and China for annually...

The aim of this study is to survey the empirical studies which interested in detecting the causal relationship between energy consumption and economic growth, and to provide some recommendations to policymakers for designing the environmental policies and policy implications of effective energy. Our review paper concentrates to make a survey depend...

Recently many governments have encourage the researcher to investigate the relationship between energy consumption (EC), economic growth (GDP) and pollutants emissions, as it has very important role into environmental policy. First objective of this study focuses to detect the relationship between GDP, EC and particulate matter micrograms per cubic...

Long memory process is the asymptotic decay of the autocorrelation or spectral density around zero. The main objective of this paper is to do a long memory analysis by using the Maximal Overlapping Discrete Wavelet Transform (MODWT) based on wavelet variance. In doing so, stock market of Malaysia, China, Singapore, Japan and United States of Americ...

This study introduced an alternative method in long memory volatility financial time series evaluation using the autoregressive conditional heteroscedasticity models. Instead of direct measurement for long memory Hurst exponent parameter, this approach suggested a short memory filtering procedures using the conditional heteroscedastic specification...

Adequacy of retirement income is very important to maintain a comfortable living standard during retirement. Under a life cycle model, assets are mainly accumulated during an individual’s work life to finance consumption after retirement. A generally accepted goal of retirement planning is to provide enough income during retirement to prevent the l...

Recently, many scholars have shown their interest into the relationship among energy consumption (EC), economic growth (GDP) and pollutants emissions. The objective of this paper is to detect the relationship between EC, GDP and greenhouse gases emissions (GHG) in group of European countries; Austria, Sweden, Norway, France and Finland for data spa...

This study evaluates the time-varying long range dependence behaviors of the S&P 500 volatility, index using the modified rescaled adjusted range (R/S) statistic which takes into account the possible covariances of the lags in the data. 5916 Chin Wen Cheong et al. Instead of a single estimation for the whole time span, the variations of the long ra...

Normal mixture distribution (NM) is arguably the most important mixture models, and also the most challenging technically. It has been successfully applied in many fields where the application is still expending. In this paper, we provide a tutorial exposition on expectation–maximization (EM) algorithm and Gibbs sampler for parameter estimation of...

Market risk analysis using Value-at-Risk (VaR) and conditional Value-at-Risk (CVaR) have become a popular concept in financial risk management nowadays. At the same time, statistical distributions also play a vital role in market risk analysis. This paper presents the concepts, methods and tools with the use of statistical distribution in risk esti...

Home financing in Islamic banking is an alternative for Muslims who intend to buy a house without the element of interest. However, the method of financing calculation still must purify because the current calculation method still refers to the conventional calculation method. Besides that, a portion of interest payment is higher than the capital r...

Many scholarshaveinvestigatedthe relationship between the economic growth (GDP)energy consumption (EC), and emissions. The main objective of this study is to examine the relationship between the economic growth (GDP), energy consumption (EC) and one of the common pollutant which is sulphuremissions SO2in European countries; Austria, Sweden, Norway,...

This study investigates some interesting empirical stylized facts in the Malaysian Shariah index. These included the clustering volatility, leverage effect, fat-tailed behavior, long memory property and flexible power volatility representation. A conditional heteroscedasticity model is used to capture all the stylized facts. The stylized facts for...

Normal mixture (NM) GARCH model can capture time variation in both conditional skewness and kurtosis. In this paper, we present the general framework of Normal mixture GARCH (1,1). An empirical application is presented using Malaysia weekly stock market returns. This paper provides evidence that, for modeling stock market returns, two-component Nor...

This study investigates the market risk of the Brent's crude oil market. First the long memory time-varying volatility is modelled under the Chung's specification. Second, for model adequacy evaluations on the heavy-tailed, long memory and endogenously estimated power transformation models indicated superior performance in out-of-sample forecasts....

This study examines the transmission of price changes and volatility among the Malaysian economic barometer (FTSE Bursa Malaysia Kuala Lumpur Composite Index- FBMKLCI) and four sectoral markets after the Asian financial crisis. The preliminary structural break identification provides an optimal sample size for the cross-markets transmission mechani...

Principal component analysis reduces dimensionality; however, uncorrelated components imply the existence of variables with weights of opposite signs. This complicates the applicationin data envelopment analysis. To overcome problems due to signs, a modification to the component axes is proposed and was verified using Monte Carlo simulations.

Normal mixture distributions model has been successfully applied in financial time series analysis. In this paper, we estimate the return distribution, value at risk (VaR) and conditional value at risk (CVaR) for monthly and weekly rates of returns for FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) from July 1990 until July 2010 using t...

This study investigates the heterogeneous market hypothesis using high frequency data. The cascaded heterogeneous trading activities with different time durations are modelled by the heterogeneous autoregressive framework. The empirical study indicated the presence of long memory behaviour and predictability elements in the financial time series wh...

Purpose – The purpose of this study is to investigate customer satisfaction and its effect on image, trust, and customer loyalty for Islamic banks. Design/methodology/approach – The study uses data from Islamic banks and dual-window Islamic banks, pertaining to two different customer segments (Muslims and non-Muslims). Findings – The results indica...

Abstract Purpose – The purpose of this study is to investigate customer satisfaction and its effect on image, trust, and customer loyalty for Islamic banks. Design/methodology/approach – The study uses data from Islamic banks and dual-window Islamic banks, pertaining to two different customer segments (Muslims and non-Muslims). Findings – The resul...

In this paper, mixture of Normal distributions is proposed to accommodate the non-normality and asymmetry characteristics of financial time series data as found in the distribution of monthly rates of returns for three indices of Bursa Malaysia Index Series namely the FTSE Bursa Malaysia Composite Index (FBM KLCI), the Finance Index and the Industr...

Kajian tentang hubungan antara pasaran saham dan kadar pertukaran menjadi semakin penting sejak berlakunya krisis kewangan Asia pada tahun 1997 dan krisis kewangan global pada tahun 2008 yang membawa kepada kelembapan pasaran saham dan mata wang asing di kebanyakan ekonomi negara di dunia. Kajian ini cuba melihat hubungan antara kedua-dua pasaran i...

The study on the relationship between stock market and exchange rate have become more important since the occurance of the Asia financial crisis in 1997 and the global economic crisis in 2008 which bring to the slowdown in the stock market as well as the foreign currency in most of the countries in the world. This study tries to investigate the rel...

The paper aims to find a methodology to perform statistical inference for the estimation of efficiencies in the high dimensional data envelopment analysis (DEA) framework. This begins with the examination on the statistical model of the point estimator (mPCA-DEA) that eases the curse of dimensionality. To estimate the asymptotic distribution of mPC...

Problem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence) in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31...

An accurate wholesale electricity market forecast has become an essential tool in bidding and hedging strategies in competitive electricity markets. This paper provides a dynamic asymmetric long memory heteroscedastic model to account the high volatile daily wholesale electricity markets in New England and Louisiana. This model implemented power Co...

The accuracy of financial time series forecasts often relies on the model precision and also the availability of actual observations for forecast evaluations. This study aims to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed the forecast evaluations based on interday and intraday data. F...

This study examines the role of customer satisfaction in enhancing the loyalty of Muslim and non-Muslim customers in the Malaysian Islamic banking industry. Respondents are the customers (Muslim and non-Muslim customers) visiting the bank counters and have an account with Islamic banks. A total of 660 questionnaires were distributed, and 440 were r...

This study proposed a methodology to measure the Hurst exponent with the adjustment of short-range dependence in the financial markets. The possible short-range dependence is adjusted by heteroscedastic models. Two emerging financial markets have been selected to conduct the adjusted Hurst exponent evaluations for the periods before, during and aft...

Purpose – The purpose of this paper is to investigate the international information transmission of return and volatility spillovers from US and Japan markets to Asia‐Pacific markets using daily stock market return data covering the period (1991‐2004). Design/methodology/approach – This paper considers a volatility spillover model by applying a bi...

Using Johansen multivariate cointegration test with structural break and Granger-causality based on vector error correction model, the interactions between stock prices (KLCI) and monetary policy variables (M1, M2 and interest rate) are examined in the Malaysian setting using monthly data for the post 1997 Asian financial crisis period from January...

Risk is one of the important parameters in portfolio optimization problem. Since the introduction ofthe mean-variance model, variance has become the most common risk measure used by practitionersand researchers in portfolio optimization. However, the mean-variance model relies strictly on theassumptions that assets returns are multivariate normally...

In this paper we examine the international transmission of financial crises. In particular, the consequences of the recent US crisis on South East Asia major stock markets. We use a bivariate GARCH model, for which a BEKK representation is adopted. We find evidence of volatility spillovers from US to all South East Asia; however the degree of volat...

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange ra...

This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme- value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. The empirical results evidence the EVT-based VaR are more accurate but only at higher quant...

Problem statement: One of the main purposes of modeling variance is forecasting, which is crucial in many areas of finance. Despite the burgeoning interest in and evaluation of volatility forecasts, a clear consensus on witch volatility model/or distribution specification to use has not yet been reached. Therefore, the out of-sample forecasting abi...

This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is develops to study the possibility of structural chang...

Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of...

Purpose This study attempts to examine the relationship between service quality perception and customers' satisfaction in Malaysian Islamic banking using the SEM approach. Design/methodology/approach This model starts with SERVQUAL measurement scales consisting of six dimensional structures: tangibles, reliability, responsiveness, assurance, and e...

In this paper we introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum of...

The Asian financial crisis that struck most of the East Asian countries in 1997 have caught the attention of many researchers in finance and economic. This is due to realization that during the crisis the countries affected saw their currencies depreciate for more than 50% and their stock markets sharply fall about 30% to 50%. In this paper, we inv...

Phenomenon such as regime shifts in financial time series cannot be modelled implicitly using simple linear time series model. Therefore to overcome this problem a nonlinear time series model is typically designs to accommodate this nonlinear feature in the data. In this paper, we use a univariate 2-regime Markov switching autoregressive model (MS-...

In this paper, we study the extreme behaviour of Malaysian stock exchange returns. Ten stock indices have been selected to investigate the possible similarities and divergences in their tail properties. Our empirical results evidenced that the tail realizations violated the normality and fitted well with heavy-tailed Pareto dis tribution with a mix...

Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of...

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous variables. Our empirical results found that the proposed mode...

In this article, we investigate the impact of structural break on the price, return as well as volatility of Kuala Lumpur Composite Index (KLCI). We include the multiple structural-breaks to examine whether the price index is follows a random walk or mean reversion processes. A joint modified autoregressive-moving average (ARMA) and asymmetric auto...

In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to reduce but not eliminate the excess kurtosis condition c...

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The daily index returns are adjusted for infrequent trading...

Many financial and economic time series undergo episodes where the behaviour of the series seems to change quite dramatically. Such phenomena's are referred to as regime shifts and cannot be modelled by a single equation linear model. Therefore to overcome this problem a nonlinear time series model is typically designed to accommodate this nonlinea...

This paper presents the levels of under-pricing for new issues in a developing country, Malaysia, over a more recent period, January 1990-December 1998, than reported in prior studies. Three types of new issues were examined, namely public issue, offer for sale and combination or hybrid of offer for sale and public issue. Comparisons of initial ret...

The effect of different substrates and different levels of sulfate and sulfide on methane production relative to sulfate reduction in high-rate anaerobic digestion was evaluated. Reactors could be acclimated so that sulfate up to a concentration of 5 g of sulfate S per liter did not significantly affect methanogenesis. Higher levels gave inhibition...

In the high-rate anaerobic reactors studied (ca. 10 g of chemical oxygen demand [COD] removed per liter of reactor per day), the sulfate-reducing bacteria (SRB) were poor competitors of methane-producing bacteria (MPB), scavenging only on the order of 10 to 20% of the total electron flow. The relatively noncompetitive nature of the SRB in this type...

This study proposes a simple methodology to estimate the power-law tail index of the Malaysian stock exchange by using the maximum likelihood Hill's estimator. Recursive procedures base on empirical distribution tests are use to determine the threshold number of observations in the tail estimation. The threshold extreme values can be selected bases...

In this research we introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored likelihood functions to compute the tail minimum...

This article study the influences of structural break to the fractionally integrated time-varying volatility model in Malaysian stock markets from year 1996 to 2006. A fractionally integrated autoregressive conditional heteroscedastic (FIGARCH) model combines with sudden changes of volatility is develops to study the possibility of structural chang...

ABSTRAK Gelagat siri masa kewangan pada dasarnya tidak boleh dimodelkan hanya dengan menggunakan model siri masa linear sahaja. Fenomena seperti min berbalik, kemeruapan pasaran saham dan perubahan struktur siri masa tidak boleh dimodelkan secara tersirat di dalam model linear mudah. Untuk itu, model siri masa tidak linear dibangunkan untuk mengata...

This research investigated the unit-root tests using nonparametric sequences-reversals (S-R), Phillip-Perron (PP) tests and parametric Augmented Dickey-Fuller (ADF) test for the Malaysian equity indices. Under the considerations of drift and structural break, it was found that during the restructuring period after the Asian financial crisis, most o...

This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility and heavy-tailed distribution. Our results evidenced that the predicted VaR under the generalized extreme-value (GEV) distribution exhibited similar results with the symmetric heavy-tailed long-memory ARCH model. However, it is found that only the GEV distributi...

This study investigated the importance of shock and volatility dynamic transmissions in cross-market hedging and market risk evaluations. A trivariate asymmetric time-varying model is used to reveal the hidden dynamics price changes and volatility correlations among the selected Southeast Asian emerging markets after the Asian financial crisis. The...