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Dr. Safwan Mohd Nor
University of Malaysia Terengganu, Kuala Nerus, Terengganu, Malaysia

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0 Finance
0 Financial Modeling
0 Portfolio Optimization
0 Trading Strategies
0 Big data and artificial intelligence

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Investment Analysis

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Research article
Published: 12 June 2021 in Economic Research-Ekonomska Istraživanja
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Governments around the world have responded to the COVID-19 outbreak with a mix of policies. The strictest responses of the New Zealand government are notable, given their abilities to contain and limit the spread of the virus. However, their impacts on stock returns remain unclear. This paper investigates the impact of three policies, namely lockdown, the stimulus package, and the travel ban, on the returns of 14 New Zealand industry stock indices. Using daily data from 1 January 2019 to 25 August 2020, evidence points to a heightened level of integration among the various industry stock indices during the early stages of the pandemic. Only lockdown has had a positive impact on aggregate stock returns, suggesting its ability to raise investors’ confidence in the overall stock market. At the industry level, the impact of the three response policies is generally positive but heterogeneous across industry stock indices. Notably, none of the three adopted policies significantly impact technology, healthcare, and real estate returns.

ACS Style

Elie Bouri; Muhammad Abubakr Naeem; Safwan Mohd Nor; Imen Mbarki; Tareq Saeed. Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istraživanja 2021, 1 -24.

AMA Style

Elie Bouri, Muhammad Abubakr Naeem, Safwan Mohd Nor, Imen Mbarki, Tareq Saeed. Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istraživanja. 2021; ():1-24.

Chicago/Turabian Style

Elie Bouri; Muhammad Abubakr Naeem; Safwan Mohd Nor; Imen Mbarki; Tareq Saeed. 2021. "Government responses to COVID-19 and industry stock returns." Economic Research-Ekonomska Istraživanja , no. : 1-24.

Journal article
Published: 23 February 2021 in Mathematics
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The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.

ACS Style

Muhammad Naeem; Saqib Farid; Safwan Nor; Syed Shahzad. Spillover and Drivers of Uncertainty among Oil and Commodity Markets. Mathematics 2021, 9, 441 .

AMA Style

Muhammad Naeem, Saqib Farid, Safwan Nor, Syed Shahzad. Spillover and Drivers of Uncertainty among Oil and Commodity Markets. Mathematics. 2021; 9 (4):441.

Chicago/Turabian Style

Muhammad Naeem; Saqib Farid; Safwan Nor; Syed Shahzad. 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets." Mathematics 9, no. 4: 441.

Journal article
Published: 13 February 2021 in Mathematics
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This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

ACS Style

Furkan Emirmahmutoglu; Tolga Omay; Syed Jawad Hussain Shahzad; Safwan Mohd Nor. Smooth Break Detection and De-Trending in Unit Root Testing. Mathematics 2021, 9, 371 .

AMA Style

Furkan Emirmahmutoglu, Tolga Omay, Syed Jawad Hussain Shahzad, Safwan Mohd Nor. Smooth Break Detection and De-Trending in Unit Root Testing. Mathematics. 2021; 9 (4):371.

Chicago/Turabian Style

Furkan Emirmahmutoglu; Tolga Omay; Syed Jawad Hussain Shahzad; Safwan Mohd Nor. 2021. "Smooth Break Detection and De-Trending in Unit Root Testing." Mathematics 9, no. 4: 371.

Journal article
Published: 12 January 2021 in Sustainability
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This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

ACS Style

Ramiz Rehman; Muhammad Abidin; Rizwan Ali; Safwan Nor; Muhammad Naseem; Mudassar Hasan; Muhammad Ahmad. The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability 2021, 13, 676 .

AMA Style

Ramiz Rehman, Muhammad Abidin, Rizwan Ali, Safwan Nor, Muhammad Naseem, Mudassar Hasan, Muhammad Ahmad. The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability. 2021; 13 (2):676.

Chicago/Turabian Style

Ramiz Rehman; Muhammad Abidin; Rizwan Ali; Safwan Nor; Muhammad Naseem; Mudassar Hasan; Muhammad Ahmad. 2021. "The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies." Sustainability 13, no. 2: 676.

Data article
Published: 26 December 2020 in Data in Brief
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Since the launch of the InvestSmart™ initiative in 2014, the government agencies in Malaysia have been actively engaging community and university students via their outreach programs to promote investment literacy. Given this background, the state of the investment literacy of Malaysian undergraduates and their readiness to invest is intriguing. Therefore, this article offers a dataset of Malaysian undergraduates’ readiness to invest and the role that investment literacy and social influence play in their readiness to invest. Using a non-probability sampling technique, 500 undergraduate students in Malaysia were engaged to participate voluntarily in this survey. Descriptive statistics are presented in this paper. The dataset provides insights into the current state of investment literacy among Malaysian undergraduates, the sources of information on stock investment, and the readiness of these undergraduates to participate in the stock market.

ACS Style

Zairihan Abdul Halim; Muhammad Nukman Zolkefli; Suhal Kusairi; Safwan Mohd Nor; Nur Haiza Muhammad Zawawi; Muhammad Najit Sukemi. Investment literacy, social influence and undergraduates’ readiness to invest: dataset from Malaysia. Data in Brief 2020, 34, 106700 .

AMA Style

Zairihan Abdul Halim, Muhammad Nukman Zolkefli, Suhal Kusairi, Safwan Mohd Nor, Nur Haiza Muhammad Zawawi, Muhammad Najit Sukemi. Investment literacy, social influence and undergraduates’ readiness to invest: dataset from Malaysia. Data in Brief. 2020; 34 ():106700.

Chicago/Turabian Style

Zairihan Abdul Halim; Muhammad Nukman Zolkefli; Suhal Kusairi; Safwan Mohd Nor; Nur Haiza Muhammad Zawawi; Muhammad Najit Sukemi. 2020. "Investment literacy, social influence and undergraduates’ readiness to invest: dataset from Malaysia." Data in Brief 34, no. : 106700.

Journal article
Published: 07 November 2020 in Sustainability
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A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism stocks in emerging economies. This objective was achieved by employing the non-parametric causality-in-quantiles (CiQ) model and a cross-quantilogram (CQ) test, which allowed us to uncover the predictive potential of GPR for the tourism sector equities. Our findings, obtained through the CiQ model, suggest that while both local and global GPRs carry significant potential for predicting the returns and volatility of tourism stocks of most emerging economies under normal market conditions, they seem to play no such role in certain countries. These countries include South Korea, for which only a limited number of tourism stocks trade on the domestic stock market compared to other sectors, and Colombia, for which both the domestic stock market and tourism sectors are at an emerging stage. Further, it turns out that, compared to its local counterpart, global GPR has a more pronounced predictive power for the tourism stocks of emerging economies. Finally, with some exceptions, the results are qualitatively similar, and hence reasonably robust, to those when a directional predictability model is applied. Given that geopolitical shocks are largely unanticipated, our findings underscore the importance of a robust tourism sector that can help the market recover to stability as well as an open economy that allows local investors to diversify country-specific risks in their portfolios. Implications and directions for future research are discussed.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability 2020, 12, 9261 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability. 2020; 12 (21):9261.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Geopolitical Risk and Tourism Stocks of Emerging Economies." Sustainability 12, no. 21: 9261.

Journal article
Published: 31 October 2020 in Mathematics
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The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short- and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics 2020, 8, 1904 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics. 2020; 8 (11):1904.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities." Mathematics 8, no. 11: 1904.

Journal article
Published: 15 April 2020 in Economic Annals-ХХI
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This paper explores investment profitability in an emerging European stock market using fundamental analysis enhanced by artificial neural networks. Using a set of accounting-based financial ratios from publicly available data source, we find that these ratios possess useful information in forecasting future stock returns of Athens Stock Exchange (ATHEX) constituent firms. By combining long and short rules, the neurally reinforced fundamental strategy surpasses the unconditional buy-and-hold rule in the holdout subperiod in terms of returns (total and annualized) and risk (volatility, downside volatility and drawdown) measures. Overall results remain consistent even in the presence of trading costs. Our findings suggest that stock prices in Greece do not fully incorporate financial statement information and thus inconsistent with the principle of market efficiency at the semi-strong form.

ACS Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. A neural network approach for fundamental investment analysis: a case of Athens Stock Exchange. Economic Annals-ХХI 2020, 182, 56 -63.

AMA Style

Safwan Mohd Nor, Victoria University, Nur Haiza Muhammad Zawawi, University of Malaysia Terengganu. A neural network approach for fundamental investment analysis: a case of Athens Stock Exchange. Economic Annals-ХХI. 2020; 182 (3-4):56-63.

Chicago/Turabian Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. 2020. "A neural network approach for fundamental investment analysis: a case of Athens Stock Exchange." Economic Annals-ХХI 182, no. 3-4: 56-63.

Journal article
Published: 24 December 2019 in Investment Management and Financial Innovations
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The industrial sector is one of the most vital sectors in the national economy, so different local and global factors affect its performance. The study examines the impact of the global and local macroeconomic variables on the industrial index of the Amman Stock Exchange. This study covered the period from January 2007 to December 2016, which is considered as a crucial period in the Middle Eastern countries. This period encompasses the worldwide economic meltdown from 2007 to 2008, the Arab spring of 2010 and the wars in Syria and Iraq from 2012 to 2014. The macroeconomic variables used in this study as domestic variables from Jordan were the deposit interest rate (IN), inflation rate (INF), money supply 2 (MS2), trade balance (TR), producer price index (PPI) and the industrial production index (IPI). At the same time the global oil price (WTI) was used as a global factor to measure the external shocks. This study used the ARDL bound testing approach to examine the co-integration, short-run and long-run relationships. Moreover, Granger causality test was used to detect the causality relationship in the short and long run between the selected macroeconomic indicators and the industrial index. It was found out that the inflation rate positively influenced the industrial index, which provides some evidence that the industrial sector in Jordan acts as a hedge against inflation. In addition, the global oil price showed a significant negative impact on the industrial sector. Some important implications for investors, government bodies, and policymakers are discussed.

ACS Style

Nawaf Abuoliem; Safwan Mohd Nor; Muhamad Safiih Lola; Ali Matar. Dynamic interactions among the industrial sector and its determinants in Jordan. Investment Management and Financial Innovations 2019, 16, 325 -341.

AMA Style

Nawaf Abuoliem, Safwan Mohd Nor, Muhamad Safiih Lola, Ali Matar. Dynamic interactions among the industrial sector and its determinants in Jordan. Investment Management and Financial Innovations. 2019; 16 (4):325-341.

Chicago/Turabian Style

Nawaf Abuoliem; Safwan Mohd Nor; Muhamad Safiih Lola; Ali Matar. 2019. "Dynamic interactions among the industrial sector and its determinants in Jordan." Investment Management and Financial Innovations 16, no. 4: 325-341.

Journal article
Published: 30 September 2019 in Economic Annals-ХХI
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ACS Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks. Economic Annals-ХХI 2019, 178, 114 -122.

AMA Style

Safwan Mohd Nor, Victoria University, Nur Haiza Muhammad Zawawi, University of Malaysia Terengganu. Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks. Economic Annals-ХХI. 2019; 178 (7-8):114-122.

Chicago/Turabian Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. 2019. "Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks." Economic Annals-ХХI 178, no. 7-8: 114-122.

Journal article
Published: 01 September 2019 in Journal of International Studies
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ACS Style

Nawaf Abuoliem; Safwan Mohd Nor; Ali Matar; Terrence Hallahan. Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses. Journal of International Studies 2019, 12, 131 -146.

AMA Style

Nawaf Abuoliem, Safwan Mohd Nor, Ali Matar, Terrence Hallahan. Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses. Journal of International Studies. 2019; 12 (3):131-146.

Chicago/Turabian Style

Nawaf Abuoliem; Safwan Mohd Nor; Ali Matar; Terrence Hallahan. 2019. "Crude oil prices, macroeconomic indicators and the financial sector in Jordan: Dynamic causes and responses." Journal of International Studies 12, no. 3: 131-146.

Journal article
Published: 31 October 2018 in Economic Annals-ХХI
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ACS Style

Saleh Salem Saeed Bajrei; University of Malaysia Terengganu; Shahnaz Ismail; Safwan Mohd Nor; Victoria University. Panel data analysis of ownership structure and board effectiveness influence on GCC bank performance. Economic Annals-ХХI 2018, 172, 4 -8.

AMA Style

Saleh Salem Saeed Bajrei, University of Malaysia Terengganu, Shahnaz Ismail, Safwan Mohd Nor, Victoria University. Panel data analysis of ownership structure and board effectiveness influence on GCC bank performance. Economic Annals-ХХI. 2018; 172 (7-8):4-8.

Chicago/Turabian Style

Saleh Salem Saeed Bajrei; University of Malaysia Terengganu; Shahnaz Ismail; Safwan Mohd Nor; Victoria University. 2018. "Panel data analysis of ownership structure and board effectiveness influence on GCC bank performance." Economic Annals-ХХI 172, no. 7-8: 4-8.

Journal article
Published: 01 September 2018 in Economic Annals-ХХI
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ACS Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. Optimal portfolios vis-à-vis corporate governance ratings: some UK evidence. Economic Annals-ХХI 2018, 170, 57 -63.

AMA Style

Safwan Mohd Nor, Victoria University, Nur Haiza Muhammad Zawawi, University of Malaysia Terengganu. Optimal portfolios vis-à-vis corporate governance ratings: some UK evidence. Economic Annals-ХХI. 2018; 170 (3-4):57-63.

Chicago/Turabian Style

Safwan Mohd Nor; Victoria University; Nur Haiza Muhammad Zawawi; University of Malaysia Terengganu. 2018. "Optimal portfolios vis-à-vis corporate governance ratings: some UK evidence." Economic Annals-ХХI 170, no. 3-4: 57-63.

Journal article
Published: 01 December 2017 in Economic Annals-ХХI
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ACS Style

Safwan Mohd Nor; University of Malaysia Terengganu; Sardar M. N. Islam; Victoria University. Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints. Economic Annals-ХХI 2017, 166, 56 -60.

AMA Style

Safwan Mohd Nor, University of Malaysia Terengganu, Sardar M. N. Islam, Victoria University. Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints. Economic Annals-ХХI. 2017; 166 (7-8):56-60.

Chicago/Turabian Style

Safwan Mohd Nor; University of Malaysia Terengganu; Sardar M. N. Islam; Victoria University. 2017. "Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints." Economic Annals-ХХI 166, no. 7-8: 56-60.

Research article
Published: 17 November 2017 in Global Business Review
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The study examines the cointegration and causal relationship between credit default swap spreads, stock prices, VIX, interest rate and slope of the yield curve for the 10 industries in the USA over the period 14 December 2007 to 30 September 2015. Due to the presence of cross-sectional dependence in the panel, we employ the Pesaran (2007, Journal of Applied Econometrics, 22(2), 265–312) CIPS test to ascertain unit root properties. The cointegration test underscores the presence of a long-run association between the variables. The long-run heterogeneous panel elasticities are estimated via Dynamic OLS (DOLS) and the causality is examined by using the Dumitrescu and Hurlin (2012, Economic Modelling, 29(4), 1450–1460) Granger causality tests. The empirical results reveal that stock prices (volatility), interest rate and slope of the yield curve decrease (increase) the CDS premia; and stock prices, VIX and interest rate Granger-cause the CDS spreads for most of the industries.

ACS Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Nur Azura Sanusi; Ronald Ravinesh Kumar. The Determinants of Credit Risk: Analysis of US Industry-level Indices. Global Business Review 2017, 19, 1152 -1165.

AMA Style

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Nur Azura Sanusi, Ronald Ravinesh Kumar. The Determinants of Credit Risk: Analysis of US Industry-level Indices. Global Business Review. 2017; 19 (5):1152-1165.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Nur Azura Sanusi; Ronald Ravinesh Kumar. 2017. "The Determinants of Credit Risk: Analysis of US Industry-level Indices." Global Business Review 19, no. 5: 1152-1165.

Journal article
Published: 21 August 2017 in Investment Management and Financial Innovations
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The profitability of simple technical trading rules remains an interesting topic and has been thoroughly explored in the literature. In this paper, the authors investigate the profitability of two popular moving average (MA) rules in the Bursa Malaysia before, during and after the global financial crisis (GFC) of 2008-2009. Using variable length MA (VMA) and fixed length MA (FMA) technical rules, the authors explore if there were differences in their performance during the different market phases, and if swing traders can gain by trading on the basis of these strategies. When practical trading constraints are considered, the authors find that MA rules performed differently during the three market phases. Over time, the forecasting powers of these rules have diluted and they have performed poorly in the most recent subsample. The findings suggest that the Malaysian stock market is gradually becoming more efficient. This outcome can be attributed to the technological advancements and widespread use of exchange traded funds.

ACS Style

Safwan Mohd Nor; Guneratne Wickremasinghe. Market efficiency and technical analysis during different market phases: further evidence from Malaysia. Investment Management and Financial Innovations 2017, 14, 359 -366.

AMA Style

Safwan Mohd Nor, Guneratne Wickremasinghe. Market efficiency and technical analysis during different market phases: further evidence from Malaysia. Investment Management and Financial Innovations. 2017; 14 (2):359-366.

Chicago/Turabian Style

Safwan Mohd Nor; Guneratne Wickremasinghe. 2017. "Market efficiency and technical analysis during different market phases: further evidence from Malaysia." Investment Management and Financial Innovations 14, no. 2: 359-366.

Journal article
Published: 11 July 2017 in Journal of Economic Studies
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The purpose of this study is to identify the arbitrage opportunities between U.S industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons. The authors use daily data of 11 U.S industries stock markets and their credit counterparts to model the dynamic dependence and casual nexuses using time-frequency approach namely wavelet squared coherence (WTC). The WTC estimation results show that credit and stock markets are out of phase (counter cyclical) and stock markets lead their credit counterparts. The coherence between two markets increases during financial crises. The Banks (Utilities) industry credit and stock markets have relatively high (low) dependence. The casual nexuses between stock and credit markets have multilateral dimensions. Greater interest in examining the relationship between stock markets and credit default swap (CDS) spreads emerged as an important albeit a complex area of research, and gained prominence especially at the onset and following the global financial crises of 2007-08 which clearly showed that the positive views of CDSs contribution in creating a resilient and efficient financial sector was nothing further from the truth. The arbitrage and hedging opportunities between stock and credit markets are industry dependent and vary over investment time horizons. Utilities industry seems attractive for the investment with the objective to exploit arbitrage, but not for hedging. The paper, for the first time, employs time-frequency approach to assess the arbitrage opportunities between U.S industry-level credit and stock markets.

ACS Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Nur Azura Sanusi; Ronald Ravinesh Kumar. The lead-lag relationship between U.S. industry-level credit and stock markets. Journal of Economic Studies 2017, 00 -00.

AMA Style

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Nur Azura Sanusi, Ronald Ravinesh Kumar. The lead-lag relationship between U.S. industry-level credit and stock markets. Journal of Economic Studies. 2017; ():00-00.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Nur Azura Sanusi; Ronald Ravinesh Kumar. 2017. "The lead-lag relationship between U.S. industry-level credit and stock markets." Journal of Economic Studies , no. : 00-00.

Journal article
Published: 01 April 2017 in Physica A: Statistical Mechanics and its Applications
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ACS Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Walid Mensi; Ronald Ravinesh Kumar. Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. Physica A: Statistical Mechanics and its Applications 2017, 471, 351 -363.

AMA Style

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Walid Mensi, Ronald Ravinesh Kumar. Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches. Physica A: Statistical Mechanics and its Applications. 2017; 471 ():351-363.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Walid Mensi; Ronald Ravinesh Kumar. 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches." Physica A: Statistical Mechanics and its Applications 471, no. : 351-363.

Journal article
Published: 01 January 2017 in Physica A: Statistical Mechanics and its Applications
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ACS Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Ronald Ravinesh Kumar; Walid Mensi. Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. Physica A: Statistical Mechanics and its Applications 2017, 466, 310 -324.

AMA Style

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Ronald Ravinesh Kumar, Walid Mensi. Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. Physica A: Statistical Mechanics and its Applications. 2017; 466 ():310-324.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Ronald Ravinesh Kumar; Walid Mensi. 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches." Physica A: Statistical Mechanics and its Applications 466, no. : 310-324.

Journal article
Published: 01 January 2017 in Economic Modelling
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ACS Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Roman Ferrer; Shawkat Hammoudeh. Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. Economic Modelling 2017, 60, 211 -230.

AMA Style

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Roman Ferrer, Shawkat Hammoudeh. Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. Economic Modelling. 2017; 60 ():211-230.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Safwan Mohd Nor; Roman Ferrer; Shawkat Hammoudeh. 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach." Economic Modelling 60, no. : 211-230.