Using the GARCH (generalized ARCH) specification, this paper examines the Ramadan effect for stock markets in both Islamic and non-Islamic countries in Southeast Asia for the period 1997 to 2008. Similar patterns of results were observed in these Islamic and non-Islamic countries, suggesting the...

This study was conducted on the basis that there is an inconsistency in the study results on the effects of world oil price change on stock market return. This study, therefore, examined the effects of world oil price changes on the stock market returns in Southeast Asia including Indonesia...

Weaknesses in banking systems are rooted in government credit-allocation preferences that prove unsupportable in private markets. Losses that preferential loans impose on lending banks and on the governmental safety net can be covered up for awhile, but not indefinitely. A silent run begins when...

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns in Southeast Asia. Using the latest econometric techniques and a high-frequency dataset, we construct two high-frequency betas associated with intraday continuous and...

Purpose – This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach – The analysis uses a vector autoregression with a bivariate...