Mohammed Shaiban - Academia.edu (original) (raw)
Papers by Mohammed Shaiban
World Academy of Science, Engineering and Technology, International Journal of Economics and Management Engineering, Mar 5, 2017
Social Science Research Network, 2016
Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shoc... more Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shocks of the recent banking crisis through variety of domestic macro gears as the international transmission shocks are evidently challenging to handle. This study aims to explore the global contagion spillovers from crisis-oriented country (US) to nine selected countries with dual-banking system during the crisis from 2007 to 2009. Empirical findings indicate that Islamic banking industries in all countries are exposed to at least one specific type of contagion effect, suggesting that Islamic banking model is not operating out in an isolated island and that the growth momentum of the industry will continue to integrate in world's banking system. Together, results suggest that Islamic banks are vulnerable to international transmission shocks from crisis-oriented country and that signal crucial need for developing more advanced risk management tools for this banking model.
Energy Economics, Jun 1, 2016
Pacific-basin Finance Journal, Apr 1, 2021
Abstract We argue that the different features of the Islamic banking model, as being a relatively... more Abstract We argue that the different features of the Islamic banking model, as being a relatively young industry with recent rapid growth, might influence the magnitude of investor sentiment impact on its market returns differently from its conventional counterparts. Using Google-search-query-based investor sentiment and turnover measures and market data over the period 2006–2017, we find that Islamic banks are more sensitive to fluctuations in investor sentiment than their conventional counterparts located in the same country for Bahrain, Egypt, Malaysia, Kuwait, Jordan, Pakistan, Qatar, Saudi Arabia, Turkey, and UAE. Furthermore, our evidence suggests that the effect of investor sentiment on both conventional and Islamic banks is, to some extent, asymmetric. Specifically, the mood of optimistic investors imposes a stronger effect on bank stock performance in the dual-banking industry. Our results suggest that investors' herding behavior might contribute to the contagion from U.S. banking to Islamic banking.
Finance Research Letters, 2023
Energy Economics, Feb 1, 2020
African Journal of …, 2011
This paper investigates the relationship between Investment Opportunity Set (IOS) and dividend po... more This paper investigates the relationship between Investment Opportunity Set (IOS) and dividend policy and if ownership structure moderates this relationship in an emerging economy context. The contracting theory based on Jensen's free cash flow (FCF) theory is ...
Energy Economics, Nov 1, 2022
Pacific-Basin Finance Journal, 2021
Abstract We argue that the different features of the Islamic banking model, as being a relatively... more Abstract We argue that the different features of the Islamic banking model, as being a relatively young industry with recent rapid growth, might influence the magnitude of investor sentiment impact on its market returns differently from its conventional counterparts. Using Google-search-query-based investor sentiment and turnover measures and market data over the period 2006–2017, we find that Islamic banks are more sensitive to fluctuations in investor sentiment than their conventional counterparts located in the same country for Bahrain, Egypt, Malaysia, Kuwait, Jordan, Pakistan, Qatar, Saudi Arabia, Turkey, and UAE. Furthermore, our evidence suggests that the effect of investor sentiment on both conventional and Islamic banks is, to some extent, asymmetric. Specifically, the mood of optimistic investors imposes a stronger effect on bank stock performance in the dual-banking industry. Our results suggest that investors' herding behavior might contribute to the contagion from U.S. banking to Islamic banking.
World Academy of Science, Engineering and Technology, International Journal of Economics and Management Engineering, 2017
Singapore journal of legal studies, 2014
Takaful (Islamic insurance) is a form of cooperative insurance involving the allocation and sprea... more Takaful (Islamic insurance) is a form of cooperative insurance involving the allocation and spreading of risk. Its phenomenal growth in Malaysia, Pakistan and the Gulf States and its untapped potential in Indonesia, China and India have resulted in global insurance markets like the United Kingdom (UK) and Australia positioning themselves as leading conventional and Islamic financial centres. This article examines the takaful regulations in Muslim-majority jurisdictions where takaful is offered on a large scale, such as Malaysia, Bahrain, Pakistan, Saudi Arabia, the United Arab Emirates (UAE), Indonesia, Egypt, Brunei, Sudan and Iran, with respect to the core takaful principles of good faith, disclosure, non-misrepresentation, insurable interest, reciprocity in claims handling and the ensuing remedies. This, along with an analysis of the international takaful standards set by the Islamic Financial Services Board, will be benchmarked against Australia's and the UK's progressiv...
Frontiers in Energy Research, 2021
Oil price shocks harm real output and bank and industrial profit in most oil-importing countries,... more Oil price shocks harm real output and bank and industrial profit in most oil-importing countries, which has motivated us to investigate the impact of these shocks on the equity performance of banking industries. To fulfill the research objectives, we involve a sample of developed and emerging economies for comparison purposes. The objective of employing the Toda and Yamamoto (Journal of econometrics, 1995, 66 (1), 225–250) causality test is to explore the time-variant relationship between oil prices and banking indices to investigate how oil price shocks affect the performance of country-specific banking industries. In addition, an impulse response function and variance decomposition analysis are utilized to, respectively, examine the time-variant relationship between oil price shocks and macroeconomic factors and the performance of the banking sector. Results vary across different economies in our sample, but the magnitude of oil price impact is relatively significant in the US, th...
Energy Economics, 2020
This paper examines the volatility models and their forecasting abilities for four types of petro... more This paper examines the volatility models and their forecasting abilities for four types of petroleum futures contracts traded on the New York Mercantile Exchange. The aim of this paper is twofold. Firstly, it replicates and carries out the robustness checks using the rigorous model confidence set test on the out-of-sample volatility forecast analysis undertaken by Sadorsky (Energy Economics, 2006; 28, 467-488) through the same statistical models but with the extended data on daily prices of petroleum futures. Our test results largely confirm the findings obtained in the replicated paper. Secondly, our paper also explores the relevance of some statistical complexities (e.g., model optimality, regime switches, and alternative distribution functions) in volatility forecasting through a large number of moving windows. Our results, in general, show that accounting for the model optimality, structural breaks, and using the asymmetric heavy-tailed distribution functions in the estimations lead to significant forecasting accuracy gains.
Corporate Ownership and Control, 2014
This paper examines the association between growth opportunities and dividend payouts and moderat... more This paper examines the association between growth opportunities and dividend payouts and moderates the relationship between growth opportunities and dividend payouts. Our sample consisted of the Malaysian top 300 public listed companies (in terms of market capitalization) for a period from 2004 to 2011. Based on a specified selection process, the sample contained 1330 firm-year observations, after excluding firms with missing data. This paper finds that growth opportunities is associated with less dividends payouts and that this relationship is weaker for Bumiputera ethnic controlled firms. Furthermore, the results show that this negative association exists only for non-Government Linked Controlled firms
SSRN Electronic Journal, 2016
Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shoc... more Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shocks of the recent banking crisis through variety of domestic macro gears as the international transmission shocks are evidently challenging to handle. This study aims to explore the global contagion spillovers from crisis-oriented country (US) to nine selected countries with dual-banking system during the crisis from 2007 to 2009. Empirical findings indicate that Islamic banking industries in all countries are exposed to at least one specific type of contagion effect, suggesting that Islamic banking model is not operating out in an isolated island and that the growth momentum of the industry will continue to integrate in world’s banking system. Together, results suggest that Islamic banks are vulnerable to international transmission shocks from crisis-oriented country and that signal crucial need for developing more advanced risk management tools for this banking model.
SSRN Electronic Journal, 2017
Recent literature theoretically assumes that exuberant Investors’ sentiments increase the price o... more Recent literature theoretically assumes that exuberant Investors’ sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor sentiment, financial market, and macroeconomic fluctuation. The objective is achieved by Yamamoto causality test, generalized impulse response function, and variance decomposition, which confirms robust results in multiple perspectives. We employ two indicators for investor sentiment, three stock market indices and seven macroeconomic variables covering the period January 1992 to September 2015. Our results suggest strong evidence on the negative causality from Baker and Wurgler (2006)’s sentiment measures to NASDAQ, and show short run bi-directional influence between VIX and financial market. Vis-à-vis to the spillover effect from financial market to real economic activities, our findings further indicate an observable impact on financial markets on production indicators, such as industrial production and capacity utilization. Overall, our study empirically supports the conceptual work of Benhabib et al. (2016) and validates the impact of sentiment shocks on the real sector and business prices over the business cycle.
Energy Economics, 2016
This paper focuses on examining the impact of crude oil price volatility on the price changes of ... more This paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils (rapeseed, soybean, and sunflower), which are the main feedstock for the biodiesel industry in the European Union. For this purpose, a four-variate version of non-diagonal GARCH-in-mean model that allows for asymmetry in the variance-covariance matrix is used. An important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study. The volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock. However, the size of the impacts is mainly commodity specific. Finally, we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the Granger causality test and generalized impulse response function analysis, respectively. The empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study, and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices.
This paper investigates the extent to which information intermediaries, represented by financial ... more This paper investigates the extent to which information intermediaries, represented by financial analysts, influence the relative amount of firm specific and market-level information being impounded into stock prices, as measured by stock price synchronicity. Using a sample of fifteen thousand and one hundred twenty (15,120) stocks from forty (40) countries, we find that stock price synchronicity is positively associated with analysts’ forecasting activities, which is consistent with analysts increasing the amount of market level information in prices through intra-industry information transfers. We also find that increased disclosure, represented by the level of frequent reporting, moderates the relationship between analysts’ forecasting activity and stock price synchronicity, and facilitates the firm-specific component of future earnings. Together, the results suggest that price-relevant information conveyed by financial analysts’ activities is a function of the relative informati...
World Academy of Science, Engineering and Technology, International Journal of Economics and Management Engineering, Mar 5, 2017
Social Science Research Network, 2016
Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shoc... more Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shocks of the recent banking crisis through variety of domestic macro gears as the international transmission shocks are evidently challenging to handle. This study aims to explore the global contagion spillovers from crisis-oriented country (US) to nine selected countries with dual-banking system during the crisis from 2007 to 2009. Empirical findings indicate that Islamic banking industries in all countries are exposed to at least one specific type of contagion effect, suggesting that Islamic banking model is not operating out in an isolated island and that the growth momentum of the industry will continue to integrate in world's banking system. Together, results suggest that Islamic banks are vulnerable to international transmission shocks from crisis-oriented country and that signal crucial need for developing more advanced risk management tools for this banking model.
Energy Economics, Jun 1, 2016
Pacific-basin Finance Journal, Apr 1, 2021
Abstract We argue that the different features of the Islamic banking model, as being a relatively... more Abstract We argue that the different features of the Islamic banking model, as being a relatively young industry with recent rapid growth, might influence the magnitude of investor sentiment impact on its market returns differently from its conventional counterparts. Using Google-search-query-based investor sentiment and turnover measures and market data over the period 2006–2017, we find that Islamic banks are more sensitive to fluctuations in investor sentiment than their conventional counterparts located in the same country for Bahrain, Egypt, Malaysia, Kuwait, Jordan, Pakistan, Qatar, Saudi Arabia, Turkey, and UAE. Furthermore, our evidence suggests that the effect of investor sentiment on both conventional and Islamic banks is, to some extent, asymmetric. Specifically, the mood of optimistic investors imposes a stronger effect on bank stock performance in the dual-banking industry. Our results suggest that investors' herding behavior might contribute to the contagion from U.S. banking to Islamic banking.
Finance Research Letters, 2023
Energy Economics, Feb 1, 2020
African Journal of …, 2011
This paper investigates the relationship between Investment Opportunity Set (IOS) and dividend po... more This paper investigates the relationship between Investment Opportunity Set (IOS) and dividend policy and if ownership structure moderates this relationship in an emerging economy context. The contracting theory based on Jensen's free cash flow (FCF) theory is ...
Energy Economics, Nov 1, 2022
Pacific-Basin Finance Journal, 2021
Abstract We argue that the different features of the Islamic banking model, as being a relatively... more Abstract We argue that the different features of the Islamic banking model, as being a relatively young industry with recent rapid growth, might influence the magnitude of investor sentiment impact on its market returns differently from its conventional counterparts. Using Google-search-query-based investor sentiment and turnover measures and market data over the period 2006–2017, we find that Islamic banks are more sensitive to fluctuations in investor sentiment than their conventional counterparts located in the same country for Bahrain, Egypt, Malaysia, Kuwait, Jordan, Pakistan, Qatar, Saudi Arabia, Turkey, and UAE. Furthermore, our evidence suggests that the effect of investor sentiment on both conventional and Islamic banks is, to some extent, asymmetric. Specifically, the mood of optimistic investors imposes a stronger effect on bank stock performance in the dual-banking industry. Our results suggest that investors' herding behavior might contribute to the contagion from U.S. banking to Islamic banking.
World Academy of Science, Engineering and Technology, International Journal of Economics and Management Engineering, 2017
Singapore journal of legal studies, 2014
Takaful (Islamic insurance) is a form of cooperative insurance involving the allocation and sprea... more Takaful (Islamic insurance) is a form of cooperative insurance involving the allocation and spreading of risk. Its phenomenal growth in Malaysia, Pakistan and the Gulf States and its untapped potential in Indonesia, China and India have resulted in global insurance markets like the United Kingdom (UK) and Australia positioning themselves as leading conventional and Islamic financial centres. This article examines the takaful regulations in Muslim-majority jurisdictions where takaful is offered on a large scale, such as Malaysia, Bahrain, Pakistan, Saudi Arabia, the United Arab Emirates (UAE), Indonesia, Egypt, Brunei, Sudan and Iran, with respect to the core takaful principles of good faith, disclosure, non-misrepresentation, insurable interest, reciprocity in claims handling and the ensuing remedies. This, along with an analysis of the international takaful standards set by the Islamic Financial Services Board, will be benchmarked against Australia's and the UK's progressiv...
Frontiers in Energy Research, 2021
Oil price shocks harm real output and bank and industrial profit in most oil-importing countries,... more Oil price shocks harm real output and bank and industrial profit in most oil-importing countries, which has motivated us to investigate the impact of these shocks on the equity performance of banking industries. To fulfill the research objectives, we involve a sample of developed and emerging economies for comparison purposes. The objective of employing the Toda and Yamamoto (Journal of econometrics, 1995, 66 (1), 225–250) causality test is to explore the time-variant relationship between oil prices and banking indices to investigate how oil price shocks affect the performance of country-specific banking industries. In addition, an impulse response function and variance decomposition analysis are utilized to, respectively, examine the time-variant relationship between oil price shocks and macroeconomic factors and the performance of the banking sector. Results vary across different economies in our sample, but the magnitude of oil price impact is relatively significant in the US, th...
Energy Economics, 2020
This paper examines the volatility models and their forecasting abilities for four types of petro... more This paper examines the volatility models and their forecasting abilities for four types of petroleum futures contracts traded on the New York Mercantile Exchange. The aim of this paper is twofold. Firstly, it replicates and carries out the robustness checks using the rigorous model confidence set test on the out-of-sample volatility forecast analysis undertaken by Sadorsky (Energy Economics, 2006; 28, 467-488) through the same statistical models but with the extended data on daily prices of petroleum futures. Our test results largely confirm the findings obtained in the replicated paper. Secondly, our paper also explores the relevance of some statistical complexities (e.g., model optimality, regime switches, and alternative distribution functions) in volatility forecasting through a large number of moving windows. Our results, in general, show that accounting for the model optimality, structural breaks, and using the asymmetric heavy-tailed distribution functions in the estimations lead to significant forecasting accuracy gains.
Corporate Ownership and Control, 2014
This paper examines the association between growth opportunities and dividend payouts and moderat... more This paper examines the association between growth opportunities and dividend payouts and moderates the relationship between growth opportunities and dividend payouts. Our sample consisted of the Malaysian top 300 public listed companies (in terms of market capitalization) for a period from 2004 to 2011. Based on a specified selection process, the sample contained 1330 firm-year observations, after excluding firms with missing data. This paper finds that growth opportunities is associated with less dividends payouts and that this relationship is weaker for Bumiputera ethnic controlled firms. Furthermore, the results show that this negative association exists only for non-Government Linked Controlled firms
SSRN Electronic Journal, 2016
Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shoc... more Tremendous efforts and initiatives have been proposed by policy makers to minimize the sever shocks of the recent banking crisis through variety of domestic macro gears as the international transmission shocks are evidently challenging to handle. This study aims to explore the global contagion spillovers from crisis-oriented country (US) to nine selected countries with dual-banking system during the crisis from 2007 to 2009. Empirical findings indicate that Islamic banking industries in all countries are exposed to at least one specific type of contagion effect, suggesting that Islamic banking model is not operating out in an isolated island and that the growth momentum of the industry will continue to integrate in world’s banking system. Together, results suggest that Islamic banks are vulnerable to international transmission shocks from crisis-oriented country and that signal crucial need for developing more advanced risk management tools for this banking model.
SSRN Electronic Journal, 2017
Recent literature theoretically assumes that exuberant Investors’ sentiments increase the price o... more Recent literature theoretically assumes that exuberant Investors’ sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor sentiment, financial market, and macroeconomic fluctuation. The objective is achieved by Yamamoto causality test, generalized impulse response function, and variance decomposition, which confirms robust results in multiple perspectives. We employ two indicators for investor sentiment, three stock market indices and seven macroeconomic variables covering the period January 1992 to September 2015. Our results suggest strong evidence on the negative causality from Baker and Wurgler (2006)’s sentiment measures to NASDAQ, and show short run bi-directional influence between VIX and financial market. Vis-à-vis to the spillover effect from financial market to real economic activities, our findings further indicate an observable impact on financial markets on production indicators, such as industrial production and capacity utilization. Overall, our study empirically supports the conceptual work of Benhabib et al. (2016) and validates the impact of sentiment shocks on the real sector and business prices over the business cycle.
Energy Economics, 2016
This paper focuses on examining the impact of crude oil price volatility on the price changes of ... more This paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils (rapeseed, soybean, and sunflower), which are the main feedstock for the biodiesel industry in the European Union. For this purpose, a four-variate version of non-diagonal GARCH-in-mean model that allows for asymmetry in the variance-covariance matrix is used. An important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study. The volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock. However, the size of the impacts is mainly commodity specific. Finally, we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the Granger causality test and generalized impulse response function analysis, respectively. The empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study, and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices.
This paper investigates the extent to which information intermediaries, represented by financial ... more This paper investigates the extent to which information intermediaries, represented by financial analysts, influence the relative amount of firm specific and market-level information being impounded into stock prices, as measured by stock price synchronicity. Using a sample of fifteen thousand and one hundred twenty (15,120) stocks from forty (40) countries, we find that stock price synchronicity is positively associated with analysts’ forecasting activities, which is consistent with analysts increasing the amount of market level information in prices through intra-industry information transfers. We also find that increased disclosure, represented by the level of frequent reporting, moderates the relationship between analysts’ forecasting activity and stock price synchronicity, and facilitates the firm-specific component of future earnings. Together, the results suggest that price-relevant information conveyed by financial analysts’ activities is a function of the relative informati...