Taufiq Hassan | UPM - Universiti Putra Malaysia (original) (raw)

Papers by Taufiq Hassan

AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2011

This study examined the impact of the quality of the internal audit function (IAF), an integral p... more This study examined the impact of the quality of the internal audit function (IAF), an integral part of corporate governance structure, on the financial reporting quality (FRQ) of all Saudi companies listed in the Saudi stock exchange (TADAWL) in 2009, excluding banks. Both secondary and primary information was collected through a matched survey and interview of internal and external auditors. The findings show weak association between IAF quality and FRQ. The findings imply that the listed firms merely use IAF to provide a symbolic conformity to capital market authority (CMA) regulations. For better internal control and global recognition, CMA needs to put in place more initiatives to increase the role of IAF on firms in Saudi Arabia. Considering the environmental factors of emerging institutions, this study added different insights on the issue of IAF and its role in FRQ in the oil-based economy of Saudi Arabia.

Working capital management is a part in firm’s financial decision. Inefficient in managing it con... more Working capital management is a part in firm’s
financial decision. Inefficient in managing it consequently affect
firm value. Managers should consider all factors that affect
working capital management. Therefore, this study investigates the
determinants of working capital management of listed firms in
Malaysia for the period 2000-2006. Cash conversion cycle is used
as comprehensive measure of working capital management.
Results indicate that firm size, debt ratio, growth of the company,
economic growth and inflation associates with firm’s working
capital management.

Abstract This study investigates the presence of rational speculative bubbles in Malaysian stock ... more Abstract This study investigates the presence of rational speculative bubbles in Malaysian stock market by employing duration dependence,test using the Weibull’s hazard model and Log Logistic hazard model. Using abnormal monthly real returns, we report the existence ofrational speculative bubbles in Malaysian stock market in before (1994-1996) and after (1999-2003) the Asian Financial Crisis 1997.This study provide a ,modest ,attempt

Applied Financial Economics, 2014

Global Finance Journal, 2013

ABSTRACT Firms are increasingly resorting to private placements in recent years, yet there is no ... more ABSTRACT Firms are increasingly resorting to private placements in recent years, yet there is no published study of emerging markets. There is a unique opportunity to study this behavior during a severe financial crisis, when firms resorted to private placements to recover financially distressed firms. Our analysis using data over fifteen years shows (a) a significant 2–3% positive share price reaction, affirming asymmetric information effect, (b) a significant volume activity, and (c) the price impact is different across a period of a major financial crisis. If the proceeds from placement are earmarked for investment, share price is negatively (positively) correlated during the crisis (non-crisis) periods. Our finding on regulation is inconsistent with prior reports in developed markets: this is explained by the stricter restrictions on trading of private issues in emerging market. These results provide modest new contributions to the literature on private placements.

The Quarterly Review of Economics and Finance, 2010

It is well documented in developed economies that portfolio investment across national borders br... more It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs.

This study examines the stock price reactions to the announcements of corporate real estate dispo... more This study examines the stock price reactions to the announcements of corporate real estate disposals by listed non-property companies in Malaysia and whether disposals under different economic conditions lead to different price reactions. The results show that the cumulative abnormal returns associated with the property disposals differ significantly in different economic conditions. Price reaction for property disposals before the Asian financial crisis is consistent with the normal investor expectations of increasing shareholder value. However property disposals during and after the crisis have negative wealth effects. Cross-sectional regressions show that the Asian financial crisis and the relative size of the disposal are significant factors affecting the abnormal returns. The findings extends the literature on corporate real estate disposal by concluding that price reactions is conditional on economic conditions at the time of announcements on property disposals.

Managerial Finance, 2007

Purpose -One of the implications of Islamic investment principles is the availability of Islamic ... more Purpose -One of the implications of Islamic investment principles is the availability of Islamic financial instruments in the financial market. The main aim of this research is to observe the differences in terms of performance between Islamic and conventional mutual fund in the context of Malaysian capital market. Design/methodology/approach -To achieve the major objectives of this paper standard methods wereused for evaluating the mutual funds performance, for example, Sharpe index and adjusted Sharpe index, Jensen Alpha, Timing and selectivity ability. The scope of the paper is to measure the relative quantitative performance of funds which was managed based on two different approaches. Findings -The basic finding of the paper is that Islamic funds performed better than the conventional funds during bearish economic trends while, conventional funds showed better performance than Islamic funds during bullish economic conditions. In addition to that finding, both conventional and Islamic funds were unable to achieve at least 50 per cent market diversification levels, though conventional funds are found to have a marginally better diversification level than the Islamic funds. The results also suggest that fund managers are unable to correctly identify good bargain stocks and to forecast the price movements of the general market.

Pacific-Basin Finance Journal, 2013

ABSTRACT Capital adequacy plays an important role in determining banking activities. A bank must ... more ABSTRACT Capital adequacy plays an important role in determining banking activities. A bank must hold a minimum level of capital to ensure sufficient funds to buffer against unexpected losses or adverse shocks. This study analyzes and compares Islamic and conventional banks in 14 Organization of Islamic Conference (OIC) countries from 1999 to 2009. The empirical evidence suggests that capital requirements have a significant impact on the deposit and lending behaviors of the 52 Islamic banks (IBs) and 186 conventional banks (CBs) in the sample. There is a strong positive relationship between capital requirements and deposit and loan growth for both IBs and CBs.

The Foundations of Islamic Banking, 2011

International review of …, 2007

This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur... more This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995, the FKLI has been selling at a discount, which gradually increased till early 1997; further, at the onset of the financial crisis in July 1997, FKLI prices were at a high premium relative to its theoretical values. This significant mispricing of the contract declined after the initial overreaction to the crisis. Herding behavior during crisis, liquidity constraint and imposition of trading restrictions are some plausible explanations for the mispricing. This study also investigates whether trades by foreign investors had any impact when compared with prices by domestic investors. We find that foreign investors had a negative influence on permanent price changes while the domestic investors had a positive effect.

thankssjerseys.org

This study examines the stock price reactions to the announcements of corporate real estate dispo... more This study examines the stock price reactions to the announcements of corporate real estate disposals by listed non-property companies in Malaysia and whether disposals under different economic conditions lead to different price reactions. The results show that the cumulative abnormal returns associated with the property disposals differ significantly in different economic conditions. Price reaction for property disposals before the Asian financial crisis is consistent with the normal investor expectations of increasing shareholder value. However, property disposals during and after the crisis have negative wealth effects. Cross-sectional regressions show that the Asian financial crisis and the relative size of the disposal are significant factors affecting the abnormal returns. The findings extend the literature on corporate real estate disposal by concluding that price reactions are conditional on economic conditions at the time of announcements on property disposals.

AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2011

This study examined the impact of the quality of the internal audit function (IAF), an integral p... more This study examined the impact of the quality of the internal audit function (IAF), an integral part of corporate governance structure, on the financial reporting quality (FRQ) of all Saudi companies listed in the Saudi stock exchange (TADAWL) in 2009, excluding banks. Both secondary and primary information was collected through a matched survey and interview of internal and external auditors. The findings show weak association between IAF quality and FRQ. The findings imply that the listed firms merely use IAF to provide a symbolic conformity to capital market authority (CMA) regulations. For better internal control and global recognition, CMA needs to put in place more initiatives to increase the role of IAF on firms in Saudi Arabia. Considering the environmental factors of emerging institutions, this study added different insights on the issue of IAF and its role in FRQ in the oil-based economy of Saudi Arabia.

Working capital management is a part in firm’s financial decision. Inefficient in managing it con... more Working capital management is a part in firm’s
financial decision. Inefficient in managing it consequently affect
firm value. Managers should consider all factors that affect
working capital management. Therefore, this study investigates the
determinants of working capital management of listed firms in
Malaysia for the period 2000-2006. Cash conversion cycle is used
as comprehensive measure of working capital management.
Results indicate that firm size, debt ratio, growth of the company,
economic growth and inflation associates with firm’s working
capital management.

Abstract This study investigates the presence of rational speculative bubbles in Malaysian stock ... more Abstract This study investigates the presence of rational speculative bubbles in Malaysian stock market by employing duration dependence,test using the Weibull’s hazard model and Log Logistic hazard model. Using abnormal monthly real returns, we report the existence ofrational speculative bubbles in Malaysian stock market in before (1994-1996) and after (1999-2003) the Asian Financial Crisis 1997.This study provide a ,modest ,attempt

Applied Financial Economics, 2014

Global Finance Journal, 2013

ABSTRACT Firms are increasingly resorting to private placements in recent years, yet there is no ... more ABSTRACT Firms are increasingly resorting to private placements in recent years, yet there is no published study of emerging markets. There is a unique opportunity to study this behavior during a severe financial crisis, when firms resorted to private placements to recover financially distressed firms. Our analysis using data over fifteen years shows (a) a significant 2–3% positive share price reaction, affirming asymmetric information effect, (b) a significant volume activity, and (c) the price impact is different across a period of a major financial crisis. If the proceeds from placement are earmarked for investment, share price is negatively (positively) correlated during the crisis (non-crisis) periods. Our finding on regulation is inconsistent with prior reports in developed markets: this is explained by the stricter restrictions on trading of private issues in emerging market. These results provide modest new contributions to the literature on private placements.

The Quarterly Review of Economics and Finance, 2010

It is well documented in developed economies that portfolio investment across national borders br... more It is well documented in developed economies that portfolio investment across national borders brings benefits of increasing returns and/or reducing risk. Dividing MENA stock markets into two main groups (oil producing and non-oil producing countries), this study examines the potential role of each group in providing diversification benefits for international investors. In addition, the behavior of the long and the short-run Efficient Frontiers (EFs) constructed by each of the sub-groups and the combined MENA markets is explored. Multi-objective international portfolio models are proposed under Mean-Variance and Mean-Lower Partial Moment frameworks, and the Multiple Fitness Function Genetic Algorithm (MFFGA) is used to find the EFs of optimal portfolios. The findings indicate that the stock markets of oil producing countries can be considered as a potential avenue for international portfolio diversification for investors not only from the same countries but also from the other MENA markets. It was also found that international portfolios constructed from the combination of MENA equity markets are more stable compared to the portfolios of sub-group markets. Further, the findings indicate that the behavior of short-term EFs in the MENA region cannot be predicted by the behavior of long-term EFs.

This study examines the stock price reactions to the announcements of corporate real estate dispo... more This study examines the stock price reactions to the announcements of corporate real estate disposals by listed non-property companies in Malaysia and whether disposals under different economic conditions lead to different price reactions. The results show that the cumulative abnormal returns associated with the property disposals differ significantly in different economic conditions. Price reaction for property disposals before the Asian financial crisis is consistent with the normal investor expectations of increasing shareholder value. However property disposals during and after the crisis have negative wealth effects. Cross-sectional regressions show that the Asian financial crisis and the relative size of the disposal are significant factors affecting the abnormal returns. The findings extends the literature on corporate real estate disposal by concluding that price reactions is conditional on economic conditions at the time of announcements on property disposals.

Managerial Finance, 2007

Purpose -One of the implications of Islamic investment principles is the availability of Islamic ... more Purpose -One of the implications of Islamic investment principles is the availability of Islamic financial instruments in the financial market. The main aim of this research is to observe the differences in terms of performance between Islamic and conventional mutual fund in the context of Malaysian capital market. Design/methodology/approach -To achieve the major objectives of this paper standard methods wereused for evaluating the mutual funds performance, for example, Sharpe index and adjusted Sharpe index, Jensen Alpha, Timing and selectivity ability. The scope of the paper is to measure the relative quantitative performance of funds which was managed based on two different approaches. Findings -The basic finding of the paper is that Islamic funds performed better than the conventional funds during bearish economic trends while, conventional funds showed better performance than Islamic funds during bullish economic conditions. In addition to that finding, both conventional and Islamic funds were unable to achieve at least 50 per cent market diversification levels, though conventional funds are found to have a marginally better diversification level than the Islamic funds. The results also suggest that fund managers are unable to correctly identify good bargain stocks and to forecast the price movements of the general market.

Pacific-Basin Finance Journal, 2013

ABSTRACT Capital adequacy plays an important role in determining banking activities. A bank must ... more ABSTRACT Capital adequacy plays an important role in determining banking activities. A bank must hold a minimum level of capital to ensure sufficient funds to buffer against unexpected losses or adverse shocks. This study analyzes and compares Islamic and conventional banks in 14 Organization of Islamic Conference (OIC) countries from 1999 to 2009. The empirical evidence suggests that capital requirements have a significant impact on the deposit and lending behaviors of the 52 Islamic banks (IBs) and 186 conventional banks (CBs) in the sample. There is a strong positive relationship between capital requirements and deposit and loan growth for both IBs and CBs.

The Foundations of Islamic Banking, 2011

International review of …, 2007

This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur... more This study reports new findings on the behavior of index futures (FKLI: code name of Kuala Lumpur Index Futures contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995, the FKLI has been selling at a discount, which gradually increased till early 1997; further, at the onset of the financial crisis in July 1997, FKLI prices were at a high premium relative to its theoretical values. This significant mispricing of the contract declined after the initial overreaction to the crisis. Herding behavior during crisis, liquidity constraint and imposition of trading restrictions are some plausible explanations for the mispricing. This study also investigates whether trades by foreign investors had any impact when compared with prices by domestic investors. We find that foreign investors had a negative influence on permanent price changes while the domestic investors had a positive effect.

thankssjerseys.org

This study examines the stock price reactions to the announcements of corporate real estate dispo... more This study examines the stock price reactions to the announcements of corporate real estate disposals by listed non-property companies in Malaysia and whether disposals under different economic conditions lead to different price reactions. The results show that the cumulative abnormal returns associated with the property disposals differ significantly in different economic conditions. Price reaction for property disposals before the Asian financial crisis is consistent with the normal investor expectations of increasing shareholder value. However, property disposals during and after the crisis have negative wealth effects. Cross-sectional regressions show that the Asian financial crisis and the relative size of the disposal are significant factors affecting the abnormal returns. The findings extend the literature on corporate real estate disposal by concluding that price reactions are conditional on economic conditions at the time of announcements on property disposals.