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All Journal Indonesian Capital Market Review
Lau, Wee-Yeap
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Economics, Econometrics & Finance

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The Dual-Beta Model: Evidence from the Malaysian Stock Market Teh, Kim-Sin; Lau, Wee-Yeap
Indonesian Capital Market Review Vol. 9, No. 1
Publisher : UI Scholars Hub

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The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is inferred that investors are rewarded with a positive risk premium for holding an asset in the down market, while the upside beta carries a negative premium. If news asymmetry captures a significant part of investors' risk perception in the market, there is evidence that a conditional FF3F model is more useful than a conditional CAPM, which is likened to both the dual-beta FF3F and the CAPM in an unconditional context. The purpose of this study is to analyze the beta-return characteristic, taking into account the asymmetric beta behavior in the upmarket versus the down market in the Bursa Malaysia (BM). This study takes place over a period of 15 years from 2001 to 2015 and utilizes dual beta models of CAPM and Fama-French model to examine 60 BM-listed stocks. The estimation of return and beta indicates that majority of stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is also inferred that investors are rewarded with positive risk premium for holding the asset in down market, while upside beta carries the negative premium. If news asymmetry is considered to capture a significant part of investors' risk perception in the Malaysian market, the findings constitute evidence that conditional Fama-French model is more useful than the conditional CAPM likened with both dual beta Fama-French 3-factor model and CAPM in unconditional context.
The High-Low Intraday Performance of Initial Public Offerings during Global Financial Crisis : Evidence from Malaysian Stock Market Leow, Hon-Wei; Lau, Wee-Yeap
Indonesian Capital Market Review Vol. 10, No. 1
Publisher : UI Scholars Hub

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This study investigates the high-low intraday Performance of Initial Public Offering (IPO) during Global Financial Crisis (GFC) from January 2006 to December 2011. Models comprise of hierarchical and dummy variable regressions are evaluated. Our results show: Firstly, it can be observed that intraday IPOs performance are generally lower due to the GFC; Secondly, investors receive 7 to 30 percent IPO intraday returns on average in the first trading day of pre-GFC, -5 to 11 percent during GFC, and -4 to 14 percent in the post-GFC; and thirdly, the GFC does not act as a moderator that worsens the relationship between intraday IPO performance and oversubscription ratio. As for implication, this study dispels the notion that investors should totally shun IPO during GFC period as there are still positive intraday returns among the IPOs.
Dynamic Linkages between US Dollar-Ringgit spot, forward and NDF during QE and Post-QE Exit Lau, Wee-Yeap; Yip, Tien Ming; Go, You How
Indonesian Capital Market Review Vol. 11, No. 2
Publisher : UI Scholars Hub

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This study investigates the information flow between U.S. Dollar-Ringgit spot, forward and Nondeliverable Forward (NDF) exchange rates during the pre and post-U. S. Quantitative Easing (QE) exit. Our results show: First, there is a robust unidirectional causality from NDF to spot and NDF to forward in the post-QE period; Second, Malaysian Government Securities (MGS) has a vital role during the QE period while international reserve precedes the spot, forward and NDF exchange rates in the post-US QE exit. Our results reaffirm the policy measures taken by the Central Bank in regulating the NDF market. Our finding suggests that: First: MGS and Reserve are essential variables that can be used to counter speculation from the offshore NDF market; and Second, right policy stance must be communicated by the Central Bank to the market participants to avoid excessive volatility to the domestic currency which will affect the real economy
Impact of Founder on the IPO Flipping Activity during Pre and Post-Global Financial Crisis Leow, Hon-Wei; Lau, Wee-Yeap
Indonesian Capital Market Review Vol. 12, No. 2
Publisher : UI Scholars Hub

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This study examines the impact of the founder on the IPO flipping activity in the Malaysian stockmarket, especially the Main and ACE Market, across the Global Financial Crisis (GFC) periodfrom January 2006 to December 2016. Multiple regression models have been used to evaluate the interaction of the founder and other independent variables. Using three sub-periods, namely pre- GFC, GFC, and Post-GFC, our results show: Firstly, the founder by itself does not have any impact on flipping activity. However, the interaction of founder and oversubscription ratio reduces flipping activity in the pre-crisis period. Secondly, the interaction of founder and firm age is significant during the GFC period. Thirdly, in post-GFC, the interaction between founder-firm age, founder-offer period are essential factors. Overall, it is found that firm age and IPO offer period have an impact on flipping activity in the Main and ACE Market.
Short-run Dynamics Between Foreign Currency and Jakarta Composite Index During Indonesian Presidential Election Ridwan, Muhamad Fahri; Lau, Wee-Yeap
Indonesian Capital Market Review Vol. 13, No. 2
Publisher : UI Scholars Hub

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This study investigates the dynamics of information flow between foreign currencies and theJakarta Composite Index (JKSE) in the pre-, during and post-2014 Indonesian Presidential elections. Based on a systematic analytical framework, the study provides a clearer picture to link the foreign currencies of trade partners to Jakarta Stock Exchange. Using the VAR model with daily data from 2 January 2013 to 31 July 2015, our results show: First, JKSE appears to be endogenous during the pre-election period. The endogenous relationship implies that the EUR, HKD and CNY influence the benchmark index. Second, JKSE appears to be exogenous during the election year. The exogenous relationship implies information flow from JKSE to six foreign currencies. Third, during the postelection period, there is information flow from the Japanese Yen and Saudi Riyal to JKSE. In addition, there is information outflow from JKSE to three foreign currencies. This study concludes that the foreign currency market is subtly linked to JKSE. Our results imply a need to guard against capital flight during uncertainties as the foreign fund may exit the market. Deeper economic ties can be made with foreign trade partners willing to inject capital during economic recovery in the short run.
Co-Authors Go, You How Leow, Hon-Wei Ridwan, Muhamad Fahri Teh, Kim-Sin Yip, Tien Ming