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8 results on '"Taunson, Jude W."'

1. Intraday Price Discovery in KLCI Markets and the Impact of MCO 3.0

Author

Taunson, Jude W., Ishak, Norhamiza, Japang, Minah, and Char, Abdul Kamal Bin

Subjects
Exchange-traded funds -- Prices and rates, Stock price indexes, Information management, Information accessibility, Company pricing policy, Business
Abstract

Purpose: This study examines the price discovery process among the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI) and its two derivatives--the FTSE Bursa Malaysia KLCI Futures (FKLI) and the FTSE Bursa Malaysia KLCI Exchange-Traded Fund (ETF)--during the Movement Control Order (MCO) 3.0 which ended on June 28, 2021. Design/methodology/approach: The analysis covers 156 trading days from April 19, 2021, to December 20, 2021, yielding 1,248 hourly observations. The Vector Error Correction Model (VECM), Granger causality tests and Hasbrouck Information Shares model are used for data analysis. Findings: Before the implementation of MCO 3.0, FKLI held a dominant position, with the ETF serving a secondary role. However, after MCO 3.0, the ETF's influence grew, underscoring its rising significance during periods of market uncertainty. Research limitations/implications: Granger causality and Information Share estimates reveal direct causal links and market interconnectedness. Despite discrepancies between measures, further research should address gaps considering market sentiment, liquidity, and macroeconomic conditions. Practical implications: The findings emphasize the dynamic nature of price discovery, especially after significant regulatory changes. These insights enhance the understanding of futures and ETF markets' roles in price discovery, offering valuable implications for market participants and policymakers. Originality/value: Despite extensive research on KLCI and FKLI, the role of ETF remains largely unexplored. Including ETF offers a more comprehensive view of price discovery in the KLCI markets. While the Granger Causality test is widely used in the Malaysian context, the Hasbrouck Information Share model is less frequently applied, providing a unique perspective in this analysis. Keywords: Price Discovery, KLCI, ETF, FKLI, Hasbrouck Information Share, MCO3.0, Introduction Intraday price discovery is a fundamental aspect of financial markets, as it determines how new information is reflected in asset prices. This process is crucial for traders, investors, and [...]

Published
2024

2. Stock index futures in Malaysia : does tick size reduction matters?

Author

Taunson, Jude W. and Poshakwale, Sunil

Subjects
332.63
Abstract

This thesis investigates the impact of tick size reduction on spot index liquidity and in turn on the inter-market pricing relationship between spot and futures indices. Three empirical chapters are presented. The first study investigates the impact on the spot index liquidity in emerging Malaysian capital market. To the best of our knowledge, we are first to investigate this issue. We find higher trading volume following tick size reduction. Further, we find lower mispricing between the spot and futures indices after the reduction. This is an indication that traders benefit from the lower tick sizes. In our second study, the price discovery role of the index futures is assessed. We find that the index futures adjust to equilibrium level ahead of its underlying. Interestingly, the spot index adjusts to equilibrium level at a higher speed in comparison to pre-reduction period. This implies that the lowering of tick sizes facilitates better incorporation of stock specific information. Altogether, the lowering of tick sizes seems to improve index futures price discovery role. In our third paper, we investigate the effectiveness of the index futures as a hedging instrument. We find evidence that the ability of the futures in reducing price risk is greatly enhanced due to the positive impacts of the lower tick sizes.

Published
2015

4. Stock liquidity and activist blockholders: friend or foe?

Author

Chia, Yee-Ee, Chia, Ricky Chee-Jiun, and Taunson, Jude W.

Subjects
LIQUIDITY (Economics), STOCKS (Finance), ORGANIZATIONAL performance, PUBLIC companies
Abstract

This paper investigates the effect of stock liquidity on blockholders for Malaysian public listed companies over a 19-year period from 2000 to 2018. Using five liquidity proxies, our results show a negative relationship between liquidity and blockholders. The negative effect of liquidity on blockholders is stemming from governance theory implies that greater stock liquidity decreases the cost of exit, and hence magnifies blockholders threat of exit when they are dissatisfied with company performance. Our results are robust to a battery of sensitivity tests, including endogeneity and disaggregate types of blockholders. [ABSTRACT FROM AUTHOR]

Published
2023
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7. Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries.

Author

Ghazali, Mohd Fahmi, Ussdek, Nurul Fasyah Mohd, Lean, Hooi Hooi, and Taunson, Jude W.

Subjects
GOLD as an investment, PRICE inflation, PURCHASING power, QUANTILE regression
Abstract

This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss. [ABSTRACT FROM AUTHOR]

Published
2022
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