Mansur Masih

Bio: Mansur Masih is an academic researcher from Global University (GU). The author has contributed to research in topics: Stock market & Stock market index. The author has an hindex of 21, co-authored 241 publications receiving 2061 citations. Previous affiliations of Mansur Masih include International Centre for Education in Islamic Finance & Universiti Tunku Abdul Rahman.

An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA

Abstract: An efficient market has been theoretically proven to be a key component for effective and efficient resource allocation in an economy. This paper incorporates econophysics with Efficient Market Hypothesis to undertake a comparative analysis of Islamic and developed countries’ markets by extending the understanding of their multifractal nature. By applying the Multifractal Detrended Fluctuation Analysis (MFDFA) we calculated the generalized Hurst exponents, multifractal scaling exponents and generalized multifractal dimensions for 22 broad market indices. The findings provide a deeper understanding of the markets in Islamic countries, where they have traces of highly efficient performance particularly in crisis periods. A key finding is the empirical evidence of the impact of the ‘stage of market development’ on the efficiency of the market. If Islamic countries aim to improve the efficiency of resource allocation, an important area to address is to focus, among others, on enhancing the stage of market development.

Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia

Abstract: This article makes an attempt to test the possible directions of causality between financial development and economic growth, which were labelled by Patrick (1966) as the supply-leading and demand-following hypothesis. Saudi Arabia is taken as a case study. The methods applied are the error correction and variance decompositions techniques including the most recently developed ‘long-run structural modelling (LRSM)’ (Pesaran and Shin, 2002), which by imposing exactly identifying and overidentifying restrictions on the cointegrating vector has taken care of a major limitation of the conventional cointegrating estimates in that they were atheoretical in nature. To the best of our knowledge, there has not been any study on this issue with the application of the techniques that incorporate ‘LRSM’. The stability of the functions has also been tested by Cumulative Sum (CUSUM), Cumulative Sum of Squares (CUSUMSQ) and Chow Test (CHOW) tests. Our findings, based on the above mentioned rigorous techniques, tend to s...

The iron cage revisited: Institutional isomorphism and collective rationality in organizational fields (Chinese Translation)

Abstract: What makes organizations so similar? We contend that the engine of rationalization and bureaucratization has moved from the competitive marketplace to the state and the professions. Once a set of organizations emerges as a field, a paradox arises: rational actors make their organizations increasingly similar as they try to change them. We describe three isomorphic processes-coercive, mimetic, and normative—leading to this outcome. We then specify hypotheses about the impact of resource centralization and dependency, goal ambiguity and technical uncertainty, and professionalization and structuration on isomorphic change. Finally, we suggest implications for theories of organizations and social change.

Market Liquidity: Asset Pricing with Liquidity Risk

Abstract: This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Financial development and economic growth

Abstract: relationship. All subsequent studies confirmed it (see for example King and Levine, 1993, and the review in: Pagano, 1993). Goldsmith used a sample of 35 countries for the period between 1860 and 1963 to show the relationship between income and financial depth measured by the ratio between bank's assets and GDP. He also showed that in periods of rapid growth, financial depth grows faster than income. More details about measuring financial depth can be found in this paper. FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH Velimir Šonje