Causal Relationship between Macro-Economic Indicators and Funds Unit Prices Behavior: Evidence from Malaysian Islamic Equity Unit Trust Funds Industry

In this study, attempt has been made to investigate the relationship specifically the causal relation between fund unit prices of Islamic equity unit trust fund which measure by fund NAV and the selected macro-economic variables of Malaysian economy by using VECM causality test and Granger causality test. Monthly data has been used from Jan, 2006 to Dec, 2012 for all the variables. The findings of the study showed that industrial production index, political election and financial crisis are the only variables having unidirectional causal relationship with fund unit price. However the global oil price is having bidirectional causality with fund NAV. Thus, it is concluded that the equity unit trust fund industry in Malaysia is an inefficient market with respect to the industrial production index, global oil prices, political election and financial crisis. However the market is approaching towards informational efficiency at least with respect to four macroeconomic variables, treasury bill rate, money supply, foreign exchange rate, and corruption index.

Forecasting US Dollar/Euro Exchange Rate with Genetic Fuzzy Predictor

Fuzzy systems have been successfully used for exchange rate forecasting. However, fuzzy system is very confusing and complex to be designed by an expert, as there is a large set of parameters (fuzzy knowledge base) that must be selected, it is not a simple task to select the appropriate fuzzy knowledge base for an exchange rate forecasting. The researchers often look the effect of fuzzy knowledge base on the performances of fuzzy system forecasting. This paper proposes a genetic fuzzy predictor to forecast the future value of daily US Dollar/Euro exchange rate time’s series. A range of methodologies based on a set of fuzzy predictor’s which allow the forecasting of the same time series, but with a different fuzzy partition. Each fuzzy predictor is built from two stages, where each stage is performed by a real genetic algorithm.

Is the Liberalization Policy Effective on Improving the Bivariate Cointegration of Current Accounts, Foreign Exchange, Stock Prices? Further Evidence from Asian Markets

This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently exhibited a bi-directional causal relationship between any two of three indicators. Unlike Pan et al. (2007) and Phylaktis and Ravazzolo (2005), we found that such cointegration is influenced by three characteristics: capital control; flexibility in foreign exchange rates; and the ratio of trade to GDP. These characteristics are the result of liberalization in each Asian country. This implies that liberalization policies are effective on improving the cointegration between any two of financial markets and current account for ten Asian countries.

Chaos Theory and Application in Foreign Exchange Rates vs. IRR (Iranian Rial)

Daily production of information and importance of the sequence of produced data in forecasting future performance of market causes analysis of data behavior to become a problem of analyzing time series. But time series that are very complicated, usually are random and as a result their changes considered being unpredictable. While these series might be products of a deterministic dynamical and nonlinear process (chaotic) and as a result be predictable. Point of Chaotic theory view, complicated systems have only chaotically face and as a result they seem to be unregulated and random, but it is possible that they abide by a specified math formula. In this article, with regard to test of strange attractor and biggest Lyapunov exponent probability of chaos on several foreign exchange rates vs. IRR (Iranian Rial) has been investigated. Results show that data in this market have complex chaotic behavior with big degree of freedom.