3 - 5 DECEMBER 2018INCEIF CampusLorong Universiti A, 59100 Kuala Lumpur

QUANTITATIVE BANKING AND FINANCE RESEARCH II(Markov Switching Regression & Threshold Regression)

Quantitative research on Banking and Finance has expanded exponentially during recent years (especially after the global financial crisis). It is expected that the field will continue to attract further research attention, especially in light of new developments in the sector. Subsequent to the success of “Quantitative Banking and Finance Research I (With Panel Data Modelling)” Workshop that was held earlier this year, INCEIF is organising the 2nd series of the workshop.

The “Quantitative Banking and Finance Research II” Workshop will be held on 3rd to 5th December 2018 at INCEIF Campus, Lorong University A, 59100 Kuala Lumpur. The three days’ workshop is designed to focus on the Switching Regression and Threshold Regression methodologies.

INTRODUCTION WHO SHOULD ATTEND?

WORKSHOP FEES

Professional/Academic .......................MYR 790.00 (Malaysian)

Student…….................MYR 550.00 (Malaysian)

.......................USD 195.00 (International)

…….................USD 140.00 (International)

• Researchers, practitioner and students who are required to write and publish research papers/theses/reports;• Academics and professionals who are required to know how to conduct quantitative and applied research.

ProgrammeAgenda

DAY ONE Monday, 3rd December 2018

08.30am – 09.00am

Registration

09.00am – 09.45am

Banking and Finance Research : Banking i. Latest research undertaken

in Islamic Banking and Capital Markets

ii. Key challenges faced by researchers in Islamic Banking and Capital Markets

iii. Challenges in getting Islamic Banking and Capital Market research papers published in good SSCI journals.

Prof. Paresh Kumar Narayan

09.45am – 10.30am

Potential Research Topics in Islamic Capital Market i. Liquidity Management

a. Correlation between Islamic and Conventional rates

b. The needs for Price Discovery

c. Determination of IIBR ii. Sukuk

a. Sukuk issuance and impact on stock price – problem with such research

b. Embedded options in new sukuk structures

c. Pricing/valuation of sukuk iii. Islamic Equities

a. The 33% rules for leverage

b. BETA of Shariah compliant stocks

c. Correlation between portfolios

iv. Other issues a. Islamic derivatives

instruments b. Transaction cost analysis

of Wa’ad Based Products vs Conventional derivatives

c. The move towards risk sharing instruments

Prof. Dr. Obiyathulla Ismath Bacha

10.30am – 11.00am

Morning Break

11.00am – Markov Switching Regression Prof. Dr. Mansur

ProgrammeAgenda

12.30pm i. Relevance of Markov switching technique in the context of the current issues in the world

ii. Motivating the Markov switching technique (compared to other techniques historically)

iii. Steps involved in applying the Markov switching technique

iv. Policy implications of Markov switching technique

v. Some applications of Markov switching technique

Masih

12.30pm – 02.00pm

Lunch break

02.00pm – 03.30pm

Hands-on sessions on Markov switching technique

Asst. Prof. Dr. Ginanjar Dewandaru

03.30pm – 04.00pm

Afternoon Break

04.00pm – 05.30pm

Hands-on sessions on Markov switching technique (cont’d)

Asst. Prof. Dr. Ginanjar Dewandaru

End of Day One

DAY TWO Tuesday, 4th December 2018

08.30am – 09.00am

Registration

09.00am – 05.30am

Threshold Regression and Panel Threshold Regression Analysis

Assoc. Prof. Dr. Law Siong Hook

End of Day Two

ProgrammeAgenda

DAY THREE Wednesday, 5th December 2018

08.30am – 09.00am

Registration

09.00am – 10.30am

Workshop session on Threshold Regression

Assoc. Prof. Dr. Law Siong Hook

10.30am – 11.00am

Morning Break

11.00am – 12.30pm

Workshop session on Threshold Regression (Cont’d)

Assoc. Prof. Dr. Law Siong Hook

12.30pm – 2.00pm Lunch Break 02.00am – 04.30am

Panel Discussion: Getting your research published

Panellists: 1. Prof. Paresh

Kumar Narayan

2. Assoc. Prof. Dr. Law Siong Hook

3. Prof. Mansor H. Ibrahim

Moderator: Assoc. Prof. Dr. Baharom Abdul Hamid

End of Day Three

SMEProfiles

Prof. Dr. Paresh Narayan Prof. Dr. Mansur Mohammed Masih

Asst. Prof. Dr. Ginanjar Dewandaru

Prof. Dr. Mansor Ibrahim

Prof Dr Mansor H. Ibrahim is currently a professor of Finance and Econometrics in INCEIF. He received his Ph.D. in Economics from Washington University in St. Louis in 1996. He teaches mostly quantitative courses such as mathematics for economics and business, statistics, and econometrics at both undergraduate and post-graduate levels. His areas of interest are monetary economics and time series analyses of macroeconomic and financial data. His publications appears in various internationally refereed journals including, among others, Journal of Banking and Finance, Economic Modelling, Journal of International Financial Markets, Institutions & Money, Pacific-Basin Finance Journal, Energy Policy, Renewable and Sustainable Energy Reviews, Singapore Economic Review, Asian Economic Journal, Developing Economies, Economic Changes and Restructuring, International Economic Journal, International Review of Economics, Journal of Applied Economics, Journal of Asia-Pacific Business, Journal of the Asia Pacific Economy, and Journal of Forecasting.

Prof. Dr Mansur Masih is a Professor of Finance and Econometrics Finance and Econometrics, has joined INCEIF as a Professor of Finance and Econometrics in July 2010. Educated at the Universities of Manchester and Leeds, UK and prior to that he held the positions of “Tun Ismail Ali Distinguished Chair Professor of Finance and Investment”, Universiti Kebangsaan Malaysia (UKM); “Bumiputra Commerce Bank Chair Professor of Finance and Banking”, Universiti Utara Malaysia (UUM); “Saudi Aramco Chair Professor of Energy Economics”, King Fahd University, Saudi Arabia and taught at the Australian and British Universities for a total of 27 years.

He has had 82 refereed “applied” papers published (of which 72 papers are in European/American international scholarly refereed journals). Some of these journals are ranked within the top ten finance journals in the world. He presented 81 invited papers at international conferences and has had more than 1850 citations so far.

Prof. Dr Mansur Masih obtained his Ph.D (in Applied Financial Econometrics) from Leeds University preceded by a Masters in Economics from Manchester University. Prior to joining INCEIF, The Global University of Islamic Finance, he taught at the Australian (New South Wales and Edith Cowan) and British (Leeds) Universities for a total of 27 years and King Fahd University, Saudi Arabia for 8 years. During all these years he taught courses in three disciplines: Finance, Economics, and Applied Econometrics/Statistics at all levels including the MBA and Executive MBA levels.

Professor Dr. Obiyathulla Ismath Bacha is currently Professor of Finance at the International Centre for Education in Islamic Finance (“INCEIF”), a post graduate university specialising in Islamic Finance, established by Bank Negara Malaysia. Prior to joining INCEIF, he has held several key positions at the International Islamic University Malaysia, including as Director of the university’s Management Center. Professor Obiyathulla began his working career as a Credit Officer at Malayan Banking Berhad. Subsequent, to completing his doctoral studies, he was appointed an Assistant Professor of Finance at Boston University, where he taught at both the MBA and undergraduate levels and won the Allen E. Beckwith Award for Excellence in Teaching. Professor Obiyathulla is President of the Malaysian Finance Association and a committee member of the Malaysian Economic Association. He has also been a trainer at several institutions such as the Securities Commission of Malaysia and the Central Bank of Malaysia. Internationally, he has conducted training programs in Islamic Capital Markets at the University of Luxembourg, The Chinese University of Hong Kong and Waseda University, Japan. He has published scholarly articles in numerous local and international journals and has presented papers at several international and Islamic finance conferences.

Assoc. Prof. Dr. Law Siong Hook Law is currently an Associate Professor at the Department of Economics, Universiti Putra Malaysia (UPM). He received his Ph.D in Economics from University of Leicester in 2005. He obtained his Masters in Economics (Financial Economics) from Universiti Putra Malaysia in 1998. He teaches mostly economic courses such as Econometric Methods, Financial Economics and Research Method in Applied Economics. His areas of interest are Financial Development, Financial Openness, Globalization, Institutional reforms and Economic Growth. He has published various papers in the areas of Economics.

Dr. Ginanjar Dewandaru is currently an Assistant Professor at the International Centre for Education in Islamic Finance (INCEIF). He received his Ph.D in Islamic Finance in 2014 and M. Sc. in Islamic Finance in 2012 from International Centre for Education in Islamic Finance. He teaches Financial Modeling for Postgraduate levels and Research Methodology in Economics and Finance. When he was a student, he has received various awards. He received the President’s Award (PhD) in 2015 and President’s Award (MSc.) in 2012. In 2014, he received Best Paper Award from Pacific Basin Finance Journal. His intellectual contributions are mainly in the areas of Banking anf Finance.

Prof. Dr. Obiyathulla Ismath Bacha

Assoc. Prof. Dr. Law Siong Hook

Paresh Kumar Narayan is an Alfred Deakin Professor at the Deakin Business School. In 2007, he was appointed as the youngest Chair (Professor) in Finance by Deakin University at the age of 30 years. He is a co-Director of the Centre for Economics & Financial Econometrics Research at Deakin University. Professor Narayan is a co-Editor-in-Chief of Economic Modelling, Associate Editor of Finance Research Letters and Studies in Economics & Finance, Subject Editor of Journal of International Financial Markets Institutions and Money, and Guest Editor of the Journal of Banking & Finance and Energy Economics. Professor Narayan has published extensively in financial econometrics and applied finance, covering topics such as forecasting, trading strategies, and the performance of financial markets. He has published around 260 papers in international refereed journals with over 75% of his papers appearing in social science citation impact factor journals. Based on the Australia Business Deans Council (ABDC) journal rankings, Professor Narayan has published 25 papers in A-star journals and 120 papers in A-ranked impact factor journals.

Ms. Norhayati Mohamed A’StapaExecutive Education Department, INCEIF

T: + 603 7651 4000E: norhayati@inceif.org

Azrul Amir Abdul RahmanExecutive Education Department, INCEIF

T: + 603 7651 4174E: amir@ inceif.org

For More Information,please contact

www.inceif.org