RESEARCH

RESEARCH ACTIVITIES

RESEARCH COMPLETED

Bil.	Title	Source	Amount
1.	Establishment of Stock Market Database	UPM	RM10,000
2.	An Empirical Study of Stock Market Anomalies	UPM	RM10,000
3.	Market Efficiency Hypothesis Tests with Appropriate Refinements	UPM	RM10,000
4.	Technical Analysis, Unit roots and Weak-form efficiency	UPM	RM4,000
5.	Economic Valuation of Share Recommendations	UPM	RM6,900
6.	The Impact of Management Changes on Share Prices	UPM	RM10,000
7.	Market Micro-Structure Study on New Issues Market in Malaysia	IRPA	RM87,000
8.	The Information Contents of Companies Switching from Second Board to Main Board	UPM	RM7,660
9.	The Wealth Effect of Increase in R&D Expenditure Announcements	UPM	RM7,990

PAPERS PUBLISHED FROM THE ABOVE RESEARCH GRANTS

1. Annuar, M.N., M. Ariff, and Shamsher M. (1994), "Is Kuala Lumpur's Emerging Share Market Efficient?," Journal of International Financial Markets, Institutions and Money, 4(1): 89-100.(United States).

2. Ariff, M., K. Kuhan, Shamsher M. And Annuar M.N., (1994),Finding the Factors Associated with Stock Price Volatility,in D. Ghosh (ed) Managerial Finance in Corporate Economy, Routledge Finance Series, pp 97-111, London.

3. Annuar, M.N., and Shamsher, M., (1987), "The January Effect on Stocks Traded on the Kuala Lumpur Stock Exchange: An Empirical Analysis", Hong Kong Journal of Business Management, 5, : 37-50

4. Ariff, M., Annuar, M.N., and Shamsher, M., (1993), Weak-form Efficiency of the Kuala Lumpur Stock Exchange: An Application of Unit Root Analysis", Pertanika: Journal of Social Sciences and Humanities, 1(1): 57-62.

5. Annuar, M.N., M. Ariff and Shamsher M. (1992), "A Test of Semi?Strong Efficiency of the KLSE: The Effect of Annual Earnings and Dividend Announcements on Stock Prices", Malaysian Journal of Economic Studies, 29(1): 35-50.

6. Annuar, M.N., Ariff, M., and Shamsher, M., (1992), "January Effect on a Thinly Traded KLSE: Tests With Appropriate Refinements, " Pertanika, 15(1): 85-91.

7. Annuar M.N., Shamsher, M., and Zainal Abidin Mohamad., (1987), "An Empirical Study of the Treasury Bill Market in Malaysia: Part 1 - Using Treasury Bills as Predictor of Inflation, " Pertanika, 10(3) : 349-355.

8. Shamsher, M., and Annuar, M.N., (1997) “The Wealth Effect ofIncrease in R&D Expenditure Announcements of Companies Listed on the Kuala Lumpur Stock Exchange”, Capital Markets Review, 5(2): 17-26.

9. Shamsher, M., Ariff, M., and Lamba, A.S. (1998), “ shareholderWealth and Liquidity Effects of Section Switches on the Kuala Lumpur and Singapore Stock Exchanges”, Department of Accounting & Finance, University of Melbourne, Australia, Research Paper Series, No. 98-04.

This paper has now been accepted for publication in the forthcoming Special issue of the International Journal of Finance, covering issues on Emerging Capital Markets.