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Articles by Adli Mustafa
Total Records ( 3 ) for Adli Mustafa
  Md. Zobaer Hasan , Anton Abdulbasah Kamil , Adli Mustafa and Md. Azizul Baten
  Capital Asset Pricing Model (CAPM) was a revolution in financial theory. CAPM postulates an equilibrium linear association between expected return and risk of an asset. This study investigates a risk-return relationship within the CAPM framework in Dhaka Stock Exchange (DSE) using monthly stock returns from 80 non-financial companies for the period of January 2005 to December 2009. From the CAPM empirical analysis, it is observed that intercept term is significantly different from zero and insignificant but there exists a positive relationship between beta and share return. The results of the study refute the CAPM hypothesis and offer evidence against the CAPM in DSE market. However, there exists linearity in the securities market line. The unique risk and the interaction are insignificant during the period.
  Anton Abdulbasah Kamil , Adli Mustafa and Khlipah Ibrahim
  Problem statement: The most important character within optimization problem is the uncertainty of the future returns. Approach: To handle such problems, we utilized probabilistic methods alongside with optimization techniques. We developed single stage and two stage stochastic programming with recourse. The models were developed for risk adverse investors and the objective of the stochastic programming models is to minimize the maximum downside semi deviation. We used the so-called "Here-and-Now" approach where the decision-maker makes decision "now" before observing the actual outcome for the stochastic parameter. Results: We compared the optimal portfolios between the single stage and two stage models with the incorporation of the deviation measure. The models were applied to the optimal selection of stocks listed in Bursa Malaysia and the return of the optimal portfolio was compared between the two stochastic models. Conclusion: The results showed that the two stage model outperforms the single stage model in the optimal and in-sample analysis.
  Md. Zobaer Hasan , Anton Abdulbasah Kamil , Adli Mustafa and Md. Azizul Baten
  This study analyzes the technical efficiency of selected groups of companies of Bangladesh Stock Market that is Dhaka Stock Exchange (DSE) market using a stochastic frontier production function approach. This research considers Cobb-Douglas Stochastic frontier model with truncated normal distribution and both the time-variant and time-invariant inefficiency effects are estimated. The studied input variables-market return, market capitalization, book to market ratio and market value show significant relationship with the stock returns. The estimated average technical efficiency of DSE market is 95.42% of potential output for the truncated normal distribution over the period 2000-2008. The results show that technical efficiency gradually decreases over the reference period. The value of technical efficiency is high for investment group and low for bank group in time-variant situation whereas the value of technical efficiency is high for investment group also but low for ceramic group in time-invariant situation.
 
 
 
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