Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri

Securitization is the process of transforming illiquid assets into rated long-term marketable securities that measures the relationship between securitized assets and market spread. The previous researches provided some evidences on the relationship between the nature of the assets and the primary m...

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Main Author:	Bakri, Mohammed Hariri
Format:	Thesis
Language:	English
Published:	2015
Subjects:	Marketing research. Marketing research companies. Sales forecasting
Online Access:	http://ir.uitm.edu.my/id/eprint/16240/ http://ir.uitm.edu.my/id/eprint/16240/1/TP_MOHAMMED%20HARIRI%20BAKRI%20BM%2015_5.pdf

id	uitm-16240
recordtype	eprints
spelling	uitm-162402017-03-13T00:57:57Z http://ir.uitm.edu.my/id/eprint/16240/ Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri Bakri, Mohammed Hariri Marketing research. Marketing research companies. Sales forecasting Securitization is the process of transforming illiquid assets into rated long-term marketable securities that measures the relationship between securitized assets and market spread. The previous researches provided some evidences on the relationship between the nature of the assets and the primary market spread. Their models provide predictions on how other pricing characteristics affect US and Euro markets. However, emerging markets, notably Malaysia, remain to be testified, and hence these pending results have motivated this study to testify other tests with reference to the Vink Model to fill the literature gap. Further research found that although credit ratings are the most important variables to determine loan spread at issue date, investors appear not to rely exclusively on these ratings, as well as liquidity and leverage beyond the assigned credit rating. The first objective statement to provide empirical contribution variable such as Liquidity and Leverage as determinant of the primary market spread based on Vink regression model of2008 and 2012. The result shows that liquidity and leverage are significant determinant in the regression model. The next objective is to test the model of determinant of the primary market spread, the goodness fit model shows that all F-statistics are significant from models 1 to 6. Finally, the objective is to examine both internal (finn specific) and external (macroeconomic market condition) determinants of the primary market spread. It is interesting to note that the coefficients of the variable lose its explanatory power when other macroeconomic and financial indicators are controlled for. These results are testified as the study employs recently developed Panel Data approach and Least Method Regression analysis for the study periods of 2004-2012, eleven hypotheses support that their determinants have relationship with primary market spread. The results also verify that marketability characteristics represent the most important group in explaining loan spread variability in internal determinant. Likewise, the transaction size is the most important variables to determine loan spread at issue date. However, for macroeconomic market condition factor of determinants, capital structure characteristic plays main roles where interest and inflation are the main determinants for the primary market spread. As such, the study concludes that the selected determinants are helpful to issuers of bonds to offer alternative cheaper financing cost to their respective originators and better investment return to portfolio managers, and hence could stimulate the strong growth of the Malaysian securitization market in particular and capital market in general. 2015 Thesis NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/16240/1/TP_MOHAMMED%20HARIRI%20BAKRI%20BM%2015_5.pdf Bakri, Mohammed Hariri (2015) Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri. PhD thesis, Universiti Teknologi MARA.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Marketing research. Marketing research companies. Sales forecasting
spellingShingle	Marketing research. Marketing research companies. Sales forecasting Bakri, Mohammed Hariri Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
description	Securitization is the process of transforming illiquid assets into rated long-term marketable securities that measures the relationship between securitized assets and market spread. The previous researches provided some evidences on the relationship between the nature of the assets and the primary market spread. Their models provide predictions on how other pricing characteristics affect US and Euro markets. However, emerging markets, notably Malaysia, remain to be testified, and hence these pending results have motivated this study to testify other tests with reference to the Vink Model to fill the literature gap. Further research found that although credit ratings are the most important variables to determine loan spread at issue date, investors appear not to rely exclusively on these ratings, as well as liquidity and leverage beyond the assigned credit rating. The first objective statement to provide empirical contribution variable such as Liquidity and Leverage as determinant of the primary market spread based on Vink regression model of2008 and 2012. The result shows that liquidity and leverage are significant determinant in the regression model. The next objective is to test the model of determinant of the primary market spread, the goodness fit model shows that all F-statistics are significant from models 1 to 6. Finally, the objective is to examine both internal (finn specific) and external (macroeconomic market condition) determinants of the primary market spread. It is interesting to note that the coefficients of the variable lose its explanatory power when other macroeconomic and financial indicators are controlled for. These results are testified as the study employs recently developed Panel Data approach and Least Method Regression analysis for the study periods of 2004-2012, eleven hypotheses support that their determinants have relationship with primary market spread. The results also verify that marketability characteristics represent the most important group in explaining loan spread variability in internal determinant. Likewise, the transaction size is the most important variables to determine loan spread at issue date. However, for macroeconomic market condition factor of determinants, capital structure characteristic plays main roles where interest and inflation are the main determinants for the primary market spread. As such, the study concludes that the selected determinants are helpful to issuers of bonds to offer alternative cheaper financing cost to their respective originators and better investment return to portfolio managers, and hence could stimulate the strong growth of the Malaysian securitization market in particular and capital market in general.
format	Thesis
author	Bakri, Mohammed Hariri
author_facet	Bakri, Mohammed Hariri
author_sort	Bakri, Mohammed Hariri
title	Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
title_short	Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
title_full	Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
title_fullStr	Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
title_full_unstemmed	Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri
title_sort	determinants of primary market spread in developing securitization in malaysia: a panel study / mohammed hariri bakri
publishDate	2015
url	http://ir.uitm.edu.my/id/eprint/16240/ http://ir.uitm.edu.my/id/eprint/16240/1/TP_MOHAMMED%20HARIRI%20BAKRI%20BM%2015_5.pdf
first_indexed	2023-09-18T22:55:37Z
last_indexed	2023-09-18T22:55:37Z
_version_	1777417833924263936

Determinants of primary market spread in developing securitization in Malaysia: a panel study / Mohammed Hariri Bakri

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