The purpose of this paper is to propose a model to test the factors influencing on spread in Malaysia securitization market. An extension Vink’s model is tested and revalidated to determine and measure the factors influencing spread of securitized firms in Malaysia. The study consists firm characteristics and macroeconomic factors. Firm characteristic factors based on Vink’s model, such as Liquidity and Leverage. In addition, economic and market condition factors such as Interest and Inflation also maintain high impact to spread securitized firms. Ordinary Least square method, Panel data and multiple regression analysis are applied for the study period 2004-2012. The result shows two determinants influence or contribute to the primary market spread and are statistically significant in developing the securitization in Malaysia. It can be concluded that inflation and interest rate significantly contribute to the determinant of primary market spread. From four hypotheses, two hypotheses support that the determinants had a relationship with primary market spread. The result may become a model and benchmark for other ASEAN countries to be used as Malaysia resilient during subprime mortgage in 2008.

In this paper, we address the stockholder overreaction and mean reversion in specified major industry groups in Tehran Stock Exchange (TSE). This paper investigates this issue with panel data analysis and with particular attention to the Box-Jenkins Approach for stationary diagnosis with appropriate order and modeling stock prices with regard to specific industries. The study processes modeling of panels where stationary and mean reversion takes place in complementary analysis. The sampling intervals are explored monthly within the past few years. The results reveal that mean reversion presence in three industry group stock prices and industry stock prices would not behave in certain pattern.