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Trading Regularity And Fund Performance: Evidence In Uncertain Markets, Lin Tong, Zhe Zhang
Trading Regularity And Fund Performance: Evidence In Uncertain Markets, Lin Tong, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
High trading regularity funds outperform low trading regularity funds more during periods of low market returns and greater market and economic uncertainty. Their trading also has strong return predictability on stock returns during periods of greater uncertainty. They trade more around news events, and their news related trading predicts stock return stronger during periods of greater uncertainty. They also profit from liquidity provision in highly uncertain market environment. Overall our evidence suggests that high trading regularity funds trade more frequently during periods of high uncertainty when information production and processing skill is more valuable and when the demand for liquidity …
The Convergence Of Water, Electricity And Gas Industries: Implications For Ppp Design And Regulation, Sock Yong Phang
The Convergence Of Water, Electricity And Gas Industries: Implications For Ppp Design And Regulation, Sock Yong Phang
Research Collection School Of Economics
In several countries that have privatised their utilities, power and water are separate industries regulated by sector-specific regulators. In a parallel development, desalination has become an important source of water supply in countries where there is a shortage of cheap and clean freshwater. Where the energy source is gas, the use of gas-fired power plants to supply electricity for desalination links the water, electricity and gas industries. We use the case of the financial collapse of an integrated water and power project to illustrate the problems that can arise from such convergence, and to draw lessons for firms, Public-Private Partnerships …
On Strategy-Proofness And The Salience Of Single-Peakedness In A Private Goods Economy, Shurojit Chatterji, Masso Jordi, Serizawa Shigehiro
On Strategy-Proofness And The Salience Of Single-Peakedness In A Private Goods Economy, Shurojit Chatterji, Masso Jordi, Serizawa Shigehiro
Research Collection School Of Economics
We consider strategy-proof rules operating on a rich domain of preference profiles in a set up where multiple private goods have to be assigned to a set of agents with entitlements where preferences display satiation. We show that if the rule is in addition "desirable", in that it is tops-only, continuous, same-sided and individually rational with respect to the entitlements, then the preferences in the domain have to satisfy a variant of single-peakedness (referred to as smilattice single-peakedness). We also provide a converse of this main finding. It turns our that this domain coincides with the one already identified in …
Local Dominance, Emiliano Catonini, Jingyi Xue
Local Dominance, Emiliano Catonini, Jingyi Xue
SMU Economics and Statistics Working Paper Series
We define a local notion of weak dominance that speaks to the true choice problems among actions in a game tree and does not necessarily require to plan optimally for the future. A strategy is (globally) weakly dominant if and only if it prescribes a locally weakly dominant action at every decision node it reaches, and in this case local weak dominance is characterized by a (wishful-thinking) condition that requires no forward planning. From this local perspective, we identify form of contingent reasoning that are particularly natural, despite the absence of an obviously dominant strategy (Li, 2017). Following this approach, …
Decomposing Duration Dependence: Skill Depreciation Vs. Statistical Discrimination, Ismail Baydur, Jianhuan Xu
Decomposing Duration Dependence: Skill Depreciation Vs. Statistical Discrimination, Ismail Baydur, Jianhuan Xu
Research Collection School Of Economics
This paper develops a random matching model with unobserved worker heterogeneity and learning about worker types from unemployment duration. The model features negative duration dependence that stems from unobserved heterogeneity as well as statistical discrimination and skill depreciation. We estimate our model using micro-level data from Current Population Survey (CPS) and we decompose the contribution of each channel to job finding rates by duration. We find that shutting down statistical discrimination substantially increases the job finding rates of the long-term unemployed while skill depreciation mainly affects the medium-term unemployed.
Natural Disasters And Domestic Violence: A Study Of The 2015 Nepal Earthquake, Arpita Khanna, Tomoki Fujii
Natural Disasters And Domestic Violence: A Study Of The 2015 Nepal Earthquake, Arpita Khanna, Tomoki Fujii
Research Collection School Of Economics
This study explores the link between exposure to an earthquake and the incidence of intimate partner violence using two rounds of Demographic and Health Surveys data in Nepal. Using a differences-in-differences estimation, we find that exposure to the earthquake lead to a statistically and economically significant increase in the incidence of intimate partner violence in urban areas, which is attributable to the increase in stress felt by the victims. We argue that the heterogeneity of the impact between the urban and rural areas would be partly due to the differences in the reconstruction processes and assistance provided.
Firm Productivity And The Variety Of Inputs And Outputs: Evidence From Chinese Trade Data, Ken Onishi, Jianhuan Xu, Guang Yang
Firm Productivity And The Variety Of Inputs And Outputs: Evidence From Chinese Trade Data, Ken Onishi, Jianhuan Xu, Guang Yang
Research Collection School Of Economics
This paper studies how the trade liberalization in China changes the firm productivity. We develop a framework to estimate revenue productivity (TFPR) and real productivity (TFPQ) with multi-product firms. We find that the aggregate TFPR increases 30\% from 2002-2007 and TFPQ increases 22\%, suggesting that the observed TFPR increase is mainly driven by real productivity change rather than the markup change. We further decompose the change of productivity into three channels: (1) access to foreign inputs; (2) technology upgrade; (3) resource re-allocation within the firm. We find the most significant channel is the last one, which explains half of the …
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper derives asymptotic properties of the least squares estimator of the autoregressive parameter in local to unity processes with errors being fractional Gaussian noises with the Hurst parameter H. It is shown that the estimator is consistent when H ∈ (0, 1). Moreover, the rate of convergence is n when H ∈ [0.5, 1). The rate of convergence is n2H when H ∈ (0, 0.5). Furthermore, the limit distribution of the centered least squares estimator depends on H. When H = 0.5, the limit distribution is the same as that obtained in Phillips (1987a) for the local to …
Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang
Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang
Research Collection School Of Economics
We propose a quasi-Bayesian method to conduct inference for the production frontier. This approach combines multiple first-stage extreme quantile estimates by the quasi-Bayesian method to produce the point estimate and confidence interval for the production frontier. We show the asymptotic properties of the proposed estimator and the validity of the inference procedure. The finite sample performance of our method is illustrated through simulations and an empirical application.
Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips
Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips
Research Collection School Of Economics
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling the development of methods robust to departures from unit roots. The present paper shows how to generalize LUR asymptotics to cases where the localized departure from unity is a time varying function rather than a constant. Such a functional local unit root (FLUR) model has much greater generality and encompasses many cases of additional interest that appear in practical work, …
Staying Connected: The Importance Of Social Integration On The Well-Being Of Older Adults, Paulin T. Straughan, Vincent Chua, Stephen Hoskins, Frosch Quek
Staying Connected: The Importance Of Social Integration On The Well-Being Of Older Adults, Paulin T. Straughan, Vincent Chua, Stephen Hoskins, Frosch Quek
ROSA Research Briefs
It has been about a year since COVID-19 first emerged and reshaped the daily lives of people around the globe, including Singaporeans. Since moving past the circuit breaker in June, Singapore has gradually re-opened and relaxed its restrictions in different phases. As Singapore prepares for Phase 3- the final and least restrictive phase, it is important to examine how Singaporeans have coped and responded with the circuit breaker (7 April 2020) and its gradual easing of restriction in Phase 1 (2nd June 2020) and Phase 2 (19 June 2020), and identify the groups which have fallen through the gaps in …
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Research Collection School Of Economics
We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period …
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang
Research Collection School Of Economics
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS-OPMD method leads to finite sample improved tests over the usual methods. More importantly in non-standard problems where a genuine (quasi) score is not available and the usual methods fail, the proposed AQS-OPMD method provides feasible solutions. The AQS tests are formally derived and …
Density Of Demand And The Consumer Benefit From Uber, Matthew H. Shapiro
Density Of Demand And The Consumer Benefit From Uber, Matthew H. Shapiro
Research Collection School Of Economics
Uber has attracted the attention of economists and policy makers for its innovations in the taxicab market and its potential for significant consumer welfare gains. The size of this gain depends in part on whether these innovations permit transactions previously costly or infeasible. Using New York City — the largest taxi market in the country — as its context, this paper estimates the level of any technological advantage Uber has over hail taxis in matching to consumers. I combine publicly available transportation data with data scraped from Uber and traffic cameras to estimate a model of the demand for transportation …
Urbanization Policy And Economic Development: A Quantitative Analysis Of China's Differential Hukou Reforms, Wen-Tai Hsu, Lin Ma
Urbanization Policy And Economic Development: A Quantitative Analysis Of China's Differential Hukou Reforms, Wen-Tai Hsu, Lin Ma
Research Collection School Of Economics
The household registration system (hukou system) in China has hampered rural-urban migration by posing large migration friction. The system has been gradually relaxed in the past few decades, but the reforms have been differential in city size and by the coastal-inland divide. We find a striking contrast in the migration patterns between years 2005 and 2015; rural people tended to move more to the coastal urban region in 2005, but more to the inland urban region in 2015. We calibrate a spatial quantitative model to the world economy in both years with China being divided into the rural, coastal urban, …
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips
Research Collection School Of Economics
This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the data. These methods are a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm all of which utilize subsample tests of Granger causality within a lagaugmented vector autoregressive framework. The limit distributions for these subsample Wald tests are provided. Bootstrap methods are developed to control family-wise size in the implementation …
Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid, Marius Lux, Wolfgang Karl Hardle, Stefan Lessmann
Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid, Marius Lux, Wolfgang Karl Hardle, Stefan Lessmann
Sim Kee Boon Institute for Financial Economics
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is value-at-risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation of risk due to time varying volatility, skewness and leptokurtosis of financial return series. The paper proposes a nonlinear and nonparametric framework to forecast VaR that is motivated by overcoming the disadvantages of parametric models with a purely data driven approach. Mean and volatility are modeled via support vector regression (SVR) where the volatility model is motivated …
Mandarins Make Markets: Leadership Rotations And Inter-Provincial Trade In China, Junyan Jiang, Yuan Mei
Mandarins Make Markets: Leadership Rotations And Inter-Provincial Trade In China, Junyan Jiang, Yuan Mei
Research Collection School Of Economics
The careers of many public officials span multiple localities, yet the economic effects of their inter-regional movements are not well understood. This paper focuses on the rotation of provincial leaders in China and studies its impact on regional economic integration. Estimation results using the gravity framework indicate that when a provincial leader is appointed as the party secretary of a new province, the trade volume from the new province to the old province increases, but not vice versa. Additional analyses using two novel datasets that capture the intensity of inter-provincial socioeconomic activities in China corroborate this finding. We then construct …
Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao
Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao
Research Collection School Of Economics
This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asymptotic validity of a uniform confidence band for series estimators and show that it can also be used to conduct nonparametric specification test for conditional moment restrictions. New results on the validity of heteroskedasticity and autocorrelation consistent (HAC) estimators with increasing dimension are established for making feasible inference. An empirical application on the unemployment volatility …
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
Research Collection School Of Economics
We investigate the testable implications of the theory of stable matchings in two-sided matching markets with one-sided preferences. Our main result connects the revealed preference analysis to the well-known lattice structure of the set of stable matchings, and tests the rationalizability of a data set by analyzing the joins and meets of matchings.
Macroeconomic Stabilization In The Digital Age, John Beirne, David Fernandez
Macroeconomic Stabilization In The Digital Age, John Beirne, David Fernandez
Research Collection Lee Kong Chian School Of Business
Macroeconomic Stabilization in the Digital Age provides insights into factors affecting the macroeconomic management of the economy in the digital age. Policy makers need to be aware of the increasing prominence of the digital economy and digital finance and seek to better understand how continued digitalization will affect policies aimed at managing the economy. For emerging market economies (EMEs), macroeconomic policy challenges have been exacerbated by the digital finance revolution in the aftermath of the global financial crisis and the coronavirus disease (COVID-19) pandemic, when many EMEs experienced large and volatile capital flows. Policy makers must also navigate through fluctuating …
Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu
Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu
Research Collection School Of Economics
This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and introduce a memory signature plot for a model-free initial assessment. A simulated maximum likelihood (SML) method, which maximizes the time-domain log-likelihoods obtained by the importance sampling technique, is employed to estimate the model parameters. Simulation studies suggest that the SML method can accurately estimate both models. …
Robust Virtual Implementation With Almost Complete Information, Takashi Kunimoto
Robust Virtual Implementation With Almost Complete Information, Takashi Kunimoto
Research Collection School Of Economics
Artemov, Kunimoto, and Serrano (2013a,b, henceforth, AKS) study a mechanism design problem where arbitrary restrictions are placed on the set of first-order beliefs of agents. Calling these restrictions Δ, they adopt Δ-rationalizability (Battigalli and Siniscalchi, 2003) and show that Δ-incentive compatibility and Δ-measurability are necessary and sufficient conditions for robust virtual implementation, which implies that virtual implementation is possible uniformly over all type spaces consistent with Δ-restrictions. By appropriately defining Δ in order to restrict attention to complete information environments and thereafter explicitly modelling the assumption of complete information in the language of type spaces, I re-establish the permissive implementation …
The Dorian Gray Phenomenon In Financial Markets, Ajay Makhija
The Dorian Gray Phenomenon In Financial Markets, Ajay Makhija
Asian Management Insights
Looking at the current state of the global economy and the extent of financial market hedonism through the lens of Oscar Wilde’s “The Picture of Dorian Gray”.
A Ricardian Rationale For The Wto Rules On R&D Subsidies, Yumi Koh, Gea M. Lee
A Ricardian Rationale For The Wto Rules On R&D Subsidies, Yumi Koh, Gea M. Lee
Research Collection School Of Economics
The WTO subsidy rules use two key criteria, specificity and adverse effects, to regulate R&D subsidies. Using the model of Dornbusch et al. (1977), we offer a Ricardian rationale for the regulatory criteria.
The Potential Impacts Of Covid-19 On The Global Value Chains: Gvc Positioning And Linkages, Gerald Foong, Pao-Li Chang
The Potential Impacts Of Covid-19 On The Global Value Chains: Gvc Positioning And Linkages, Gerald Foong, Pao-Li Chang
Research Collection School Of Economics
Apart from the public health crisis entailed by the Coronavirus Disease 2019 (COVID-19) pandemic, it has also propagated a pandemic-induced economic shock globally. One transmission channel is via the inter-country linkages arising from the trade in intermediate inputs, which is a pertinent characteristic of global value chains (GVCs), and resulting in a "supply-chain contagion" as termed by Baldwin and Tomiura (2020). In this paper, we propose measures of bilteral downstreamness and upstreamness, the extent of a country's GVC participation, and the position of a country in GVCs by leveraging upon the gross export decomposition framework as laid out by Borin …
Housing Equity And Household Consumption In Retirement: Evidence From The Singapore Life Panel©, Lipeng Chen, Liang Jiang, Sock Yong Phang, Jun Yu
Housing Equity And Household Consumption In Retirement: Evidence From The Singapore Life Panel©, Lipeng Chen, Liang Jiang, Sock Yong Phang, Jun Yu
Research Collection School Of Economics
Housing affordability for elderly homeowners involves an entirely different set of issues as compared to housing affordability for first-time homeowners. To afford to ‘age-in-place’ may require homeowners to access channels that enable them to withdraw their housing equity to finance consumption in retirement. We utilize data from the Singapore Life Panel© survey to empirically investigate the impact of housing equity on the consumption of elderly households. Based on panel analysis, we find housing equity value has no significant impact on non-durable consumption for elderly people. The conclusion holds for a battery of robustness checks. Moreover, heterogeneity analyses based on subsamples …
Can Retail Investors Learn From Insiders?, Ekkehart Boehmer, Bo Sang, Zhe Zhang
Can Retail Investors Learn From Insiders?, Ekkehart Boehmer, Bo Sang, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
This paper examines the trading patterns of retail investors following insider trading and the corresponding price impact. Retail investors follow the opportunistic purchases by insiders, but not their routine purchases. Neither investor attention nor common information such as earnings announcements or analysts forecast re- visions explains the results. They keep following insider purchases in subsequent four quarters. Moreover, for stocks with opportunistic insider purchases, those that retail investors bought yield higher cumulative abnormal returns than those that retail investors sold. The effect is mostly driven by the information compo- nent of the retail trades, rather than liquidity provision or temporary …
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Frm Financial Risk Meter, Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions utilizing tail event information. Financial Risk Meter (FRM) is based on least absolute shrinkage and selection operator quantile regression designed to capture tail event co-movements. The FRM focus lies on understanding active set data characteristics and the presentation of interdependencies in a network topology. Two FRM indices are presented, namely, FRM@Americas and FRM@Europe. The FRM indices detect systemic risk at selected areas and identify risk factors. In practice, FRM is applied to the return time series of selected financial institutions …
Teres: Tail Event Risk Expectile Shortfall, Andrija Mihoci, Wolfgang Karl Hardle, Cathy Yi-Hsuan Chen
Teres: Tail Event Risk Expectile Shortfall, Andrija Mihoci, Wolfgang Karl Hardle, Cathy Yi-Hsuan Chen
Sim Kee Boon Institute for Financial Economics
We propose a generalized risk measure for expectile-based expected shortfall estimation. The generalization is designed with a mixture of Gaussian and Laplace densities. Our plug-in estimator is derived from an analytic relationship between expectiles and expected shortfall. We investigate the sensitivity and robustness of the expected shortfall to the underlying mixture parameter specification and the risk level. Empirical results from the US, German and UK stock markets and for selected NASDAQ blue chip companies indicate that expected shortfall can be successfully estimated using the proposed method on a monthly, weekly, daily and intra-day basis using a 1-year or 1-day time …