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Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang
Can Us Economic Variables Predict Chinese Stock Market?, Jeremy Goh, Fuwei Jiang, Jun Tu, Yuchen Wang
Research Collection Lee Kong Chian School Of Business
In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China's economy and stock market. Given the potential impact, we empirically examine whether US economic variables are leading indicators of the Chinese stock market. Prior to China joining the World Trade Organization (WTO) in the end of 2001, we find no statistical relationship between US economic variables and the Chinese stock market returns. However, we find US economic variables have statistically significant predictive power for periods after China's admission into the WTO. In addition, we show that …
Nature Of Vix Jumps On Market Timing Of Hedge Funds, Yueh-Neng Lin, Choo Yong, Jeremy Goh
Nature Of Vix Jumps On Market Timing Of Hedge Funds, Yueh-Neng Lin, Choo Yong, Jeremy Goh
Research Collection Lee Kong Chian School Of Business
The study indicates that Brownian motion, finite and infinite activity jumps are present in the ultra-high frequency VIX data. The total quadratic variation can be split into a continuous component of 29% and a jump component of 71%. Jump activities on ultra-high frequency VIX data are found informative in ex-ante identifying subgroups of hedge funds that deliver significant outperformance. In the months that follow large jumps, strategies exposing to long volatility and extreme risk tend to deliver positive performance in extreme market environments. In the months that follow small jumps, possibly as a result of trading illiquidity, most fund strategies …
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach
What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach
Research Collection Lee Kong Chian School Of Business
Sell-side analysts employ different benchmarks when defining their stock recommendations. Forexample, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector(“industry benchmarkers”), while for other brokers it means the stock is expected to outperform themarket (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use thesebenchmarks to analyze the role of stock picking, industry picking and market timing in contributing to theperformance of stock recommendations. We are able to do so given that different benchmarks suggest theuse of different sets of abilities. Analysis of the relation between analysts’ recommendations and theirlong-term …