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Articles 1 - 18 of 18
Full-Text Articles in Business
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse
Research Collection School Of Economics
We propose to compute the Intraday Value-at-Risk (IVaR) for stocks using real-time transaction data. Tick-by-tick data filtered by price duration are modeled using a two-state asymmetric autoregressive conditional duration (AACD) model, and the IVaR is calculated using Monte Carlo simulation based on the estimated AACD model. Backtesting results for the New York Stock Exchange (NYSE) show that the IVaR calculated using the AACD method outperforms those using the Dionne et al. (2009) and Giot (2005) methods.
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. …
The Next Wave Of Globalisation, Singapore Management University
The Next Wave Of Globalisation, Singapore Management University
Perspectives@SMU
As consumption patterns shift away from OECD countries to the developing world, businesses need to leverage on technology to overcome last-mile delivery obstacles
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right-tailed unit root tests (each with a different recursive …
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long …
Borderless Markets: A Boon Or Bane For Marketers?, Philip Charles Zerrillo
Borderless Markets: A Boon Or Bane For Marketers?, Philip Charles Zerrillo
Asian Management Insights
Economic integration and free trade isnot always a panacea for businesses.
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li
Research Collection School Of Economics
This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates …
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Competition Of The Informed: Does The Presence Of Short Sellers Affect Insider Selling?, Massimo Massa, Wenlan Qian, Weibiao Xu, Hong Zhang
Research Collection Lee Kong Chian School Of Business
We study how the presence of short sellers affects the incentives of the insiders to trade on negative information. We show it induces insiders to sell more (shares from their existing stakes) and trade faster to preempt the potential competition from short sellers. An experiment and instrumental variable analysis confirm this causal relationship. The effects are stronger for "opportunistic" (i.e., more informed) insider trades and when short sellers' attention is high. Return predictability of insider sales only occurs in stocks with high short-selling potential, suggesting that short sellers indirectly enhance the speed of information dissemination by accelerating trading by insiders. …
Singapore’S Housing Policies: Responding To The Challenges Of Economic Transitions, Sock Yong Phang
Singapore’S Housing Policies: Responding To The Challenges Of Economic Transitions, Sock Yong Phang
Research Collection School Of Economics
Singapore has developed its own unique state-driven housing system, with more than three quarters of its housing stock built by the Housing and Development Board and homeownership financed through Central Provident Fund savings. As a result, it has one of the highest homeownership rates amongst market economies. This paper provides a historical perspective of the main housing problems faced by successive prime ministers and their respective policy responses. Under the leadership of Prime Minister Lee Kuan Yew (1959-1990), the government established an integrated landhousing supply and housing finance framework to channel much needed resources into the housing sector to deal …
The Invisible Hand Of Short Selling: Does Short Selling Discipline Earnings Management?, Massimo Massa, Bohui Zhang, Hong Zhang
The Invisible Hand Of Short Selling: Does Short Selling Discipline Earnings Management?, Massimo Massa, Bohui Zhang, Hong Zhang
Research Collection Lee Kong Chian School Of Business
We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings management. Our findings suggest that short selling functions as an external governance mechanism to discipline managers.
Mochtar Riady [Indonesia, Banker], Mochtar Riady
Mochtar Riady [Indonesia, Banker], Mochtar Riady
Digital Narratives of Asia
Founder and Chairman of Lippo Group, Mochtar Riady gained the moniker "Magic Man of Banking" because of his ability to turn around and grow several of Indonesia's private banks, the most notable being Bank Central Asia (BCA). But his 15 years in BCA wasn't all smooth sailing. He speaks to DNA about his challenges in BCA, which saw him dealing with sensitive relationships with the Suharto government, as well as the firing of his own son for Forex speculation.
Employment Duration And Match Quality Over The Business Cycle, Ismail Baydur, Toshihiko Mukoyama
Employment Duration And Match Quality Over The Business Cycle, Ismail Baydur, Toshihiko Mukoyama
Research Collection School Of Economics
This paper studies the cyclical behavior of employment duration using data from the National Longitudinal Survey of Youth 1979 cohort. We estimate a proportional hazard model with competing risks, distinguishing different types of separations. A higher unemployment rate at the start of an employment relationship increases the probability that the worker quits to take or look for another job, but it decreases the probability that the firm fires the worker. The net effect of these opposing forces on the overall duration of the employment is negative, but small, implying that match quality is weakly pro-cyclical. We also build a simple …
Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang
Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang
Research Collection School Of Economics
The Global City concept originates from the work of sociologist Saskia Sassen, which dates back to the 1980s. In an age of globalisation, division of labour is international in scope and production activities are distributed across the world. A global city is a significant point where the internationally oriented financial and producer services that make the global economy run choose to agglomerate.
Timothy Ong [Brunei, Chairman Of Asia Inc Forum], Timothy Ong
Timothy Ong [Brunei, Chairman Of Asia Inc Forum], Timothy Ong
Digital Narratives of Asia
Timothy Ong is Chairman of Asia Inc Forum, a regional platform for policy and business dialogue which he set up after the failure of his magazine Asia Inc. Mr Ong talks openly to DNA about the Asia Inc episode and how he learned from those mistakes to build a stronger, better company. He also shares his impressions of leaders he has met through his work at Asia Inc Forum.
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.
On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach, Jerry X. Cao, Bihong Huang, Rose Neng Lai
On The Effectiveness Of Housing Purchase Restriction Policy In China: A Difference In Difference Approach, Jerry X. Cao, Bihong Huang, Rose Neng Lai
Research Collection Lee Kong Chian School Of Business
The Chinese government imposed the purchase restriction policy to rein in the housing bubble in 2010. Using a two-stage difference-in-difference approach and a comprehensive dataset covering the real estate markets across 70 cities, we find that the policy triggered substantial decline in the property price and transaction volume. Cities having higher reliance on real estate sector for fiscal revenue and economic growth experienced greater decline in housing prices following the policy implementation. However, the policy had no measurable effects on the nationwide construction boom, hinting the ineffectiveness of the policy to correct the housing bubble.
Income Smoothing Due To Unemployment Concerns, Jeffrey Ng, Tharindra Ranasinghe, Guifeng Shi, I-Hwa Yang
Income Smoothing Due To Unemployment Concerns, Jeffrey Ng, Tharindra Ranasinghe, Guifeng Shi, I-Hwa Yang
Research Collection School Of Accountancy
Economic theory predicts that top executives and lower-level employees have incentives to smooth income due to compensating wage differential costs and fear of job loss, respectively. Following Agrawal and Matsa (JFE, 2013) who rely on exogenous variations in unemployment insurance benefits to examine how unemployment concerns affect corporate leverage, we examine the link between such benefits and income smoothing. We find that when unemployment insurance benefits are higher and concerns about unemployment are hence lower, there is less income smoothing. This relation is stronger when employees face higher unemployment risk and weaker when the firms’ information and internal control environments …
Reputation Building Through Failure, Huan Wang, Yi Zhang
Reputation Building Through Failure, Huan Wang, Yi Zhang
Research Collection School Of Economics
In China, many entrepreneurs receive strong supports each time their business fails. This contradicts existing literature and differs from rare revival elsewhere. The major explanation lies in China’s unfriendly and unstable policy environments, due to which business failure per se cannot discern competence. Therefore, entrepreneurs failing because of policy shocks have the incentive for extra efforts to build reputation of competence and trustworthiness. This mechanism prepares a pool of seasoned entrepreneurs who can help alleviate damages of not only policy shocks, but also such system shocks as business cycle and sector upgrading, and therefore makes the economy more adaptable.