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Articles 31 - 43 of 43
Full-Text Articles in Social and Behavioral Sciences
Technical Analysis: An Asian Perspective, Siqin Liaw
Technical Analysis: An Asian Perspective, Siqin Liaw
Dissertations and Theses Collection (Open Access)
Technical analysis, namely the moving average rule and the channel rule, is applied to the currency of an Asian managed floating exchange rate regime (USD/SGD) to see if opportunities for profitable trading exist. Instead of using only daily or monthly data, higher frequency time frames of 10, 15, 30 and 60 minutes are analyzed. Profitable strategies (if any) will be broken down and analyzed within smaller time frames to see if the profits are specifically in sample.
Analysis Of Singapore's Foreign Exchange Market Microstructure, Chee Wai Wan
Analysis Of Singapore's Foreign Exchange Market Microstructure, Chee Wai Wan
Dissertations and Theses Collection (Open Access)
This paper analyses the Singapore foreign exchange market from a microstructure approach. Specifically, by applying and modifying the empirical methodology designed by Bollerslev and Melvin (1994), we examine the relationship between bid-ask spreads and the underlying volatility of the USD/SGD. Our data set comprises high-frequency USD/SGD tick data of three separate years (April-June 1989, April-May 2006, April-May 2009). We found that for the USD/SGD: i) the size of bid-ask spreads are positively related to the underlying exchange rate volatility; ii) the magnitude of the dependence on underlying volatility increases as tick volume increases; and iii) the size of the bid-ask …
Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti
Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti
Dissertations and Theses Collection (Open Access)
This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …
Firm And Industry Characteristics Of Exchange Rate Exposure And Optimal Hedging Strategy: Evidence On China, Fen Yan
Dissertations and Theses Collection (Open Access)
Understanding the effect of foreign exchange rate movements on the value of firm is a critical element for the purpose of risk management. In this thesis, firm and industry specific exposures to exchange rate movements in the Chinese market before and after the exchange rate regime reform in 2005 are examined. We observe that at the one-week return horizon, among all the firms listed in the China Exchange Market before the year 2001, less than 10% of the firms exhibit significant "residual exposure" to bilateral exchange rate movements against China’s major trading partners before the reform. In contrast, the proportion …
The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng
The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng
Dissertations and Theses Collection (Open Access)
In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …
Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas
Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas
Dissertations and Theses Collection (Open Access)
Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the …
Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song
Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song
Dissertations and Theses Collection (Open Access)
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during …
Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma
Flow-Performance Relationship And Tournament Behavior In The Mutual Fund Industry, Baoling Ma
Dissertations and Theses Collection (Open Access)
In this paper, we interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors. We show that the flow-performance relationship varies not only with economic activity but also across fund attributes. We provide evidence that the degree of convexity of the flow-performance relationship has a positive effect on the magnitude of tournament behavior. Different from the conventional tournament hypothesis, we show that although the convexity of the flow-performance relationship does produce implicit incentives for fund managers to modify risk-taking behavior as a function of their prior performance, whether or not the mid-year …
Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun
Offshore Financial Havens: Their Role In International Capital Flows, Zhixiang Sun
Dissertations and Theses Collection (Open Access)
The purpose of this paper is to study the role of offshore financial havens in international capital flows. We examine the effects of being a tax haven, a money laundering centre or an offshore financial centre (OFC), which often overlap. We want to see whether these places are used as entrepots (which means temporary storage for funds) or as investment places or both. We mainly use two complementary data sets: bilateral cross-border asset holding and financial intermediation. One is a stock variable and the other one is a flow variable. We apply the gravity model to bilateral cross-border asset holding …
Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang
Rolling Adf Tests: Detecting Rational Bubbles In Greater China Stock Markets, Peng Huang
Dissertations and Theses Collection (Open Access)
Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented and compared. Monte Carlo simulations are performed to determine the critical values of the ADF statistic under different sample size. Empirical results demonstrate that only rolling ADF tests are successful in detecting rational bubbles by overcoming the problem of periodically collapsing bubble. As we have expected, bubbles in China Mainland stock market are detected. Out …
Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew
Stock Markets And Income Inequality: A Cross-Country Study, Elizabeth Mathew
Dissertations and Theses Collection (Open Access)
This paper conducts a comprehensive analysis to understand how stock market ratios affect net income inequality. The study of how finance impacts income distribution is relevant as the income distribution of a nation influences savings decisions, resource allocation, innovation incentives and public policy and hence impacts the process of economic development. Using a cross-sectional data set of 68 countries and panel data set of 61 countries from 1975 to 2005, I apply cross-sectional OLS and panel regressions to look at how stock market size, liquidity, and activity impact income inequality. While stock market size is found to strongly impact income …
Test For Infinite Variance In Stock Returns, Xian Ning Yan
Test For Infinite Variance In Stock Returns, Xian Ning Yan
Dissertations and Theses Collection (Open Access)
The existence of second order moment or the finite variance is a commonly used assumption in financial time series analysis. We examine the validation of this condition for main stock index return series by applying the extreme value theory. We compare the performances of the adaptive Hill's estimator and the Smith's estimator for the tail index using Monte Carlo simulations for both i.i.d data and dependent data. The simulation results show that the Hill's estimator with adaptive data-based truncation number performs better in both cases. It has not only smaller bias but also smaller MSE when the true tail index …
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Abnormal Trading Volume, Stock Returns And The Momentum Effects, Ying Zheng
Dissertations and Theses Collection (Open Access)
This paper intends to study the intermediate-term momentum and long-term reversal of stock prices by investigating the informational role of unusual trading volume for winner and loser stocks. I argue that unusual trading volume has different implications for winner and loser stocks. Specifically, high trading volume for losers is driven by purchases made by informed investors; while high trade volume for winners could be driven by either information or representativeness bias or both. The arguments are tested in the paper by showing that in the short run, losers/winners with high abnormal trading volume outperform losers/winners with low abnormal trading volume; …