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Articles 31 - 41 of 41
Full-Text Articles in Portfolio and Security Analysis
Investment Patterns In Singapore's Central Provident Fund System, Benedict S. K. Koh, Olivia S. Mitchell, Toto Tanuwidjaja, Joelle Fong
Investment Patterns In Singapore's Central Provident Fund System, Benedict S. K. Koh, Olivia S. Mitchell, Toto Tanuwidjaja, Joelle Fong
Research Collection Lee Kong Chian School Of Business
Rising elderly life expectancies imply the need to accumulate sufficient savings for retirement. This paper investigates the role of recent changes in the investment menu of the Singaporean Central Provident Fund (CPF) system. Our research explores the investment patterns of CPF participants and articulates their implications for policymakers. We find that most investors use their money for housing purchase and default the remainder to the CPF investment pool. The bulk of non-housing saving sits in bank accounts paying a low return. A fraction of workers does elect outside investment products, with high-income earners and males taking more risk than low-income …
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 …
The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin
The Change In Corporate Transparency Of Korean Firms After The Asian Financial Crisis: An Analysis Using Analysts' Forecast Data, Jinho Chang, Young Jun Cho, Hyun-Han Shin
Research Collection School Of Accountancy
Using analysts' forecast error and forecast dispersion of firms covered by the I/B/E/S database, this study examines the change in information asymmetry of Korean firms around the financial crisis of 1997. Results show that the information asymmetry of Korean firms is lower after the financial crisis than before, implying that corporate transparency did, in effect, improve with the change in business environment. In addition, this study finds that chaebol firms have higher information asymmetry than non-chaebol firm, and also that the corporate transparency improvement of chaebol firms is not higher than that of non-chaebol firms in the post-crisis period despite …
Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou
Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou
Dissertations and Theses Collection (Open Access)
This study investigates the information value of credit ratings by exploring the relationship between ratings and security price. Unlike previous studies, we concentrate on the major markets ex-Japan in Asia. We begin with an investigation of rating reclassification as well as credit watch placement events by three leading international rating agencies. We show that markets with differing level of sophistication behave differently. Specifically, South Korea and Hong Kong are found to respond in a similar manner. Indonesia shows possible ign of information leakage. In the cases of Malaysia and Thailand, significant and positive equity price responses exist for upgrades, suggesting …
Corporate Divestitures And Spinoffs In Singapore, Francis Koh, Winston T. H. Koh, Benedict S. K. Koh
Corporate Divestitures And Spinoffs In Singapore, Francis Koh, Winston T. H. Koh, Benedict S. K. Koh
Research Collection Lee Kong Chian School Of Business
This paper discusses the different forms of corporate divestitures, the motives for this corporate activity, and the empirical findings about their economic outcomes. A sample of corporate divestitures is also used to identify the main motivations in the Singapore context. We conclude that divestitures are carried out to achieve operational efficiency and gain incremental profitability and liquidity. Using share price data around the event-dates, we show that announcements of divestitures generally lead to significant increases in the returns of the parent company. The positive abnormal returns are related to the relative size of the divestitures and the computed accounting gains. …
The Contribution Of A Satellite Market To Price Discovery: Evidence From The Singapore Exchange, Vicentiu Covrig, David K. Ding, Buen Sin Low
The Contribution Of A Satellite Market To Price Discovery: Evidence From The Singapore Exchange, Vicentiu Covrig, David K. Ding, Buen Sin Low
Research Collection Lee Kong Chian School Of Business
The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its continued success. Evidence is provided from information revelation and price discovery of three competing but informationally linked markets of the Nikkei 225 index - domestic spot (Tokyo Stock Exchange), domestic futures (OSE), and foreign futures (SGX), which represents the satellite market. Overall, the futures market contributes 77% to price discovery, with the …
Spread, Depth, And Order Flow Patterns Of Warrants And Their Underlying Stocks On The Stock Exchange Of Thailand, Charlie Charoenwong, Nuttawat Visaltanachoti, David K. Ding
Spread, Depth, And Order Flow Patterns Of Warrants And Their Underlying Stocks On The Stock Exchange Of Thailand, Charlie Charoenwong, Nuttawat Visaltanachoti, David K. Ding
Research Collection Lee Kong Chian School Of Business
This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market …
Asian Hedge Funds: Return Persistence, Style, And Fund Characteristics, Francis Koh, Winston T. H. Koh, Melvyn Teo
Asian Hedge Funds: Return Persistence, Style, And Fund Characteristics, Francis Koh, Winston T. H. Koh, Melvyn Teo
Research Collection Lee Kong Chian School Of Business
This study explores the return persistence properties, styles, and fund characteristics of hedge funds that mainly invest in Asia. We examine, for the first time, a high resolution hedge fund dataset which includes monthly return information as well as detailed fund characteristics data. We find that the returns of Asian hedge funds persist most strongly at monthly horizons to quarterly horizons. This persistence weakens considerably when we lengthen the measurement period beyond a quarter, and does not appear to be due to the imputation of fees or to systematic risk as measured by a simple factor model. Further, we show …
An Investigation Of Price Discovery In Informationally-Linked Markets: Equity Trading In Malaysia And Singapore, David K. Ding, Frederick H. Harris, Sie Ting Lau, Thomas H. Mclnish
An Investigation Of Price Discovery In Informationally-Linked Markets: Equity Trading In Malaysia And Singapore, David K. Ding, Frederick H. Harris, Sie Ting Lau, Thomas H. Mclnish
Research Collection Lee Kong Chian School Of Business
Using transactions data for the Kuala Lumpur Stock Exchange and the Stock Exchange of Singapore (SES) for a major Malaysian conglomerate, Sime Darby Berhad, and intraday exchange rate data, we investigate whether and to what extent each exchange contributes to price discovery. Results indicate that the price series are cointegrated. The raw data appear to indicate the presence of arbitrage opportunities, but none exist after taking exchange rate changes into account. Using the common long-memory factors of Gonzalo and Granger (1995, Journal of Business and Economic Statistics 13, 1-9), we show that while the majority of the price discovery (approximately …
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Research Collection Lee Kong Chian School Of Business
This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses …
Share-Price-Changes-Volume Relation On The Singapore Equity Market, David K. C. Lee, Mohamed Ariff
Share-Price-Changes-Volume Relation On The Singapore Equity Market, David K. C. Lee, Mohamed Ariff
Research Collection Lee Kong Chian School Of Business
A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using …