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Social and Behavioral Sciences Commons™
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- Asian financial crisis (1)
- Asian stock markets (1)
- Book-to-market (BTM) effect (1)
- Business cycles (1)
- Cash index construction (1)
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- Cash settlement (1)
- China (1)
- Currency board system (1)
- Debt (1)
- Developing countries (1)
- Electronic trading (1)
- Ex ante uncertainty (1)
- Externalities (1)
- Factor analysis (1)
- Financial signals (1)
- Firm-size effect (1)
- Fundamental analysis (1)
- Futures contract (1)
- GARCH model (1)
- Glamour and value stocks (1)
- Growth (1)
- Hang Seng Index futures (1)
- High BTM and low BTM portfolios (1)
- Hong Kong (1)
- Initial public offering (1)
- Interbank rate (1)
- Kalman filter (1)
- Market Structure (1)
- Market manipulation (1)
- Missing observation (1)
Articles 1 - 9 of 9
Full-Text Articles in Social and Behavioral Sciences
The Impacts Of Hong Kong's Currency Board Reforms On Its Interbank Market, Yiu Kuen Tse, Paul S. L. Yip
The Impacts Of Hong Kong's Currency Board Reforms On Its Interbank Market, Yiu Kuen Tse, Paul S. L. Yip
Research Collection School Of Economics
Among the economies with a Currency Board System (CBS), Hong Kong (HK) is probably the one with the largest and most developed financial sector, as well as the highest capital mobility. Hence, studying HK’s CBS is not only crucial to HK, but also important for the understanding of the modern CBS. This paper outlines the major monetary reforms in HK since the late 1980s. The impacts of these reforms and the 1997–1998 Asian Financial Crisis are then examined empirically. We focus on the differentials between the US and HK interbank interest rates. We assume the conditional-mean equation follows an autoregressive …
Performance Of High And Low Book-To-Market Stocks With Strong Financial Signals: Evidence In Asia Markets 1991-2002, Choong Seok Joseph Kang, Kuan Yong David Ding
Performance Of High And Low Book-To-Market Stocks With Strong Financial Signals: Evidence In Asia Markets 1991-2002, Choong Seok Joseph Kang, Kuan Yong David Ding
Research Collection Lee Kong Chian School Of Business
Motivated by striking findings in recent US studies on return enhancing role in financial signals, we examine in the context of Asian stock markets if we can improve one- and two-year returns of high and low book-to-market (BTM) portfolios by retaining in the portfolios only the stocks whose current accounting/financial information indicates strong financial performance in the prior year. We find that doing so can substantially improve the future returns of such portfolios in all markets except Malaysia. We also find that a zero-investment winner-loser strategy on high BTM stocks (a strategy of longing the value stocks with strong financial …
A Survey On Physical Delivery Versus Cash Settlement In Futures Contracts, Donald Lien, Yiu Kuen Tse
A Survey On Physical Delivery Versus Cash Settlement In Futures Contracts, Donald Lien, Yiu Kuen Tse
Research Collection School Of Economics
A futures contract may adopt physical delivery or cash settlement to liquidate open positions after the maturity day. While traditionally physical delivery specification is favored, exchanges have recently turned to examine cash settlement possibilities. This paper summarizes current literature on settlement specifications with emphases on market manipulation, cash index construction, and hedging effectiveness comparisons
An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse
An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse
Research Collection School Of Economics
Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …
A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa
A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa
Research Collection School Of Economics
Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. [PUBLICATION ABSTRACT]
Earnings Momentum In International Markets, Dong Hong, Charles M. C. Lee, Bhaskaran Swaminathan
Earnings Momentum In International Markets, Dong Hong, Charles M. C. Lee, Bhaskaran Swaminathan
Research Collection Lee Kong Chian School Of Business
This paper examines the profitability of earnings momentum strategies based on analyst forecast revisions in eleven international equity markets. While analyst forecast revisions exhibit persistence in all countries, the profitability of trading strategies based on these revisions varies. Specifically, earnings momentum yields significant profits in Australia, Canada, France, Germany, Hong Kong, and the United Kingdom, but not in Malaysia, South Korea, Japan, Singapore, or Taiwan. Interestingly, price momentum exists only in those countries where earnings momentum is profitable. In general, markets with high levels of corruption (low investor protection) exhibit weak momentum. Collectively, these findings suggest that the momentum phenomenon …
Market Structure And Performance: An Anti-Trust Story Of Endogenous Growth, Hing-Man Leung
Market Structure And Performance: An Anti-Trust Story Of Endogenous Growth, Hing-Man Leung
Research Collection School Of Economics
Since Schumpeter, a major concern has been: what monopoly does to growth? Monopoly’s static, allocative inefficiency is well established. How much this is offset by its dynamic progressiveness is unclear. First, using the empirical literature, we argue that the presumed progressiveness of monopoly must be rejected. Second, we extend the endogenous growth model to obtain a full Pareto ranking of competition, monopoly, Cournot and Bertrand. Competition beats Cournot, which in turn beats monopoly. Growth rate is invariant with structures, which accords well with empirical evidence. Bertrand happens to share the ranking with competition. The findings have a strong anti-trust overtone.
External Debt And Worsening Business Cycles In Less Developed Countries, Hing-Man Leung
External Debt And Worsening Business Cycles In Less Developed Countries, Hing-Man Leung
Research Collection School Of Economics
Less developed countries (LDCs) have seen considerable business cycles in recent decades. At the same time they have significantly increased their external-debt-to-GDP ratios. It seems natural to suspect that increased indebtedness and the amplified cycles are linked. The paper presents a simple macroeconomic model to formalize this connection. External debt is the novelty of this model. The paper's main contribution is to calibrate the dynamic parameter using the World Development Indicator. It is found that the LDC dynamic behavior is generally non-oscillatory. Alarmingly though, the dynamic convergent system in the 1970s has been replaced by one of divergence.
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Research Collection School Of Economics
This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of the futures price in information transmission increases. Furthermore, the asymmetry in volatility spillover reduces and the open interests of the futures market become smaller. These results suggest that the anonymity in trading and the higher speed of order execution in the electronic trading system attract informed traders to the futures market and …