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Articles 391 - 414 of 414

Full-Text Articles in Social and Behavioral Sciences

Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Yu Gao, Yiu Kuen Tse Oct 2002

Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Yu Gao, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: IAS and PRC GAAP. The earnings announcements based on IAS and PRC GAAP are value relevant. The investors in the B-share market react to both the IAS and PRC GAAP earnings announcements, while the investors in the A-share market pay more attention to the PRC GAAP earnings reports. In the B-share market, positive abnormal …

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Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip Jul 2002

Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip

Research Collection School Of Economics

In this paper we consider the implications of the two different exchange-rate systems in Hong Kong (HK) and Singapore (SP) on the economic performance of these two economies. While HK has a pegged exchange-rate regime under a currency board system (CBS), SP has a managed-float system with monitoring band. We examine whether the managed-float system of SP provides an advantage over the rigid CBS of HK in mitigating the recession caused by the Asian Financial Crisis (AFC), and the implications of the differences in the exchange-rate systems on interest-rate behaviour. Our empirical results show that the monitoring band system in …

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Markov Chains In Predictive Models Of Currency Crises - With Applications To Southeast Asia, Roberto S. Mariano, Abdul G. Abiad, Gultekin Bulent, Tayyeb Shabbir, Augustine H. H. Tan May 2002

Markov Chains In Predictive Models Of Currency Crises - With Applications To Southeast Asia, Roberto S. Mariano, Abdul G. Abiad, Gultekin Bulent, Tayyeb Shabbir, Augustine H. H. Tan

Research Collection School Of Economics

The decade of the 1990s was marked by an unusual number of financial and economic crises such as the attack on the European Monetary System in 1992-93, the Mexican peso crisis in 1994-95, the Asian crisis in 1997, the Russian default in 1998 and its spillover to Latin America. The Turkish currency and banking crisis in 2001 and the recent difficulties in Argentina indicate that financial crises are still part of the current economic events. In the wake of such developments, there has been a resurgence of interest in early warning systems that can anticipate the likely occurrence of such …

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Investing In Hedge Funds: Risks, Returns And Pitfalls, Dong Hong, David Kuo Chuen Lee, Kok Fai Phoon May 2002

Investing In Hedge Funds: Risks, Returns And Pitfalls, Dong Hong, David Kuo Chuen Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. Given that that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns …

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A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang Apr 2002

A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang

Research Collection School Of Economics

This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model, and has an advantage in the ease with which different specifications on stochastic volatility can be tested. In addition, the functional form of transformation which induces marginal normality of volatility is obtained as a byproduct of this general way of modeling stochastic volatility. The efficient method of moments approach is used …

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A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa Apr 2002

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 indicator such as real GPD. 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.

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Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps Jan 2002

Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps

Research Collection School Of Economics

No abstract provided.

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Forecasting Volatility In The New Zealand Stock Market, Jun Yu Jan 2002

Forecasting Volatility In The New Zealand Stock Market, Jun Yu

Research Collection School Of Economics

This study evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are the following: (1) the stochastic volatility model provides the best performance among all the candidates; (2) ARCH-type models can perform well or badly depending on the form chosen: the performance of the GARCH(3,2) model, the best model within the ARCH …

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The Integration Of The East And South-East Asian Equity Markets, K. B. Tan, Yiu Kuen Tse Sep 2001

The Integration Of The East And South-East Asian Equity Markets, K. B. Tan, Yiu Kuen Tse

Research Collection School Of Economics

This study examines how the degree of capital-market integration of the East and South-East Asian (ESEA) economies varied over the period 1988–2000 following the deregulation of these markets. The deregulation process varied across the countries both in terms of intensity and timing. A greater degree of co-movements in stock prices is a reflection of greater stock-market integration. We employ Geweke’s (1982) measure of feedback for different pairs of markets. For each pair of markets, the Geweke measure shows how co-movements in daily returns of stock prices varied over time. This is followed by the vector autoregression (VAR) analysis to examine …

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Gaussian Estimation Of Continuous Time Models Of The Short Term Interest Rate, Jun Yu, Peter C. B. Phillips Jul 2001

Gaussian Estimation Of Continuous Time Models Of The Short Term Interest Rate, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given.

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Forecasting Volatility: Evidence From The German Stock Market, Hagen H. W. Bluhm, Jun Yu Feb 2001

Forecasting Volatility: Evidence From The German Stock Market, Hagen H. W. Bluhm, Jun Yu

Research Collection School Of Economics

In this paper we compare two basic approaches to forecast volatility in the German stock market. The first approach uses various univariate time series techniques while the second approach makes use of volatility implied in option prices. The time series models include the historical mean model, the exponentially weighted moving average (EWMA) model, four ARCH-type models and a stochastic volatility (SV) model. Based on the utilization of volatility forecasts in option pricing and Value-at-Risk (VaR), various forecast horizons and forecast error measurements are used to assess the ability of volatility forecasts. We show that the mode lrankings are sensitive to …

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The Asian Economic Crisis: The Way Ahead For Singapore, Augustine H. H. Tan Jan 2001

The Asian Economic Crisis: The Way Ahead For Singapore, Augustine H. H. Tan

Research Collection School Of Economics

No abstract provided.

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An Empirical Investigation Into Long- And Short-Term Indebtedness, Hing-Man Leung Jan 2001

An Empirical Investigation Into Long- And Short-Term Indebtedness, Hing-Man Leung

Research Collection School Of Economics

The external debt position of a country often lies at the heart of her financial crisis. While it is well-known that indebtedness and in particular a surge in short-term debts often precipitate a debt crisis that is often made worse by runs on a country’s foreign exchange, the reasons why a country takes a particular debt position is rarely formally explained. This paper investigates the long-term determinants of international indebtedness, the time-rates of change of indebtedness, and a nation’s short- to long term debt ratio. The data set used is the World Data CD-ROM. Six potential explanatory variables are: size, …

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Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu Dec 2000

Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu

Research Collection School Of Economics

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian inference using Gibbs sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. However, due to the single move …

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An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse Jan 2000

An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse

Research Collection School Of Economics

The Singapore government’s recent strategic plan to develop the financial sector has placed much emphasis on the fund management industry. In this paper we examine the unit trust performance in Singapore in the 90s. Our results show that fund managers in general performed poorly in security analysis and market timing. However, they performed fairly well in risk-adjusted returns and generally maintained well-diversified portfolios. We find that there is little consistency in the performance ranking of the evaluated portfolios, although there is evidence of repeat performance of some top funds. Our analysis also shows that fund managers could indeed make excess …

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Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay Nov 1999

Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay

Research Collection School Of Economics

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast calibration can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. © …

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Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay Nov 1998

Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay

Research Collection School Of Economics

We propose methods for evaluating density forecasts. We focus primarily on methods that are applicable regardless of the particular user’s loss function. We illustrate the methods with a detailed simulation example, and then we present an application to density forecasting of daily stock market returns. We discuss extensions for improving suboptimal density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.

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The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse Jan 1998

The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse

Research Collection School Of Economics

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our analysis of the response coefficients of the past shocks and the application of the models to the estimation of the capital requirements for trading the currencies show that there are no substantial …

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Breaking Trends And The Money-Output Correlation, David Fernandez Nov 1997

Breaking Trends And The Money-Output Correlation, David Fernandez

Research Collection Lee Kong Chian School Of Business

This paper examines the impact on the money-output correlation of a univariate specification that allows time series to be characterized as stationary around a broken trend function. Though pretesting suggests that U.S. real output (industrial production) can be described as broken-trend stationary, this result has only limited impact on the money-output correlation. Before 1985 there is a strong Granger causal relationship between money and broken-detrended output (hut not first-differenced output), even when different short-term interest rates are used as regressors. However, after 1985 this relationship weakens significantly, whether or not one determines that output has a unit root.

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A Model Of The Link Between The Fiscal System And Singapore's Central Provident Fund In General Equilibrium, Hian Teck Hoon, Kai Lin Teo Oct 1992

A Model Of The Link Between The Fiscal System And Singapore's Central Provident Fund In General Equilibrium, Hian Teck Hoon, Kai Lin Teo

Research Collection School Of Economics

This paper demonstrates a channel through which the fiscal system interacts with the choice of CPF contribution rates to affect total savings, and hence, capital accumulation and the current account. It is shown that in the presence of a wage income tax, raising either the employee's or employer's contribution rates raises the total private earnings. On the other hand, in the presence of a capital income tax, raising the employee's or employer's contribution rates lowers total private savings. However, when we introduce a productive role for government spending, we show that an increase in CPF contribution rates under a balances …

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Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse Apr 1991

Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH-M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.

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The Effects Of A Cpf Cut: A Note, Hian Teck Hoon Oct 1987

The Effects Of A Cpf Cut: A Note, Hian Teck Hoon

Research Collection School Of Economics

No abstract provided.

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Liquidity, Speculation, And The Demand For Money, Bryce Hool Aug 1979

Liquidity, Speculation, And The Demand For Money, Bryce Hool

Research Collection School Of Economics

No abstract provided.

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Money, Expectations And The Existence Of A Temporary Equilibrium, Bryce Hool Oct 1976

Money, Expectations And The Existence Of A Temporary Equilibrium, Bryce Hool

Research Collection School Of Economics

The article presents information on money, expectations and the existance of a temporary equilibrium. If money and financial assets are to be integrated into general equilibrium theory, it is apparent that the classical Arrow-Debreu framework must be modified. As long as all trading takes place essentially at some initial point in time, with each individual subject only to a present value budget constraint, there is no place in the system for money, either as a medium of exchange or as a store of value, even if uncertainty about future states of the world is introduced as in G. Debreu's work, …

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