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Articles 241 - 270 of 279

Full-Text Articles in Econometrics

Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps Nov 2008

Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps

Research Collection School Of Economics

We study the effects of future tax and budgetary shocks in a non-monetary and possibly non-Ricardian economy. An (unanticipated) temporary labor tax cut to be effective on a given future date—a delayed “debt bomb”—causes at once a drop in the (unit) value placed on the firms' business asset, the customer, with the result that share prices, the hourly wage, and employment drop in tandem. This paradox of reduced activity through announcement of future “stimulus” does not hinge on an upward jump of long interest rates. A future tax-rate cut lacking a “sunset” provision has the same negative effects.

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Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay Jun 2008

Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay

Research Collection School Of Economics

This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the timevarying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.

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Why Brazil Has Not Grown: A Comparative Analysis Of Brazilian, Indian, And Chinese Economic Management, Fernando Ferrari-Filho, Anthony Petros Spanakos Mar 2008

Why Brazil Has Not Grown: A Comparative Analysis Of Brazilian, Indian, And Chinese Economic Management, Fernando Ferrari-Filho, Anthony Petros Spanakos

Department of Political Science and Law Faculty Scholarship and Creative Works

This paper does not aim to dispute that Brazil would benefit from reforms in any or all of these areas. Rather, the paper offers a skeptical perspective on reform menus and proposes an alternative explanation for the faster growth of Brazil’s peers India and China2. The paper begins by introducing (section 1) the idea of the BRICs countries, to establish the basis for comparisons of most similar cases. It then surveys the results of a generation of Washington Consensus era growth (section 2). Although there is a considerable amount of divergence over what causes growth, it seems that something approaching …

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Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow Jan 2008

Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow

Research Collection School Of Economics

No abstract provided.

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Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse Oct 2007

Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

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Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse Jul 2007

Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

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Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay Apr 2007

Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay

Research Collection School Of Economics

We examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. The models allow for conditional heteroskedasticity and time-varying conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.

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Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu Jan 2007

Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu

Research Collection School Of Economics

The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review …

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Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka Jan 2007

Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka

Research Collection School Of Economics

This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.

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Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay Dec 2006

Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay

Research Collection School Of Economics

We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with daily returns using a nonparametric Mixed Data Sampling (MIDAS) setting, and (ii) augmenting the quarterly AR(1) model with the most recent r -day returns as an additional predictor. We find that our mixed frequency models perform well in forecasting real output growth.

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Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu Dec 2006

Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new methodology is proposed to estimate theortical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. The present paper proposes instead a simulation-based method that improves the finite sample performance of the ML estimator while maintaining its good asymptotic properties. The methods are implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond pricing model, but have wider applicability. Monte Carlo …

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Exchange-Rate Systems And Interest-Rate Behaviour: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip Jul 2006

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

Research Collection School Of Economics

The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the domestic–US interest differentials under the two exchange-rate regimes during the Asian Financial Crisis as well as the pre-and post-crisis periods. Using a bivariate generalized autoregressive conditional heteroscedasticity model, we also investigate whether there is any change in the correlation between the domestic and US interest rates due to the Asian Financial Crisis.

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Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy Mar 2006

Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy

Research Collection School Of Economics

This article studies a set of yield curve trading strategies that are based on the view that the yield curve mean reverts to an unconditional curve. These mean-reverting trading strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-reverting strategies were found to have significant positive profits. Furthermore, the profitability of one of these strategies significantly outperforms, on a risk-adjusted basis, alternative strategies of an investment bond or equity index.

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An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse Jan 2006

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 …

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Banking Sector Reforms And Bank Consolidation: Conceptual Framework., Moses Ajayi Jun 2005

Banking Sector Reforms And Bank Consolidation: Conceptual Framework., Moses Ajayi

Bullion

Reforms are predicated upon the need for reorientation and repositioning of an existing status quo in order to attain an effective and efficient state The objective of this paper is, therefore, to present the conceptual framework for banking sector reforms. particularly, consolidation. The paper is divided into five sections. following the introduction, section ll conceptualizes the facets of reforms and conceptual issues on consolidation in the banking sector, while section ll discusses the critical success issues in banking sector consolidation. section IV presents concepts associated with country elements of banking elements of banking reforms, while section five concludes the paper. …

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Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse Jan 2005

Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse

Research Collection School Of Economics

This investigation of the switch from open-outcry trading to electronic trading on the Hang Seng Index (HSI) futures contract reveals that the bid–ask spread narrows and the futures price plays more of a role in information transmission. Factors, such as anonymity in trading and fast order execution in electronic trading, attract informed traders to the futures market, enhancing the information flow. Our results provide support for the worldwide trend of transforming open-outcry markets into electronic trading platforms

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Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka Mar 2004

Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price …

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Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. Gao, Yiu Kuen Tse Jan 2004

Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. 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- and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: International accounting standards (IAS) and PRC generally accepted accounting principles (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 …

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An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse Sep 2003

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 …

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A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa Jul 2003

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]

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Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse Jan 2003

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 …

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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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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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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 Relationship Between Stock Returns And Inflation In Malaysia, Soke Ling Mau Jan 2002

The Relationship Between Stock Returns And Inflation In Malaysia, Soke Ling Mau

Student Works (2000-2009)

This study starts out with an introductory chapter covering the relationship between nominal and real stock returns with inflation in a general view. Economists are still puzzled on the positive and negative relationship between stock returns and inflation as many empirical results suggest varied conclusions. The second chapter is the literature review, which consists of a few well-known authors with their own theories and hypotheses. The core 3 discussion in this chapter refers to the classical view on stock returns and inflation in 1930 and post -Keynesian view on stock returns and inflation from 1970 till 2001. Chapter Three focuses …

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The Impact Of Bond Ratings On Equity Market : Malaysian Experience, P. Raman Ponnusamy Jan 2002

The Impact Of Bond Ratings On Equity Market : Malaysian Experience, P. Raman Ponnusamy

Student Works (2000-2009)

This research will examine the impact of bond ratings on market efficiency and stock returns. The study covered rating announcements from 1996 to 2001. Four types of rating announcements were covered namely initial announcement, reaffirmation, upgrades and downgrades. Each rating is categorized into investment grade and speculative grade. The mean adjusted model was used to determine the abnormal returns. The findings showed insignificant movement in abnormal returns for all type of ratings and also the sub-category of speculative and investment grades. The result also revealed that the market is efficient in semi-strong form as far as Malaysian market is concerned. …

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The Relationship Between Selected Economic Indicators And The Malaysian Stock Index Futures, Irwaan Iskandar Abrahim Jan 2002

The Relationship Between Selected Economic Indicators And The Malaysian Stock Index Futures, Irwaan Iskandar Abrahim

Student Works (2000-2009)

This research examines the relationship between selected economics indicators and Malaysian Stock Index Futures. It also focusses on the relevancy of the Efficient Market Hypothesis (EMH) in a developing derivatives market in South East Asia, namely the Malaysian Stock Index Futures market. The relationship analysis between selected economic indicators and Malaysian Stock Index Futures may give better understanding the degree our derivatives market grasp economics factors in determining market change and movements. In an efficient market, the relevant signal to be used in trading is the futures price. The relative forecasting power of futures price is applied with the various …

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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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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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