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Articles 181 - 210 of 221
Full-Text Articles in Finance
Bank Lending And Real Estate In Asia: Market Optimism And Asset Bubbles, Winston T. H. Koh, Roberto S. Mariano, Andrey Pavlov, Sock-Yong Phang, Augustine H. H. Tan, Susan M. Wachter
Bank Lending And Real Estate In Asia: Market Optimism And Asset Bubbles, Winston T. H. Koh, Roberto S. Mariano, Andrey Pavlov, Sock-Yong Phang, Augustine H. H. Tan, Susan M. Wachter
Research Collection School Of Economics
This paper investigates the Asian real estate price run-up and collapse in the 1990s. We identify financial intermediaries’ underpricing of the put option imbedded in non-recourse mortgage loans as a potential cause for the observed price behavior. This underpricing is due to behavioral causes (lender optimism and disaster myopia) and/or rational response of lenders to market incentives (agency conflicts, deposit insurance, or limited liability of bank shareholders). The empirical evidence suggests that underpricing occurred in Thailand, Malaysia, and Indonesia. Consequently, these countries experienced a more severe market crash than Hong Kong and Singapore, where underpricing was kept under control by …
The Micro-Foundations Of Intertemporal Price Discrimination, Winston T. H. Koh
The Micro-Foundations Of Intertemporal Price Discrimination, Winston T. H. Koh
Research Collection School Of Economics
This paper investigates the optimality of intertemporal price discrimination for a durable-good monopoly in a model where infinitely-lived households face an intertemporal budget constraint, and consume both durable goods and non-durable goods. We prove that the optimal price of the durable good is not constant, and may decrease or increase over time. Some households may choose to purchase the durable good at a later date, and pay lower or higher prices, since the gain in discounted utility of consuming more of the non-durable good more than compensates for the loss in utility from delaying the consumption of the durable good.
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
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
The Structuralist Perspective On Real Exchange Rate, Share Price Level And Employment Path: What Role Is Left For Money?, Edmund S. Phelps, Hian Teck Hoon, Gylfi Zoega
The Structuralist Perspective On Real Exchange Rate, Share Price Level And Employment Path: What Role Is Left For Money?, Edmund S. Phelps, Hian Teck Hoon, Gylfi Zoega
Research Collection School Of Economics
No abstract provided.
Investing In Real Estate: Mortgage Financing Practices And Optimal Holding Period, Winston T. H. Koh, Edward H. K. Ng
Investing In Real Estate: Mortgage Financing Practices And Optimal Holding Period, Winston T. H. Koh, Edward H. K. Ng
Research Collection School Of Economics
Real estate investments are typically characterized by high degrees of leverage and long-loan tenures. In perfect capital markets, leverage has no impact on the investment decision apart from tax considerations. However, the mortgage financing market is imperfect in many countries. In the presence of market imperfections, an optimal holding period exists for real property investments. We provide a simple rule to calculate the optimal holding period to compare the required rate of return with the leveraged rate of return on equity.
A Var Analysis Of Singapore's Monetary Transmission Mechanism, Hwee Kwan Chow
A Var Analysis Of Singapore's Monetary Transmission Mechanism, Hwee Kwan Chow
Research Collection School Of Economics
The Singapore economy has experienced greater business cycle fluctuations in recent years, being subject to recurrent shocks from the external environment. Given the extreme openness of the economy—Singapore’s export share of GDP is approximately 180%—it is not surprising that the main cause of the increase in economic volatility is a rise in the frequency and magnitude of exogenous shocks. These include the downswing in the global electronics industry in 1996–97, the Asian financial crisis in 1997–98, the burst of the information technology bubble in 2001, and the outbreak of the SARS respiratory disease in 2003. Such a close sequence of …
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
We study here the effects of future tax and budgetary shocks on present levels of economic activity and real interest rates in a nonmonetary and possibly non-Ricardian economy. The paper first takes up an (unanticipated) temporary tax cut to be effective on a given future date—a delayed debt bomb. The sudden prospect of this future-dated shock causes at once a drop in the (unit) value placed on the firms’ business asset, the customer, and accordingly on the price of shares—with the result that the hourly wage, hours worked and GDP drop in tandem. This paradox of reduced activity through announcement …
The Empirical Relationship Between Exchange Rates And Interest Rates In Post-Crisis Asia, Hwee Kwan Chow, Yoonbai Kim
The Empirical Relationship Between Exchange Rates And Interest Rates In Post-Crisis Asia, Hwee Kwan Chow, Yoonbai Kim
Research Collection School Of Economics
In post-crisis Asia, all crisis-hit countries (except Malaysia) announced a shift from exchange rate based monetary policy framework to the explicit adoption of inflation targeting that uses interest rates as the key monetary policy operating instrument. In this study, we examine the empirical relationship between exchange rates and interest rates, and investigate how the dynamics between them have changed following the crisis. This is carried out by constructing a bivariate VAR-GARCH model for each of the four Asian crisis countries, namely Indonesia, Korea, Philippines and Thailand. The findings suggest these countries do not use interest rate policy more actively to …
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
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 …
The Structuralist Perspective On Real Exchange Rate, Share Price Level And Employment Path: What Room Is Left For Money?, Edmund S. Phelps, Hian Teck Hoon, Gylfi Zoega
The Structuralist Perspective On Real Exchange Rate, Share Price Level And Employment Path: What Room Is Left For Money?, Edmund S. Phelps, Hian Teck Hoon, Gylfi Zoega
Research Collection School Of Economics
The current sluggish performance of the US economy follows one of the more remarkable booms in modern history. The late 1990s was a period of simultaneous output and productivity growth,1 low unemployment and stable inflation, culminating in an unemployment rate of only 3.9% in the fourth quarter of the year 2000. The absence of rising inflation during this period came as a surprise to many since the level of the natural rate of unemployment was commonly estimated to be in the range of 5-6% by the mid 1990s. The non-inflationary boom, however, reminds one of another episode where non-monetary forces …
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 …
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]
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 …
Venture Capital And Economic Growth: An Industry Overview And Singapore's Experience, Francis Koh, Winston T. H. Koh
Venture Capital And Economic Growth: An Industry Overview And Singapore's Experience, Francis Koh, Winston T. H. Koh
Research Collection School Of Economics
This paper provides an overview of the venture capital industry, and its development in Asia and Singapore. Venture capital plays an important role in innovation and economic growth. Indeed, the resurgence of the United States as a technology leader is intimately linked to the success of Silicon Valley. As Singapore enters the next phase of economic development, the creation of internal engines of growth is an urgent task. The Singapore government has done much to provide an environment for entrepreneurship to thrive. Its success at replicating the Silicon Valley culture will be important for Singapore’s future economic success.
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
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 …
Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip
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 …
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
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 …
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 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.
A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang
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 …
Forecasting Volatility In The New Zealand Stock Market, Jun Yu
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 …
Asset Prices, The Real Exchange Rate, And Unemployment In A Small Open Economy: A Medium-Run Structuralist Perspective, Hian Teck Hoon, Edmund S. Phelps
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.
The Integration Of The East And South-East Asian Equity Markets, K. B. Tan, Yiu Kuen Tse
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 …
Gaussian Estimation Of Continuous Time Models Of The Short Term Interest Rate, Jun Yu, Peter C. B. Phillips
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.
Forecasting Volatility: Evidence From The German Stock Market, Hagen H. W. Bluhm, Jun Yu
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 …
The Asian Economic Crisis: The Way Ahead For Singapore, Augustine H. H. Tan
The Asian Economic Crisis: The Way Ahead For Singapore, Augustine H. H. Tan
Research Collection School Of Economics
No abstract provided.
An Empirical Investigation Into Long- And Short-Term Indebtedness, Hing-Man Leung
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, …