Wing Keung Wong - Academia.edu (original) (raw)

Papers by Wing Keung Wong

Sustainability, 2021

The purpose of the study is to examine the sustainability of the tax aggressiveness of shared dir... more The purpose of the study is to examine the sustainability of the tax aggressiveness of shared directors from coercive isomorphism and whether social networks of directors have an impact on their tax aggressiveness. Specifically, the study intends to examine how tax knowledge diffuses across firms and how this knowledge diffusion affects connected firms. To test the constructed hypothesis, the panel logistic regression model is estimated using a firm-level panel dataset for the US and Pakistan to analyze cross-country differences, as the USA holds more legislation and effective governance mechanisms. The study covers the period of 2007–2019. The data required for the empirical analysis was collected from the Thompson Reuters database. The results of panel logistic regression show a significant relationship between tax aggressiveness and director’s connections, suggesting that information diffuses by board interlocks. Specifically, the estimates suggest that there is a positive and si...

Journal of Risk and Financial Management, 2021

The purpose of this study is to investigate the impact of funding liquidity risk on the banks’ ri... more The purpose of this study is to investigate the impact of funding liquidity risk on the banks’ risk-taking behavior. To test the hypotheses, we apply the two-step system GMM technique on US commercial banks data from 2002 to 2018. We find that funding liquidity increases the banks’ risk-taking of US commercial banks. Furthermore, banks with higher deposits are less likely to face a funding shortage, and bank managers’ aggressive risk-taking activity is less likely to be monitored. Our findings infer that increases in bank funding liquidity increase both risk-weighted assets and liquidity creation, and deposit insurance creates a moral risk issue for banks taking excessive risks in response to deposit rises. The relationship between funding liquidity and the banks’ risk-taking varies with their capitalization and market conditions; the impact of funding liquidity on risk-taking is pronounced for well-capitalized banks and the Global Financial Crisis 2007. Our tests are robust for the...

Energies, 2022

The current study employs a Granger causality test within a Quantile approach investigating CO2 e... more The current study employs a Granger causality test within a Quantile approach investigating CO2 emission determinants in China. Results show urbanization, financial development and openness to trade are leading determinants of CO2 emissions in China. These results highlight climate change issues while taking advantage of a new methodology to fill a gap in the current literature. Our findings show key implications for PRC government policy related to pollutant reduction policy.

Journal of Risk and Financial Management, 2021

This research intends to explore the relationship between capital buffer, nominator effect, denom... more This research intends to explore the relationship between capital buffer, nominator effect, denominator effect, and economic growth for large insured commercial banks of the USA. The study applied a two-step system Generalized Method of Moment (GMM) framework by taking the unique and comprehensive dataset over the period extending from 2002 to 2018. The research found a countercyclical relationship between a capital buffer and economic growth. In the case of well-capitalized banks, this relationship is more critical than adequately capitalized banks. In the case of low-liquid banks, counter-cyclicality is more significant than high-liquid banks. The results also suggest the pro-cyclical relationship between nominator, denominator, and economic growth. The results remain consistent and robust with the use of the tier-one capital buffer ratio. The findings have implications for regulators to incorporate the counter-cyclicality between the capital buffer and economic growth, while form...

Energies, 2020

This study investigates the influence of oil prices on tourism income in countries that heavily r... more This study investigates the influence of oil prices on tourism income in countries that heavily relied on crude oil exports from 2000 to 2017. We found that oil prices and tourism receipts are cointegrated, revealing the existence of their long-run equilibrium relationship. Another significant finding to emerge from this study is the presence of a unidirectional Granger causality that runs from the oil prices to the tourism receipts. The results of the current study are of particular importance for policymakers who operate in oil-exporting countries. The implications provide a systematic understanding of the effect of oil price fluctuations on tourism income which can benefit investors greatly by enabling them to hedge against oil price fluctuations and plan for their tourism business and policymakers by enabling them to set policies to stabilize oil price fluctuations and plan for tourism development, correspondingly.

Emerging Markets Review, 2020

We investigate growth determinants for Mongolia as a small emerging economy considering China as ... more We investigate growth determinants for Mongolia as a small emerging economy considering China as its large neighbor. Our causality analysis during January 1992 to August 2017 reveals significant linear and nonlinear relationships in growth explanation. China's GDP and coal prices, together with some of their linear and nonlinear lagged components, predict Mongolia's GDP, where a one percent increase in China's GDP relates to an increase in Mongolia of 1.5 percent. Current exchange rates and the nonlinear components of lagged levels of consumer prices also explain growth. Our results underline the role of macroeconomic drivers of growth in emerging economies.

SSRN Electronic Journal, 2019

Statistics have been widely used in many disciplines including science, social science, business,... more Statistics have been widely used in many disciplines including science, social science, business, engineering, and many others. One of the most important areas in statistics is to study the properties of distribution functions. To bridge the gap in the literature, this paper presents the theory of some important distribution functions and their moment generating functions. We introduce two approaches to derive the expectations and variances for all the distribution functions being studied in our paper and discuss the advantages and disadvantages of each approach in our paper. In addition, we display the diagrams of the probability mass function, probability density function, and cumulative distribution function for each distribution function being investigated in this paper. Furthermore, we review the applications of the theory discussed and developed in this paper to decision sciences.

Risk Management, 2019

Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popu... more Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F-T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F-T ratios with any nonnegative values p and q with respect to first-order stochastic dominance. Second-order stochastic dominance does not lead to F-T ratios with any nonnegative values p and q, but can lead to F-T dominance with any p < 1 and q ≥ 1. Furthermore, higher-order stochastic dominance (n ≥ 3) leads to F-T dominance with any p < 1 and q ≥ n − 1. We also find that when the variables being compared belong to the same location-scale family or the same linear combination of location-scale families, we can get the necessary relationship between the stochastic dominance with the F-T ratio after imposing some conditions on the means. Our findings enable academics and practitioners to draw better decision in their analysis.

Risk Management, 2018

This paper extends Jiang, et al. (2010), Guo, et al. (2018), and others by investigating the impa... more This paper extends Jiang, et al. (2010), Guo, et al. (2018), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR, and mean-variance framework, and analyzes the characterization of the mean-variance, mean-VaR, and mean-CVaR boundaries and efficient frontiers in the presence of background risk. We derive the conditions that the portfolios lie on the meanvariance, mean-VaR, and mean-CVaR boundaries with and without background risk. We show that the MV, VaR, and CVaR boundary depends on the covariance vector between the returns of the risky assets and that of the background asset and also the variance of the return of the background asset. We develop properties on MV, mean-VaR, and mean-CVaR efficient frontiers. In addition, we establish some new properties for the case with a risk-free security, extend our work to the non-normality situation, and examine the economic implication of the mean-VaR/CVaR model.

Sustainability, 2018

Supply chain finance has broken through traditional credit modes and advanced rapidly as a creati... more Supply chain finance has broken through traditional credit modes and advanced rapidly as a creative financial business discipline. Core enterprises have played a critical role in the credit enhancement of supply chain finance. Through the analysis of core enterprise credit risks in supply chain finance, by means of a ‘fuzzy analytical hierarchy process’ (FAHP), the paper constructs a supply chain financial credit risk evaluation system, making quantitative measurements and evaluation of core enterprise credit risk. This enables enterprises to take measures to control credit risk, thereby promoting the healthy development of supply chain finance. The examination of core enterprise supply chains suggests that a unified information file should be collected based on the core enterprise, including the operating conditions, asset status, industry status, credit record, effective information to the database, collecting related data upstream and downstream of the archives around the core en...

Journal of Applied Mathematics and Decision Sciences, 2006

Meyer (1987) extended the theory of mean-variance criterion to include the comparison among distr... more Meyer (1987) extended the theory of mean-variance criterion to include the comparison among distributions that differ only by location and scale parameters and to include general utility functions with only convexity or concavity restrictions. In this paper, we make some comments on Meyer's paper and extend the results from Tobin (1958) that the indifference curve is convex upwards for risk averters, concave downwards for risk lovers, and horizontal for risk neutral investors to include the general conditions stated by Meyer (1987). We also provide an alternative proof for the theorem. Levy (1989) extended Meyer's results by introducing some inequality relationships between the stochastic-dominance and the mean-variance efficient sets. In this paper, we comment on Levy's findings and show that these relationships do not hold in certain situations. We further develop some properties among the first- and second-degree stochastic dominance efficient sets and the mean-varian...

Journal of Applied Mathematics and Decision Sciences, 2000

Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coeffic... more Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution. In this paper, we introduce the robust Bayesian estimator to the estimation of the Capital Asset Pricing Model (CAPM) in which the distribution of the error component is well-known to be flat-tailed. To support our proposal, we apply both the robust Bayesian estimator and the least squares estimator in the simulation of the CAPM and in the analysis of the CAPM for US annual and monthly stock returns. Our simulation results show that the Bayesian estimator is robust and superior to the least squares estimator when the CAPM is contaminated by large normal and/or non-normal disturbances, especially by Cauchy disturbances. In our empirical study, we find that the robust Bayesian estim...

SSRN Electronic Journal, 2006

Utilizing multivariate GARCH framework, this study finds that generally the US Information Techno... more Utilizing multivariate GARCH framework, this study finds that generally the US Information Technology (IT) market contributes a strong volatility rather than mean spillover effect to non-US IT markets, implying that the US IT market plays a dominant role in affecting the volatility of world IT markets. However, our further analysis of the dynamic path of correlation coefficients reveals that the strong relationship between US and non-US IT markets had weakened after the burst of the IT bubble.

We develop some properties on the autocorrelation of the k-period returns for the general mean re... more We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(1) process but takes the form of a general ARMA process. We then derive some properties of the GMR process and three new nonparametric tests comparing the relative variability of returns over different horizons to validate the GMR process as an alternative to random walk. We further examine the asymptotic properties of these tests which can then be applied to identify random walk models from the GMR processes.

The European Journal of Finance, 2007

Country indices as represented by iShares exhibit non-normal return distributions with both skewn... more Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio, respectively. This study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.

The Singapore Economic Review, 2006

This paper examines the long-term as well as short-term equilibrium relationships between the maj... more This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger causality. The cointegration results based on data covering the period January 1982 to December 2002 suggest that Singapore's stock prices generally display a long-run equilibrium relationship with interest rate and money supply (M1) but a similar relationship does not hold for the United States. To capture the short-run dynamics of the relationship, we replicate the same experiments with different subsets of data representing shorter time periods. It is evident that stock markets in Singapore moved in tandem with interest rate and money supply before the Asian Crisis of 1997, but this pattern...

Pacific-Basin Finance Journal, 2008

Choice under certainty p. Basic probability background p. Probability measures and distributions ... more Choice under certainty p. Basic probability background p. Probability measures and distributions p. Integration p. Notes on topological spaces p. Choice under uncertainty p. Utilities and risk attitudes p. Qualitative representations of risk attitudes p. Notes on convex functions p. Jensen's inequality p. Exercises p. Foundations of Stochastic Dominance p. Some preliminary mathematics p. Approximation of utility functions p. A fundamental lemma p. Deriving representations of preferences p. Representation for risk neutral individuals p. Representation for risk averse individuals p. Representation for risk seeking individuals p.

Journal of Multinational Financial Management, 2008

This paper analyzes the lead-lag relation among five Chinese segmented stock markets before and a... more This paper analyzes the lead-lag relation among five Chinese segmented stock markets before and after Chinese government relaxed the restriction on the purchase of B shares by domestic investors. In contrast to the weak lead-lag relation among Aand B-share markets disclosed by its linear counterpart, nonlinear Granger causality test provides evidence of strong bidirectional nonlinear causal relations between two A-share markets as well as between two Bshare markets. We find that since the implementation of this new policy, A-share markets tend to lead their B-share counterparts in the same stock exchange, while the nonlinear causal effect from H share market to two B-share markets disappears.

Journal of International Financial Markets, Institutions and Money, 2008

This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among... more This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the Bshare and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.

Journal of Economic Integration, 2009

In the aftermath of the Asian financial crisis, a series of reform and liberalization measures ha... more In the aftermath of the Asian financial crisis, a series of reform and liberalization measures have been implemented in Singapore to upgrade its financial markets. This study investigates whether these measures have led to less profitability for those investors who employ technical rules for trading stocks. Our results show that the three trading rules consistently generate higher annual returns for 1988-1996 than those for 1999-2007. Further, they generally perform better than the buy-and-hold (BH) strategy for 1988-1996 but perform no better than the BH strategy for 1999-2007. These findings suggest that the efficiency of the Singapore stock market has been considerably enhanced by the measures implemented after the crisis.

Sustainability, 2021

The purpose of the study is to examine the sustainability of the tax aggressiveness of shared dir... more The purpose of the study is to examine the sustainability of the tax aggressiveness of shared directors from coercive isomorphism and whether social networks of directors have an impact on their tax aggressiveness. Specifically, the study intends to examine how tax knowledge diffuses across firms and how this knowledge diffusion affects connected firms. To test the constructed hypothesis, the panel logistic regression model is estimated using a firm-level panel dataset for the US and Pakistan to analyze cross-country differences, as the USA holds more legislation and effective governance mechanisms. The study covers the period of 2007–2019. The data required for the empirical analysis was collected from the Thompson Reuters database. The results of panel logistic regression show a significant relationship between tax aggressiveness and director’s connections, suggesting that information diffuses by board interlocks. Specifically, the estimates suggest that there is a positive and si...

Journal of Risk and Financial Management, 2021

The purpose of this study is to investigate the impact of funding liquidity risk on the banks’ ri... more The purpose of this study is to investigate the impact of funding liquidity risk on the banks’ risk-taking behavior. To test the hypotheses, we apply the two-step system GMM technique on US commercial banks data from 2002 to 2018. We find that funding liquidity increases the banks’ risk-taking of US commercial banks. Furthermore, banks with higher deposits are less likely to face a funding shortage, and bank managers’ aggressive risk-taking activity is less likely to be monitored. Our findings infer that increases in bank funding liquidity increase both risk-weighted assets and liquidity creation, and deposit insurance creates a moral risk issue for banks taking excessive risks in response to deposit rises. The relationship between funding liquidity and the banks’ risk-taking varies with their capitalization and market conditions; the impact of funding liquidity on risk-taking is pronounced for well-capitalized banks and the Global Financial Crisis 2007. Our tests are robust for the...

Energies, 2022

The current study employs a Granger causality test within a Quantile approach investigating CO2 e... more The current study employs a Granger causality test within a Quantile approach investigating CO2 emission determinants in China. Results show urbanization, financial development and openness to trade are leading determinants of CO2 emissions in China. These results highlight climate change issues while taking advantage of a new methodology to fill a gap in the current literature. Our findings show key implications for PRC government policy related to pollutant reduction policy.

Journal of Risk and Financial Management, 2021

This research intends to explore the relationship between capital buffer, nominator effect, denom... more This research intends to explore the relationship between capital buffer, nominator effect, denominator effect, and economic growth for large insured commercial banks of the USA. The study applied a two-step system Generalized Method of Moment (GMM) framework by taking the unique and comprehensive dataset over the period extending from 2002 to 2018. The research found a countercyclical relationship between a capital buffer and economic growth. In the case of well-capitalized banks, this relationship is more critical than adequately capitalized banks. In the case of low-liquid banks, counter-cyclicality is more significant than high-liquid banks. The results also suggest the pro-cyclical relationship between nominator, denominator, and economic growth. The results remain consistent and robust with the use of the tier-one capital buffer ratio. The findings have implications for regulators to incorporate the counter-cyclicality between the capital buffer and economic growth, while form...

Energies, 2020

This study investigates the influence of oil prices on tourism income in countries that heavily r... more This study investigates the influence of oil prices on tourism income in countries that heavily relied on crude oil exports from 2000 to 2017. We found that oil prices and tourism receipts are cointegrated, revealing the existence of their long-run equilibrium relationship. Another significant finding to emerge from this study is the presence of a unidirectional Granger causality that runs from the oil prices to the tourism receipts. The results of the current study are of particular importance for policymakers who operate in oil-exporting countries. The implications provide a systematic understanding of the effect of oil price fluctuations on tourism income which can benefit investors greatly by enabling them to hedge against oil price fluctuations and plan for their tourism business and policymakers by enabling them to set policies to stabilize oil price fluctuations and plan for tourism development, correspondingly.

Emerging Markets Review, 2020

We investigate growth determinants for Mongolia as a small emerging economy considering China as ... more We investigate growth determinants for Mongolia as a small emerging economy considering China as its large neighbor. Our causality analysis during January 1992 to August 2017 reveals significant linear and nonlinear relationships in growth explanation. China's GDP and coal prices, together with some of their linear and nonlinear lagged components, predict Mongolia's GDP, where a one percent increase in China's GDP relates to an increase in Mongolia of 1.5 percent. Current exchange rates and the nonlinear components of lagged levels of consumer prices also explain growth. Our results underline the role of macroeconomic drivers of growth in emerging economies.

SSRN Electronic Journal, 2019

Statistics have been widely used in many disciplines including science, social science, business,... more Statistics have been widely used in many disciplines including science, social science, business, engineering, and many others. One of the most important areas in statistics is to study the properties of distribution functions. To bridge the gap in the literature, this paper presents the theory of some important distribution functions and their moment generating functions. We introduce two approaches to derive the expectations and variances for all the distribution functions being studied in our paper and discuss the advantages and disadvantages of each approach in our paper. In addition, we display the diagrams of the probability mass function, probability density function, and cumulative distribution function for each distribution function being investigated in this paper. Furthermore, we review the applications of the theory discussed and developed in this paper to decision sciences.

Risk Management, 2019

Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popu... more Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F-T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F-T ratios with any nonnegative values p and q with respect to first-order stochastic dominance. Second-order stochastic dominance does not lead to F-T ratios with any nonnegative values p and q, but can lead to F-T dominance with any p < 1 and q ≥ 1. Furthermore, higher-order stochastic dominance (n ≥ 3) leads to F-T dominance with any p < 1 and q ≥ n − 1. We also find that when the variables being compared belong to the same location-scale family or the same linear combination of location-scale families, we can get the necessary relationship between the stochastic dominance with the F-T ratio after imposing some conditions on the means. Our findings enable academics and practitioners to draw better decision in their analysis.

Risk Management, 2018

This paper extends Jiang, et al. (2010), Guo, et al. (2018), and others by investigating the impa... more This paper extends Jiang, et al. (2010), Guo, et al. (2018), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR, and mean-variance framework, and analyzes the characterization of the mean-variance, mean-VaR, and mean-CVaR boundaries and efficient frontiers in the presence of background risk. We derive the conditions that the portfolios lie on the meanvariance, mean-VaR, and mean-CVaR boundaries with and without background risk. We show that the MV, VaR, and CVaR boundary depends on the covariance vector between the returns of the risky assets and that of the background asset and also the variance of the return of the background asset. We develop properties on MV, mean-VaR, and mean-CVaR efficient frontiers. In addition, we establish some new properties for the case with a risk-free security, extend our work to the non-normality situation, and examine the economic implication of the mean-VaR/CVaR model.

Sustainability, 2018

Supply chain finance has broken through traditional credit modes and advanced rapidly as a creati... more Supply chain finance has broken through traditional credit modes and advanced rapidly as a creative financial business discipline. Core enterprises have played a critical role in the credit enhancement of supply chain finance. Through the analysis of core enterprise credit risks in supply chain finance, by means of a ‘fuzzy analytical hierarchy process’ (FAHP), the paper constructs a supply chain financial credit risk evaluation system, making quantitative measurements and evaluation of core enterprise credit risk. This enables enterprises to take measures to control credit risk, thereby promoting the healthy development of supply chain finance. The examination of core enterprise supply chains suggests that a unified information file should be collected based on the core enterprise, including the operating conditions, asset status, industry status, credit record, effective information to the database, collecting related data upstream and downstream of the archives around the core en...

Journal of Applied Mathematics and Decision Sciences, 2006

Meyer (1987) extended the theory of mean-variance criterion to include the comparison among distr... more Meyer (1987) extended the theory of mean-variance criterion to include the comparison among distributions that differ only by location and scale parameters and to include general utility functions with only convexity or concavity restrictions. In this paper, we make some comments on Meyer's paper and extend the results from Tobin (1958) that the indifference curve is convex upwards for risk averters, concave downwards for risk lovers, and horizontal for risk neutral investors to include the general conditions stated by Meyer (1987). We also provide an alternative proof for the theorem. Levy (1989) extended Meyer's results by introducing some inequality relationships between the stochastic-dominance and the mean-variance efficient sets. In this paper, we comment on Levy's findings and show that these relationships do not hold in certain situations. We further develop some properties among the first- and second-degree stochastic dominance efficient sets and the mean-varian...

Journal of Applied Mathematics and Decision Sciences, 2000

Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coeffic... more Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution. In this paper, we introduce the robust Bayesian estimator to the estimation of the Capital Asset Pricing Model (CAPM) in which the distribution of the error component is well-known to be flat-tailed. To support our proposal, we apply both the robust Bayesian estimator and the least squares estimator in the simulation of the CAPM and in the analysis of the CAPM for US annual and monthly stock returns. Our simulation results show that the Bayesian estimator is robust and superior to the least squares estimator when the CAPM is contaminated by large normal and/or non-normal disturbances, especially by Cauchy disturbances. In our empirical study, we find that the robust Bayesian estim...

SSRN Electronic Journal, 2006

Utilizing multivariate GARCH framework, this study finds that generally the US Information Techno... more Utilizing multivariate GARCH framework, this study finds that generally the US Information Technology (IT) market contributes a strong volatility rather than mean spillover effect to non-US IT markets, implying that the US IT market plays a dominant role in affecting the volatility of world IT markets. However, our further analysis of the dynamic path of correlation coefficients reveals that the strong relationship between US and non-US IT markets had weakened after the burst of the IT bubble.

We develop some properties on the autocorrelation of the k-period returns for the general mean re... more We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(1) process but takes the form of a general ARMA process. We then derive some properties of the GMR process and three new nonparametric tests comparing the relative variability of returns over different horizons to validate the GMR process as an alternative to random walk. We further examine the asymptotic properties of these tests which can then be applied to identify random walk models from the GMR processes.

The European Journal of Finance, 2007

Country indices as represented by iShares exhibit non-normal return distributions with both skewn... more Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio, respectively. This study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares.

The Singapore Economic Review, 2006

This paper examines the long-term as well as short-term equilibrium relationships between the maj... more This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger causality. The cointegration results based on data covering the period January 1982 to December 2002 suggest that Singapore's stock prices generally display a long-run equilibrium relationship with interest rate and money supply (M1) but a similar relationship does not hold for the United States. To capture the short-run dynamics of the relationship, we replicate the same experiments with different subsets of data representing shorter time periods. It is evident that stock markets in Singapore moved in tandem with interest rate and money supply before the Asian Crisis of 1997, but this pattern...

Pacific-Basin Finance Journal, 2008

Choice under certainty p. Basic probability background p. Probability measures and distributions ... more Choice under certainty p. Basic probability background p. Probability measures and distributions p. Integration p. Notes on topological spaces p. Choice under uncertainty p. Utilities and risk attitudes p. Qualitative representations of risk attitudes p. Notes on convex functions p. Jensen's inequality p. Exercises p. Foundations of Stochastic Dominance p. Some preliminary mathematics p. Approximation of utility functions p. A fundamental lemma p. Deriving representations of preferences p. Representation for risk neutral individuals p. Representation for risk averse individuals p. Representation for risk seeking individuals p.

Journal of Multinational Financial Management, 2008

This paper analyzes the lead-lag relation among five Chinese segmented stock markets before and a... more This paper analyzes the lead-lag relation among five Chinese segmented stock markets before and after Chinese government relaxed the restriction on the purchase of B shares by domestic investors. In contrast to the weak lead-lag relation among Aand B-share markets disclosed by its linear counterpart, nonlinear Granger causality test provides evidence of strong bidirectional nonlinear causal relations between two A-share markets as well as between two Bshare markets. We find that since the implementation of this new policy, A-share markets tend to lead their B-share counterparts in the same stock exchange, while the nonlinear causal effect from H share market to two B-share markets disappears.

Journal of International Financial Markets, Institutions and Money, 2008

This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among... more This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the Bshare and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.

Journal of Economic Integration, 2009

In the aftermath of the Asian financial crisis, a series of reform and liberalization measures ha... more In the aftermath of the Asian financial crisis, a series of reform and liberalization measures have been implemented in Singapore to upgrade its financial markets. This study investigates whether these measures have led to less profitability for those investors who employ technical rules for trading stocks. Our results show that the three trading rules consistently generate higher annual returns for 1988-1996 than those for 1999-2007. Further, they generally perform better than the buy-and-hold (BH) strategy for 1988-1996 but perform no better than the BH strategy for 1999-2007. These findings suggest that the efficiency of the Singapore stock market has been considerably enhanced by the measures implemented after the crisis.