We investigate the long‐term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show…
Abstract
We investigate the long‐term dependency behavior of Asian foreign exchange markets by using rescaled range analysis. Emerging markets in Korea, Taiwan, India, and Thailand, show evidences of long memory in the exchange rate return series, while the exchange rate return persistence is not found in more developed and mature markets in Japan, Australia, Hong Kong, and Singapore. Our results suggest that the return‐generating processes and presence of long memory depends on the degree of market development. In addition, the findings suggest that Asian financial crisis affects long‐term dependences of Korean won and Thai baht in which their economies and currency were hard hit by the crisis.
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So‐de Shyu, Yi Jeng, W.H. Ton, Kon‐jung Lee and H.M. Chuang
With the development of the modern portfolio theory and the advancement of information technology, the employment of quantitative approaches to practically measure asset risks and…
Abstract
Purpose
With the development of the modern portfolio theory and the advancement of information technology, the employment of quantitative approaches to practically measure asset risks and returns, and the construction of portfolios (even dynamic portfolios) has become possible and popular. Therefore, the purpose of this paper is to construct a multi‐factor model for Taiwan stock universe using fundamental technical descriptors and then to apply the equity market neutral investing using multiple‐factor models as a tool.
Design/methodology/approach
This study constructs a Taiwan equity multi‐factor model using cross‐sectional fundamental technical approach.
Findings
The model involves 28 explanatory factors (including 20 industry factors), and the results of the estimations are satisfactory. The model's explanatory power is 58.6 per cent on average. Furthermore, this multi‐factor model is feasible, modulized, dynamic (i.e. modified over time) and updating.
Originality/value
The multi‐factor model, constructed and utilized in this study, is a useful and feasible tool. It generates important inputs into the applications of building market neutral portfolio.
Purpose
Taiwan OTC market is an electronic, order driven, call market. The purpose of this paper is to gain understanding of whether trade size or number of transaction provides more information on explaining price volatility and market liquidity in this market. The paper also aims to investigate how market condition can affect the relationship between information type and trading activities.
Design/methodology/approach
The paper uses data from the Taiwan OTC market to run the empirical tests. It divides firms into five size groups based on their market capitalization. Regression equations are run to test: whether number of transactions has a more significant impact on price volatility on the Taiwan OTC market; the impact of market information on number of transactions; the relative impact of firm specific and market information on number of transactions; and the impact of number of transaction of bid‐ask spread.
Findings
Findings show that the larger the number of transactions, the higher the price volatility. Smaller firms on the Taiwan OTC market are traded based on firm‐specific information. This relation is further affected by market trends. Especially for the larger firms, when the market is up and the amount of market information increases, number of transactions increases. When the market is down and the amount of market information increases, number of transactions decreases. Finally, it is found spread size is more likely to be influenced by number of transactions, instead of trade size. Overall, based on these empirical results, the information content of number of transactions seems to be higher than that of trade size in the Taiwan OTC market.
Practical implications
Investors now understand that number of transaction actually carry more information than trade size does.
Originality/value
The relation between market information and number of transaction, also that between market information and trade size is influenced by market condition. The paper fills a gap in the literature to show that market condition has an impact on the relation between information type and trader's behavior. A number of transactions are identified that provide more information than trade size does. It is also shown that market conditions can further affect the impact of information on trading activities.
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Mohammed Ishaq Mohammed and Noralfishah Sulaiman
The year 2020 heralds a landmark in Malaysia’s demographic and economic landscape, as the country is expected to become an ageing country, as well as aspiring of becoming a…
Abstract
Purpose
The year 2020 heralds a landmark in Malaysia’s demographic and economic landscape, as the country is expected to become an ageing country, as well as aspiring of becoming a high-income country. The elderly persons are, however, reported to be vulnerable to the risk of financial insecurity in old age, which if not addressed can affect the country’s effort of accomplishing the Vision 2020 goal of becoming a high-income nation. Therefore, this paper aims to explore the factors that are capable of affecting the development of reverse mortgage market in Malaysia from the perspective of the financial service professionals.
Design/methodology/approach
The study is a qualitative design that involves the use of semi-structured questionnaire as data collection strategy. A total number of nine participants were selected for the interview using critical case sample scheme based on purposive sampling strategy.
Findings
The findings reveal that various economic, socio-demographic, behavioural and political/institutional factors would impose varying degrees of influence on reverse mortgage market in Malaysia.
Originality/value
The study is expected to spur discussion among stakeholders on the practicability of using reverse mortgage as alternative source of old-age financing in Malaysia.