Directional accuracy,forecasting error and the profitability of currency trading: model-based evidence

Three models (the flexible-price monetary model, PPP and a univariate ARIMA model) are estimated for 45 currency pairs to find out if the profitability of forecasting-based currency trading is more related to the ability of the underlying model to predict the direction of change than the magnitude of the forecasting error. Theoretical considerations show that a correct prediction of the direction of change is neither a necessary nor a sufficient condition for a profitable trade. The results of the exercise indicate that profitability is more strongly correlated with directional accuracy than with the magnitude of the error.     

The use of trading strategies by fund managers: some first survey evidence

A questionnaire survey has found that most fund managers rely on the strategies of buy-&-hold, momentum and contrarian trading. These strategies are typically applied mutually. Their use is rooted in the attributes and beliefs of the respective fund managers: buy-&-hold traders are fundamentally oriented, risk averse and are less (over)confident than others. Momentum traders appear as the least risk-averse professionals, going aggressively with the trend. Contrarian traders, however, show signs of overconfidence and peculiar risk aversion, both indicating difficulties in successful strategy implementation. The behavioural patterns revealed are not easily reconciled with efficient markets.     

CAPM anomalies and the pricing of equity: evidence from the Hong Kong market

Using a sample of equity stocks traded on the Hong Kong stock market, this study examines empirically the independent and joint roles of the more commonly hypothesized variables in explaining cross-sectional variation in average returns over the period from January 1980 to December 1994. Evidence indicates that beta, book leverage, earnings-price ratio and dividend yield are not priced, whereas significant book-to-market equity, market leverage (absorbed by book-to-market equity), size, and share price effects are observed. The findings should prove valuable in portfolio management and corporate financial decisions.     

Deregulation, competition and consumer welfare in a banking market: evidence from Hong Kong

This paper examines competition among commercial banks following deregulation in a small open economy. I jointly estimate a system of differentiated product demand and pricing equations, and use conduct parameters to identify market structure. Overall, I find positive outcomes for the banking deregulation, which suggest that the benefits of deregulation understood in large industrialized economies indeed apply to a small open economy. Encouragingly, the industry becomes more competitive and the consumers are better-off after the deregulation. Empirical results also indicate that the banking sector is characterized by non-cooperative competitive behavior. Bank size is an important determinant of consumer’s bank choice.     

Hong Kong: The Fragile Economy of Middlemen

The paper shows that standard trade models can be adapted to address crucial policy issues in our dynamic, imperfect-information world. It also shows that intermediated trade is essential to the modernization of the 1.2 billion-person Chinese economy; yet, notwithstanding sincere intentions in Beijing and Hong Kong, subtle changes may deny Hong Kong its irreplaceable catalyst role, leaving China ultimately to technical stagnation.     

从香港与内地的贸易关系看香港经济的明天

近年来,香港正经历着备受关注的第三次经济结构转型,香港的贸易形态也发生了很大变化,对香港经济产生了重大影响.究竞这次经济转型的前景如何?香港经济的明天路在何方?本文立足于香港与内地的贸易发展与现状,从两地经贸关系近年呈现出的新趋势出发,分析了在香港经济转型过程中与内地经贸关系的新特点,定位了香港未来在亚太经济圈中的功能,并指明了香港经济的发展方向.     

香港中产阶级

在香港,中产阶级长期以来都是采用个人的方法,就是我不要问这个体制是什么样的,我也不问什么是应该不应该的,我只是在既定的条件下努力拿到最好的东西。     

The behaviour of Hong Kong stock prices

The primary function of a stock market is to allocate resources to the most profitable investment opportunities. If stock prices provide accurate signals for resource allocation, firms are able to make correct production–investment decisions, and investors are able to choose the most suitable stocks for investment. These choices are only possible if the market is efficient, that is, if stock prices ‘fully reflect’ all available information.

Hong Kong is now an international financial centre. Although Hong Kong's stock market is ranked as one of the five largest in the world in terms of turnover, little research has been devoted to the behaviour of its stock prices. This is a study of the efficiency of Hong Kong's stock market. It is based upon two widely accepted statistical tests, namely, serial correlation analysis and runs tests. Data used cover the daily prices of 28 major Hong Kong stocks over a period of four years from 1977 to 1980. The evidence is mixed; it does not provide clear support for the efficient market hypothesis.     

Economic Growth and International Trade: The Case of Hong Kong

This paper estimates the major factors of growth of Hong Kong using a fairly new approach, which allows the direct inclusion of the factors of growth in the growth equation to be estimated. The growth factors that are found to be important for Hong Kong are physical capital accumulation, (negative) growth of unskilled workers, education, technology spillover (from foreign countries) through retained import of capital goods and inward direct investment, and learning‐by‐doing through import and domestic manufacturing production. The results strongly suggest that other than primary factor accumulation, education, trade, and foreign direct investment have contributed a lot to the growth of the economy.     

战略导向对外部创新搜索策略的影响——基于港资企业的实证研究

从战略管理的视角出发,基于对东莞170家港资企业的调查数据,实证研究了两种最重要的战略导向——市场导向和创业导向对外部创新搜索宽度和深度的影响。研究发现:对于创新基础薄弱的港资企业,市场导向和创业导向对其外部创新搜索宽度策略选择和深度策略选择的影响方向没有差异,两种战略导向均要求企业增大外部创新搜索的宽度和深度。     

Liquidity commonality in order-driven trading: evidence from the Athens Stock Exchange

We examine the presence of liquidity commonality in the order-driven Athens Stock Exchange (ASE). Unlike the majority of liquidity commonality studies that focus on the bid–ask spread, our analysis extends deeper in the Limit Order Book, providing insight on the price impact of both small and large trades. We utilize a 6-month FTSE/ATHEX-20 intraday data set to estimate the liquidity factor model of Chordia et al. (2000). To this end, we conduct single-equation analysis as well as panel data analysis with the use of two-way clustered errors, correcting for simultaneous firm and time correlations. Moreover, we apply standard principal component analysis on stock liquidities to extract the marketwide liquidity component. We find that liquidity commonality is low at the bid–ask spread, whereas it increases deeper in the book; consequently, large traders face liquidity risks associated with both individual stock and marketwide illiquidity. Moreover, our empirical evidence hints that liquidity commonality is asynchronous, suggesting that the ASE trading process includes various levels of information speed. Our analysis contributes to the understanding of liquidity commonality in order-driven trading, especially in emerging markets like the ASE where trading activity is limited and information speed is low.     

The impact of trading floor closure on market efficiency: evidence from the Toronto Stock Exchange

On 23 April 1997, the Toronto Stock Exchange closed its trading floor, making it at that time the second-largest stock exchange in North America to choose a purely electronic trading environment for its equities. Exploiting this natural experiment, we find that the move to electronic trading resulted in a higher cost of immediacy (bid–ask spreads), increased information asymmetry and an overall deterioration of short-horizon return predictability from past order flows, reducing the efficiency of price discovery. Our results suggest that the human element plays an important role in order execution and complements automated electronic trading by improving the efficiency of incorporating new information into prices.     

试论香港转口贸易面临的主要问题

转口贸易曾经是香港经济的重要支柱之一。近年来,由于香港码头费用高昂、中国入世后全面对外开放、内地企业转变出口方式等重大因素,香港的转口贸易受到严重的影响。本文分析了其中的5个主要原因,指出香港的转口贸易将进一步转向离岸贸易。并成为主要贸易形式之一,香港作为贸易转口港的传统角色也将逐步淡化。香港必须适应这种大趋势。采取切实措施打破垄断。降低费用,提升服务。以保持香港第一货柜港的地位。     

Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility (IV) and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that IV is not a significant limit to arbitrage in Japan.     

Foreign investor trading and information asymmetry: evidence from a leading emerging market

This article examines the influence of foreign investor trading on information asymmetry in the Korean stock market, a representative emerging market characterized by a high level of information asymmetry between corporate insiders and outsiders, and among investors. We find a significantly positive relationship between foreign investor trading and the consequent bid–ask spread – the latter of which is considered as a proxy for the degree of information asymmetry – on both daily and weekly bases. Our results indicate that active foreign investor trading tends to exacerbate informational variation.     

香港中资企业惨遭滑铁卢的历史教训

众所周知,香港中资企业为境内扩大对外开放和促进香港顺利回归发挥过功不可没的重要作用,如今对维护香港经济发展和社会稳定依然是一支不可或缺的有生力量。中资企业的成长壮大让人欣喜,但