The returns to value and momentum in Asian Markets

Two unique experiments are conducted. First, we evaluate returns to the best value and momentum strategies combined by: (i) a long portfolio of stocks classified as both value stocks and winner stocks; and (ii) a short portfolio of stocks classified as both growth and loser stocks. Second, we put all sample stocks of four representative Asian markets (Hong Kong, Korea, Singapore, and Taiwan) into one basket to undertake a regional level one-basket approach. Interestingly, the combination of best value and momentum strategies does not provide a significant improvement over the value or the momentum strategy evaluated separately. One immediate conjecture is that value stocks and winner stocks are not necessarily moving in tandem. Likewise, growth stocks and loser stocks may offset their effectiveness. Value premia under the one-basket approach are all insignificant regardless of the weighting scheme used.     

Evidence on the dynamic relationship between international trade and the stock market

This study uses vector autoregressive analysis to examine the dynamic interactions of monthly real stock returns, return volatility, exchange rates, export growth and import growth for Hong Kong, Korea, Singapore, and Taiwan for the period 1975–91. We find that exports and imports have significant interactions. The results also indicate that stock returns in Hong Kong and Singapore Granger-cause trade flows. Return volatility is found to react strongly to trade news in all four countries, a result supporting the efficient-market hypothesis.     

Born to be similar? Global isomorphism and the emergence of latecomer business schools

By building on insights from institutional isomorphism, this paper investigates the development paths of latecomer business schools in Hong Kong, (South) Korea, Singapore, and Taiwan. The global isomorphic pressure prevalent in higher education (e.g. the global regime of rankings) drives latecomers to imitate the practices of incumbents in order to enhance their academic impact through business and management research. Our study argues that latecomers respond to global isomorphism by forging their own paths. Our analysis shows that business knowledge production in Hong Kong and Singapore was more responsive to coercive (research strategy) and normative (faculty recruitment strategy) isomorphic pressure than Korea and Taiwan. The response to mimetic isomorphic pressure (co-authorship strategy) was less salient in Hong Kong and Taiwan than in Singapore and Korea. Further, we find that research, faculty recruitment, and co-authorship strategies affect the academic impact (citations) of the higher education institutions across each country differently. Our study sheds new light on the role of global isomorphism in the emergence of latecomer business schools.     

Volatility Transmission in Asian Bond Markets: Tests of Portfolio Diversification

The 1997 Asian crisis illustrated the need to develop local bond markets to reduce vulnerabilities to future mismatches in currency and maturity. This article examines a regional initiative – the Pan-Asian Bond Index Fund – and tests the implications for portfolio diversification. Intra- and inter-regional transmission of bond market volatilities between Hong Kong, Singapore and South Korea and from the United States and Japan is investigated. The results show that since Hong Kong and Singapore are highly integrated into global capital markets, the prospects of diversification of investment become undermined. The study provides evidence to assist policy makers in designing bond-index funds as a strategy for portfolio diversification to promote regional bond markets.     

Exchange risk premia and firm characteristics

This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and industry. Using alternative model specifications and exchange rate measures, our results support the hypothesis of a significant unconditional exchange risk premium in the Korean stock market at firm and industry levels. More specifically, we find that the exchange risk premium is directly related to firm liquidity and inversely related to firm size and foreign ownership.     

Common risk factors in returns in Asian emerging stock markets

This paper examines the application of the Fama and French's (1993) three-factor model in three Asian emerging markets (Hong Kong, Singapore and Taiwan). The empirical evidence is consistent with the US findings that the model can explain most of the variations in average returns. However, we find that the main contributing factor is the contemporaneous market excess returns. The impact of the size effect and book-to-market (BE/ME) factor is limited and in some cases insignificant. When the three-factor model is modified by using lagged market excess returns instead in order to check for the predictability of the market factor, the explanatory power of the model drops substantially but both the risk factors for size and BE/ME are now able to contribute significantly in explaining the cross-sectional variations of stock returns. Their explanatory powers are strongest for small-size with high BE/ME portfolios. The robustness of our results is also checked for the separation of up and down markets periods and January effect.     

An analysis of illiquidity in commodity markets

We examine the liquidity and insurance premia demanded by hedgers and speculators in commodity markets. We find that hedgers and speculators demand a higher premium for illiquid commodities for providing insurance and liquidity, respectively. Decomposing illiquidity into turnover and size components, we find evidence of a size premium associated with the insurance premium such that speculators demand a larger insurance premium for smaller commodities. We also find that the liquidity premium demanded by hedgers for illiquid commodities varies across bullish and bearish markets with hedgers demanding a larger premium from speculators trading in illiquid commodities in bearish markets.     

International Transmission Mechanisms and Contagion in Housing Markets

This paper explores international transmission mechanism and its role in contagion effect in the housing markets across six major Asian cities. The analysis is based on the identification of house price diffusion effects through a global vector autoregressive (GVAR) model estimated using quarterly data for six major Asian cities (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the open economies heavily relying on international trade such as Singapore, Japan (Tokyo), Taiwan (Taipei) and Thailand (Bangkok) show positive correlations between the economy's openness and house prices, which is consistent with the Balassa–Samuelson hypothesis. Interestingly, some region‐specific conditions also appear to play important roles as determinants of house price movements, which may be driven by restrictive housing policies and demand–supply imbalances such as Singapore and Bangkok. These results are reasonably robust across several model specifications. The findings bear significant implications for formulation of investment strategy and public policies.     

The dynamics of small and medium-sized enterprises in Korea and other Asian NIEs

After a brief comparison of data on small and medium-sized enterprises in the four Asian newly industrialized economies (Hong Kong, Korea, Singapore, Taiwan), this paper deals with the existing or potential role of small firms in Korea's industrialization process; it reviews Korea's industrial heritage up to the post-Korean war period, then concentrates on the last three decades of very rapid industrial development and on the numerous issues facing the Korean economy today, especially in the field of big versus smallmedium scale business. This particular issue is again at the centre of policy changes, debates and controversies since the beginning of the 1990's.The major arguments of this paper can be summarized as follows: Very little is yet known about the history of Korean small entrepreneurship before World War II and how it might have affected later industrialization process after the Korean war. It seems that little indigenous industrial expertise was accumulated before and during colonial rule, this last period being dominated by the Japanese in a few big key industries, the very start of big scale business in Korea.     

中国服务企业对外直接投资活动分析

虽然中国服务企业对外直接投资起步较晚,但从2009年开始呈现加速态势.在进入模式选择上,中国服务企业对外直接投资主要采取新建模式;在区域布局上,中国服务企业以香港为中介和重要跳板走向世界其他国家和地区.同时,中国服务企业进入境外呈现明显的区域化特征,中国服务企业主要进入与我国地理相邻、文化相近的港澳台、东盟、日韩地区以及服务市场较大的北美、西欧地区.     

An empirical investigation of immigrant effects: the experience of firms operating in the emerging markets

The immigrant effect consists of the ‘employer’ and the ‘employee’ effect. This study focuses on the ‘employee’ effect. Existing studies on the immigrant effect have identified its contributions to international trade and international marketing management but have not explained under what circumstances this effect can be used to achieve a firm's objectives when operating in a foreign market. This study explores the profile of the firms which have used this effect to assist their operations in three foreign host markets (China, Hong Kong and Taiwan). Based on the outcomes of a multivariate logistic regression analysis, this study has generated a number of useful findings. Firm size is not suggested as a factor for the selection of immigrant effects. Firms are more likely to adopt an immigrant effect when their products are new to the markets. FDI mode users tend to be more likely to use the immigrant effect. Usage of immigrant effects is also found to be associated with firms from a smaller domestic economy. The immigrant effect is often used to break cultural barriers between home and host markets, but is more helpful when the marketing infrastructure in the home and host markets is similar. The choice of immigrant effect is suggested to have no influence on firms' performance in the host markets.     

Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns

This study analyzes the impact of time varying jump risk on aggregate returns. We, in particular, examine the pricing of jump size and intensity components in the cross section of stock returns for four Asian markets. We use stochastic volatility model with jumps to estimate jump size and intensity. Fama–MacBeth regression results indicate that both jump size and intensity have statistically significant effect on expected returns. A one standard deviation increase in jump intensity beta lowers the expected annual returns by 1% for Japan, 2% for China, 5% for India, and 7% for South Korea. The results are consistent even after controlling for the Fama and French three factors, firm size, and liquidity proxies.     

生产分割、空间异质性与空间依存关系——对东亚生产网络的考察

本文利用空间面板数据模型考察了东亚10国(地区)之间的生产分割现象,发现各国(地区)制造业的发展存在明显的正向空间相互依存关系。但同时,不同国家(地区)的空间依存关系存在异质性,其中韩国、中国台湾、中国香港和日本的制造业发展对中国内地制造业的发展影响较大;另一方面,中国内地制造业的发展对韩国、日本、中国台湾和中国香港的制造业影响也很大。这个发现有助于解释最近20年东亚各经济体的协同发展,并且这也说明所谓中国内地成为"世界工厂"的同时抢走了周边其他国家(地区)制造业的"中国威胁论"是不成立的;恰恰相反,生产分割导致的国际生产分工有效地促进了东亚各国(地区)制造业的同步发展。     

论内向型FDI与国际贸易的关系——中国作为东道国的面板数据分析

本文运用固定影响变截距模型,采用1992-2004年我国作为东道国,香港特区、韩国、日本、美国、我国台湾地区、新加坡和德国等七个对中国直接投资最多的国家或地区的面板数据,对我国内向型FDI与国际贸易的关系进行了实证研究。研究结果表明,我国的内向型FDI与国际贸易之间具有显著的互补性,而且内向型FDI对我国的出口具有正的滞后效应。     

外国直接投资与双边贸易关系中的国别差异

外国直接投资对国际贸易的影响一直是学术界普遍关注的问题。本文采用引力模型,对14个主要投资国1984年至2004年对华投资与双边贸易的关系进行了实证分析,发现我国引进的外国直接投资总体上促进了贸易的增长,但是各国直接投资对双边贸易的影响却有着明显差异。日本、美国、韩国、德国、我国台湾地区和我国香港地区的外国直接投资是贸易促进型的,我国澳门地区、马来西亚、加拿大、法国、澳大利亚、荷兰、英国和新加坡的外国直接投资是贸易替代型的。     

National branding strategies and economic development: Implications for NIEs and LDCs

As the four newly industrialized economies (NIEs), Hong Kong, South Korea, Taiwan, and Singapore, continue to improve their economic development, there is an increasing realization of the need to create world class brands for global competition. This is because these four NIEs, largely dependent on manufactured products for highly export-oriented strategies, are facing threats from lower cost semi-NIEs and LDCs (less developing countries) that are adopting similar strategies. This article examines the important roles played by brands in securing market share. In particular, it highlights the experiences of Japan in the development of international brands. Lessons are then drawn for the NIEs and LDCs, especially with regard to the need to consciously develop world class brands as part of the overall economic growth and development. © 1995 John Wiley & Sons, Inc.     

Further evidence on Asian stock return behavior

This paper examines the relationship between expected stock returns and size, and market-to-book ratio in five Asian emerging markets: India, Korea, Malaysia, Taiwan and Thailand. Overall, we find a strong size effect in all markets and a significant market-to-book effect in Korea, Malaysia and Thailand. When the tests allow for both variables, the negative relationship between size and average return is less robust; the inclusion of market-to-book equity seems to absorb the role of size in Asian stock returns. Our finding for the Asian market applies to the post-1984 period, thus questioning the assertion of Black [J. Portfolio Manage. 20 (1993) 8] and MacKinlay (1995) that “the value premium is sample-specific”. Although small firms have—to a certain extent—higher average returns than large firms in Asian markets, the market-to-book variable seems to have a consistently stronger role in average returns and would suggest that value stocks have higher average returns than growth stocks. Thus, the higher average return on value stocks in the Asian emerging markets can be considered as a local manifestation of a global phenomenon.     

上海、香港、新加坡吸引跨国公司地区总部的综合环境比较——兼论上海营造总部经济环境的对策

跨国公司地区总部对东道国城市综合环境的一般需求因素包括:市场因素、人力资本因素、金融税务因素、基础设施因素和政策因素等。上海吸引跨国公司地区总部最大的环境优势在于贴近市场;而香港和新加坡最大的环境优势在于低税率的简单税制和高度的贸易便利化。因此,上海营造总部经济环境的策略是:扬长避短,进一步强化市场优势,与香港、新加坡形成差异化竞争。     

Financial Integration in East Asia: An Empirical Investigation

The central objective of this paper is to empirically evaluate the degree of linkages among East Asian equity and bond markets. Using data from the IMF’s Coordinated Portfolio Investment Survey (CPIS), we find that intra‐East Asian financial asset holdings of four East Asian countries – Japan, Korea, Hong Kong and Singapore – are larger than the levels predicted by the financial gravity model. However, our analysis suggests that this result is likely to be driven by intra‐regional trade linkages and reflect those linkages. Therefore, the salient implication for regional policymakers is that they should continue to promote intra‐regional financial integration. This paper also aims to analyse the impact of three different types of country‐specific risks – political, economic and financial risks – on investment from the four countries. This analysis yields a clear positive relationship between destination‐country risk, in particular political risk, and capital inflows.     

The Applicability of the MACH IV Scale to Banking Executives in Hong Kong,Singapore and Australia: A Research Note

This study attempts to extend the four-factor MACH IV scale for cruel, exploitative, deceitful behaviours (Machiavellianism), designed in a North American and university student context, to the competitive business environment in the Asia-Pacific region: Hong Kong, Singapore, and Australia. A confirmatory factory analysis, with listwise deletion of missing data, is performed on the responses from 454 Hong Kong, 108 Singaporean and 94 Australian banking executives. The results suggest that the factor structure of the Machiavellianism scale is only confirmed in the Hong Kong sample, but not that of Singapore and Australia.