Price and volatility behaviour of four Asian stock markets

The past ten years have witnessed many changes in the Asian economies and stock markets, particularly in the Four Tigers, Hong Kong, Singapore, South Korea and Taiwan. They enjoyed economic growth well above the world average during the late 1980s and early 1990s. There were sharp increases in their stock market capitalisations against the background of low growth and low interest rates in the US and European countries in the early 1990s. This coincided with the time when measures to liberalise these markets were implemented to allow or attract foreign direct investments in their stock markets. Then by mid 1997, both their economies and stock markets began to slump. This ten year time period thus provides a good opportunity to examine how such economic and institutional changes affected the price and volatility behaviour of the Four Tigers and their relationships with other markets. Overall, the findings of the thesis suggest that with the increase in foreign participation in the four individual markets, the influence of noise trading activities has been reduced through more and better informed trading. However, their relationships with three world major markets, the US, the UK and Japan, are not getting much stronger. There is no evidence to suggest that their prices are being increasingly led by the world markets, nor is their volatility becoming more sensitive to foreign news. Their price and volatility relationships with three regional markets, Thailand, Malaysia and Indonesia, were not particularly strong either, until recently, when the Asian financial crisis has made them more responsive to shocks from one another. The message to the governments of the Four Tigers is clear. Foreign direct equity investments have not destabilised their stock markets. Instead, the mismanagement of their own and/or their trading partners' economies should be held more responsible

Generating Buy/Sell Signals for an Equity Share Using Machine Learning

This study proposes a novel model for predicting 5 days’ ahead share price direction of GARAN (Garanti Bankasi A.Ş.), an equity share that is the top traded stock in BIST100, Istanbul Stock Exchange -Turkey. The first model includes global macroeconomic indicators as well as local inputs whereas the second model is focused more on local inputs. The performances of the two models are tested using Support Vector Machines (SVM), Neural Network with Back-Propagation (BPN), and Decision Tree (DT) algorithms. Though BPN and SVM have previously been used to predict BIST100 Index movement, DT has not been utilized before with this purpose. Forecasting is carried out tested for a time span of about 6 months on a rolling horizon basis, that is, algorithms are re-run weekly with updated data to generate daily buy/sell signals for the next week. A simple trading strategy is implemented based on buy/sell signals to calculate the rate of return on investment during the testing period. The results illustrate that DT having 80% prediction accuracy outperforms BPN and SVM that achieve 60% accuracy. Consequently, DT achieves a higher rate of return

The Regulation of Disclosure in Relation to the Public Issue of Securities in the United Kingdom and Taiwan.

Despite the fact that in the United Kingdom (UK) regulators adopt the ideology of "self-regulation within a statutory framework", while the Taiwanese government opts for the American Securities and Exchange Commission (SEC) model, both English and Taiwanese law place heavy reliance nowadays on mandatory disclosure as a tool to regulate the public issue of securities and publicly issuing companies. The objectives of this thesis are to (1) justify the regulation of mandatory disclosure, (2) provide the guidelines for the design of the content of disclosure, and (3) analyse the elements of civil liability for non-disclosure and untrue statements. Chapter One sets out the reasons for taking up this topic for research, its methodology, and the contribution and limits of the work. Chapter Two is devoted to describing briefly the English and Taiwanese legal frameworks in order to identify the research scope and provide readers with some general background. The impact of the European Community (EC) legislation on UK company law and securities regulation is also examined, as well as its implementation history. Accordingly, these two chapters taken together constitute the background for the thesis. The core of the thesis is in Chapters Three to Six. Chapters Three and Four examine thoroughly the defects of the general law and the economic debate on mandatory disclosure with a view to establishing the justification of mandatory disclosure. Chapter Five goes further by analysing the guidelines of disclosure content; through the finding of materiality, it is argued that governmental regulation should only deal with material information. The problem of unsatisfactory accountancy in Taiwan is also not forgotten. Chapter Six discusses civil liability for misrepresentation, criticises the current flaws in English and Taiwanese law, and proposes amendments to them. Finally, conclusions are drawn in Chapter Seven

East Asian Economies\u27 Cooperation in Cross-border Direct Investment Arrangements

While economic globalization continues to develop, the global economy keeps integrating through increasing trade and foreign direct investment (FDI). The establishment of close and comprehensive industrial production and distribution networks in the East Asian region is mainly driven by FDI cooperation between multinational enterprises (MNEs) and local firms. MNEs have played a key role in promoting vertical intra-industry trade in East Asia by setting up regional and international production networks through FDI

Invisible gatekeeper? Director & officer insurance in corporate governance: an empirical legal study of Taiwan

After the problems experienced by Enron, WorldCom and other companies in various financial crises, the monitoring function of Directors’ and officers’ (D&O) insurance has been discussed more frequently. Given this tendency, discussions of this issue have become more popular in Taiwan. This research analyzes the role of D&O insurance in corporate governance in Taiwan. The monitoring hypothesis suggests that firms with weak corporate governance have a greater incentive to purchase D&O insurance. D&O insurance and other monitoring mechanisms are substitutes for each other. Firms which have better corporate governance have less demand for D&O insurance. Information about insured firms’ corporate governance can be conveyed by D&O insurance. In contrast, this study proposes an alternative hypothesis to the monitoring hypothesis. It argues that D&O insurance has a positive signal effect to the market. Accordingly, the signal effect is an important consideration in D&O insurance purchases. This research empirically analyzes the purchase of D&O insurance of around 4,000 listed firms in Taiwan from 2008 to 2010. A variety of econometric and statistical methods are applied. Empirical evidence shows that the monitoring function of D&O insurance is rejected and the signal effect of D&O insurance is supported. The positive signal effect of D&O insurance is a more important consideration than the monitoring function or indemnification for insured firms. This study also finds that there is no evidence supporting the existences of moral hazard and adverse selection. Thus, the findings regarding the rejection of the monitoring hypothesis and support for the signal hypothesis will not be affected. In conclusion, this dissertation analyzes the association among D&O insurance and corporate governance by comparative law and empirical methods. It concludes that the D&O insurance may signal the information of insured firms’ corporate governance, but the mandatory insurance rule is not recommended

The Characteristics of Sino-Taiwanese Joint Ventures in the People's Republic of China

The main objective of this thesis is to shed light on the characteristics and performance of Sino-Taiwanese joint ventures (JVs) in the People's Republic of China and in particular to investigate the role played by guanxi (interpersonal relationships) in their formation and in the way they function. The research shows that guanxi enhances the effectiveness of Taiwanese joint venture partners by overcoming unanticipated external environmental factors and enabling them to deal with the complex internal managerial issues associated with the Chinese market. The different political and economic relations between Taiwan and China make the joint venture entry strategy attractive to Taiwanese investors. Taiwanese investors share similar cultural identity and speak the same dialect as much of Mainland China. The literature on international joint venture formation is reviewed and compared business made between western style networking and guanxi relationships in Chinese business communities. The impact of cultural similarity on partner selection has been added in this study of Sino-Taiwanese Ns, which therefore provides a new strategic perspective. A triangulation research method is employed to provide a systematic analysis. In particular, a first set of interviews identified the possible variables in JV development and established important contacts in China, to assist in carrying out a second questionnaire survey. A further round of interviews confirmed the validity of the findings. A strong positive correlation was found between firms' cooperative strategies and the uncertainties of the Chinese business environment. This has demonstrably influenced Taiwanese investors' decision to collaborate with Chinese firms in joint ventures. The interview evidence clearly shows the importance of guanxi at different stages of JV formation and development. The thesis concludes that the effective use of guanxi has enhanced Taiwanese investors' effectiveness within the highly uncertain business environment of China