Kam C. Chan

International stock market efficiency and integration: A study of eighteen nations

This study examines the relationships among stock prices in eighteen national stock markets by using unit root and cointegration tests for the period 1961--92. All the markets were analyzed individually and collectively in regions to test for market efficiency. The results from unit root tests suggest that the world equity markets are weak-form efficient. The cointegration test results show that there are only a small number of significant cointegrating vectors over the last three decades. However, the number of significant cointegrating vectors increases after the October 1987 stock market crash, a result that is consistent with the contagion effect. Copyright Blackwell Publishers Ltd 1997.

The association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP

Abstract This study examines the association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP. Using a sample of foreign firms with common stock or American Depositary Receipt (ADR) traded in U.S. exchanges, we compare the returns-earnings relations between U.S. and foreign GAAP-based earnings. Results based on the JA test indicate that earnings based on foreign GAAP are more closely associated with contemporaneous stock returns than earnings reconciled to U.S. GAAP. We find evidence that our results may be driven by institutional factors which are specific to foreign markets.

Production in the Finance Literature, Institutional Reputation, and Labor Mobility in Academia: A Global Perspective

Academic institutions are ranked on a global scale in terms of finance literature productivity. US institutions are dominant in academic publishing although European and Asian institutions have improved significantly in recent years. Additionally, we study the relationship between the quality of human capital and the likelihood of an upward career move. Our results show that an individual relocates to a higher-ranked institution exhibits a research record that is two times stronger than that of an average faculty member at the destination institution. We further model the probability of an upward move in the academic labor market as a function of human capital using an ordered logistic model. We find that publications in sixteen core journals, publications in three top journals, and the rank of the Ph.D. granting institution enhance the probability of moving to a higher ranked institution. On the other hand, the length of teaching experience decreases this probability.

Publications in Major Marketing Journals: An Analysis of Research Productivity of Asia-Pacific Universities

The authors examine the marketing research productivity of Asia-Pacific universities using a set of 20 marketing journals during 1991-2000. A weighted Journal of Marketing-equivalent page count is used to account for different font and page sizes of the journals, different lengths in articles, coauthorships, and affiliations. A total of 106 universities are evaluated. The top 3 universities are, in order, the University of NewSouth Wales, the National University of Singapore, and Hong Kong University of Science and Technology. School history does not seem to relate to research productivity. Indeed, several prominent universities are not ranked as highly as other more recently established ones. In achieving publication, the degree of research emphasis and research strategy of a university might play a more important role than years of operation. A majority of the top 20 Asia-Pacific universities have made significant progress in research output during 1991-2000.

Membership on Editorial Boards and Finance Department Rankings

We examine membership on editorial boards of sixteen leading finance journals in 1985, 1990, 1995, and 2000. Membership on a board of a high-quality journal is highly selective. Editors and members of editorial boards of quality journals are trusted by their peers who submit their research for publication consideration. Thus, the number of faculty represented on editorial boards of quality journals should provide a quality indication of the finance department. We use membership representation to provide a ranking of finance departments adjusted for department size and journal quality.

Bond Market Volatility Compared to Stock Market Volatility

The high volatility of rates of returns on bonds during the 1980s received a great deal of attention because it is readily acknowledged that bond return volatility is critical to the analysis and management of bonds. Yet there has been no detailed analysis of bond market volatility for the pre–1980 period that would allow the experience during the 1980s and the 1990s to be put into perspective. The authors analyze the changing volatility of the government bond market over the past 50 years and examine how these changes compare to the well–documented volatility changes for the stock market. A comparison of Treasury bond market volatility to stock market volatility indicates that the volatility for these two markets has differed dramatically over time. The difference in volatility is confirmed by an analysis of the systematic risk of bonds versus stocks and the moving correlations between bonds and stock over time. In both instances, the pattern indicates a very cyclical series with wide ranges, but also a positive trend. An analysis of the time series properties of bond and stock volatility likewise indicates significant differences.

Do currency futures prices follow random walks

Abstract This paper examines the random walk process for four currency futures prices for the period 1977–1987 by using the variance ratio test. The random walk hypothesis is tested through asymptotic standardized statistics as well as by computing the significance level based on the bootstrap method. Both long time-series prices and individual contract prices for four currency futures, the British pound, the German mark, the Japanese yen, and the Swiss franc are analyzed. The results provide little evidence against the random walk null hypothesis, though non-randomness is documented in the Japanese yen. Additionally, the currency futures markets apparently become more efficient as markets mature over time.

Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis

This article studies the impact of the Asian financial crisis on index options and index futures markets in Hong Kong. We employed a time‐stamped transaction data set of the Hang Seng Index options and futures contracts that were traded on the Hong Kong Futures Exchange. The results show that during the crisis period, the arbitrage profits, and the standard deviations of these profits increased in both ex‐post and ex‐ante analyses. In a market turbulent time, market volatility brings a higher arbitrage profit level. However, despite the increased market volatility, the profitability of the arbitrage trades declined substantially with longer execution time lags in the ex‐ante analysis. This suggests that the HSI futures and options markets are mature and resilient. A multiple regression analysis on the ex‐post arbitrage profit also suggests that there were structural changes during the Asian financial crisis and the Hong Kong government intervention periods.

Research productivity of the finance profession in the Asia-Pacific region

Abstract This study ranks the finance research productivity among the Asia-Pacific universities using a set of 17 finance journals during the decade of the 1990s. A total of 97 universities are ranked. The top five universities are Hong Kong University of Science and Technology, National University of Singapore, City University of Hong Kong, Chinese University of Hong Kong, and the University of New South Wales, respectively. An interesting finding is that both school history and tradition seem irrelevant to the research productivity. Several prominent universities are not ranked in the top 20. The results suggest that motivations and the degree of research emphasis play an important role in research productivity but not the tradition and the history of a university. Moreover, when compared with other North American universities, the top 20 Asia-Pacific finance programs are comparable with leading state and private universities in the North America. The comparison is even more favorable to the Asia-Pacific universities during the second half of the 1990s. A majority of the top 20 Asia-Pacific universities have significantly improved their research productivity during the time period of 1995–1999.

Another look on bond market seasonally: a note

Abstract This note provides evidence that there exists business cycle effects on the monthly returns of long-term government bond and low-grade corporate bond. In addition, the results of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models suggest that the returns series exhibit significant autoregressive conditional heteroskedasticity.