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Handbook of Asian Finance

Book Description

Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today.

  • Presents the only micro- and market-related analysis of pan-Asian finance available today
  • Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries
  • Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

Table of Contents

  1. Cover image
  2. Title page
  3. Copyright
  4. Editor Bios
  5. Contributor Bios
  6. Acknowledgments
  7. Introductory Chapter. Asia Finance: The Emergence of Asia Economy and New Development in Finance
    1. REITs
    2. Trading
    3. Fund Performance
    4. Summary of Individual Chapters in Volume II
    5. Re-Emergence of Asia
    6. Disclaimers
  8. Part 1: REITs
    1. Chapter 1. The Evolution of Financial Analysts’ Forecasts for Asian REITs and Real Estate Companies
      1. Abstract
      2. 1.1 Introduction
      3. 1.2 Conceptual Framework
      4. 1.3 Data and Methodology
      5. 1.4 Analysis of Financial Analysts’ Forecasts
      6. 1.5 Conclusion
      7. Appendix 1 Real Estate: Detailed Evolution of FAFs Accuracy and Bias in the Real Estate Sector for Asian Pacific Countries from 2001 to 2012
      8. Appendix 2 The Evolution of FAFs Accuracy (diamond black line) and Bias (square gray line) (figure on the left), and Coverage in the Real Estate Sector for Asian Pacific countries from 2001 to 2012 (figure on the right)
      9. Appendix 3 Detailed Evolution of FAFs Accuracy and Bias in the Real Estate Sector for Asian Pacific Countries from 2001 to 2012 (except the real estate sector)
      10. Appendix 4 Detailed Evolution of Average Analyst Following for Real Estate Firms in Asian Pacific Countries: from 2001 to 2012
      11. References
    2. Chapter 2. Home Bias in Asian REIT Portfolio Investment Strategies
      1. Abstract
      2. Acknowledgments
      3. 2.1 Introduction
      4. 2.2 Literature Review
      5. 2.3 Empirical Analysis
      6. 2.4 Conclusion
      7. References
    3. Chapter 3. Market Structure and Growth Potential of Singapore REITs
      1. Abstract
      2. 3.1 Introduction
      3. 3.2 Market Structure of Singapore REITs
      4. 3.3 Performance of Singapore REITs
      5. 3.4 Growth Options of Individual REITs
      6. 3.5 Conclusion
      7. References
    4. Chapter 4. Another Look at Asian REITs Performance after the Global Financial Crisis
      1. Abstract
      2. 4.1 Introduction
      3. 4.2 Literature Review
      4. 4.3 Methodologies
      5. 4.4 Data and Asset Pricing Model
      6. 4.5 Results and Findings
      7. 4.6 Conclusion
      8. Appendix 1: Figures-Jensen’s Alpha in the 9 APAC REIT Markets (April 2005 to May 2013)
      9. Appendix 2: Figures-Information Ratio (IR) in the 9 APAC REIT Markets (April 2005 to May 2013)
      10. Appendix 3: Figures-Generalized Treynor Ratio (GTR) in the 9 APAC REIT Markets (April 2005 to May 2013)
      11. Appendix 4: Figures-Ratio 2 in the 9 APAC REIT Markets (April 2005 to May 2013)
      12. Appendix 5: Figures-Ratio 2 in the 9 APAC REIT Markets (April 2005 to May 2013)
      13. References
    5. Chapter 5. Bootstrap Analysis for Asian REIT’s Portfolios
      1. Abstract
      2. 5.1 Introduction
      3. 5.2 Related Literature
      4. 5.3 Methodology
      5. 5.4 Data Description
      6. 5.5 Results
      7. 5.6 Conclusion
      8. Appendix
      9. References
    6. Chapter 6. Varying Implicit Prices of Housing Attributes: Testing Tiebout Theory
      1. Abstract
      2. 6.1 Introduction
      3. 6.2 Model Specification
      4. 6.3 Study Area and Data
      5. 6.4 Empirical Results
      6. 6.5 Conclusion
      7. References
  9. Part 2: Trading
    1. Chapter 7. High-Frequency Trading on Asian Exchanges
      1. Abstract
      2. 7.1 Introduction
      3. 7.2 Impact of HFT on the Order Book
      4. 7.3 Risk and Regulatory Considerations for Asia
      5. 7.4 SGX: The Largest Offshore Market for Asian Equity Derivatives
      6. 7.5 SBI Japannext: The Dominant PTS for Japanese Equities
      7. 7.6 Discussion: Market Quality and Social Welfare
      8. 7.7 Conclusion
      9. References
    2. Chapter 8. The Regulation of High-Frequency Trading: An Asian Perspective
      1. Abstract
      2. 8.1 Introduction
      3. 8.2 The Growth of HFT in Asia
      4. 8.3 Some Misconceptions
      5. 8.4 The HFT Debate: An Asian Perspective
      6. 8.5 The HFT Debate: A General Perspective
      7. 8.6 Conclusion
      8. References
    3. Chapter 9. Does the Chart Pattern Work in Asian Markets?
      1. Abstract
      2. 9.1 Introduction
      3. 9.2 Methodology of Automating Technical Analysis
      4. 9.3 Empirical Results
      5. 9.4 Conclusion
      6. References
    4. Chapter 10. Algorithm Trading in Asian Currency FX Markets
      1. Abstract
      2. Acknowledgments
      3. 10.1 Introduction
      4. 10.2 The Evolving Role of the JPY and the AUD
      5. 10.3 Carry Trades, Microstructural Model, and EBS Foreign Exchange Spot Market
      6. 10.4 JPY/AUD Cross-Rate Transactions at Tick
      7. 10.5 Comparisons with AUD/USD and JPY/USD at Tick
      8. 10.6 Conclusion
      9. References
    5. Chapter 11. Relative Valuation Approach for Valuing Equity in Malaysia
      1. Abstract
      2. Acknowledgment
      3. 11.1 Introduction
      4. 11.2 Literature Review
      5. 11.3 Research Design
      6. 11.4 Data Analysis
      7. 11.5 Conclusion
      8. References
    6. Chapter 12. A Common Measure of Liquidity Costs for Futures and Stock Exchanges
      1. Abstract
      2. Acknowledgments
      3. 12.1 Introduction
      4. 12.2 A Brief Review of Implicit Trading Costs
      5. 12.3 Model and Linear Specification
      6. 12.4 Data and Institutional Features
      7. 12.5 Estimation and Analysis
      8. 12.6 Conclusion
      9. Appendix: Related Models in Our Framework
      10. References
    7. Chapter 13. The Trading Behavior of iShares Listed on the Honk Kong Stock Exchange
      1. Abstract
      2. 13.1 Introduction
      3. 13.2 Data and Statistics
      4. 13.3 Performance Assessment
      5. 13.4 Pricing Efficiency Assessment
      6. 13.5 Conclusion
      7. References
    8. Chapter 14. The Effectiveness of Technical Trading Models in Asian Equity Markets around the Financial Crisis
      1. Abstract
      2. 14.1 Introduction
      3. 14.2 The Trading Rule Methodology
      4. 14.3 Data Description
      5. 14.4 Results
      6. 14.5 Conclusion
      7. References
    9. Chapter 15. Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis
      1. Abstract
      2. Acknowledgments
      3. 15.1 Introduction
      4. 15.2 The Links between the Financial Sector and the Real Economy
      5. 15.3 The Global Financial Crisis
      6. 15.4 Change-Point Analysis
      7. 15.5 Sample
      8. 15.6 Results
      9. 15.7 Conclusion
      10. References
    10. Chapter 16. News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market
      1. Abstract
      2. 16.1 Introduction
      3. 16.2 RavenPack News Database
      4. 16.3 Data and Sample
      5. 16.4 Theory of MDH and Effects of News Sentiment on Stock Return Volatility
      6. 16.5 Test for Long Memory of Volatility
      7. 16.6 Empirical Results
      8. 16.7 Conclusion
      9. Appendix A: TOPIX Core 30 Stocks
      10. Appendix B: RavenPack Algorithms
      11. References
  10. Part 3: Fund Performance
    1. Chapter 17. Evaluation of Mutual Fund Growth and Performance in Asia
      1. Abstract
      2. 17.1 Introduction
      3. 17.2 Background to Funds Management
      4. 17.3 Academic Evidence Regarding Mutual Fund Performance
      5. 17.4 Data and Sampling
      6. 17.5 Performance of Open-ended Asian Region Mutual Funds
      7. 17.6 Conclusion
      8. References
    2. Chapter 18. The Hedge Fund Alpha Puzzle with an Application to Asian Hedge Funds
      1. Abstract
      2. 18.1 Introduction
      3. 18.2 The Choice of Instruments
      4. 18.3 Empirical Specifications of the Fama and French Model
      5. 18.4 Empirical Results and Analysis
      6. 18.5 Conclusion
      7. Appendix 1 (As at June 13, 2013)
      8. References
    3. Chapter 19. Performance Attribution in Emerging Markets an Application to Chinese Open-End Active Mutual Funds
      1. Abstract
      2. 19.1 Introduction
      3. 19.2 Theoretical Framework
      4. 19.3 Conditional Performance Evaluation
      5. 19.4 Estimation of Alpha in a SDF Framework
      6. 19.5 Data
      7. 19.6 Empirical Findings
      8. 19.7 Conclusion
      9. References
    4. Chapter 20. Performance Persistence of Socially Responsible Investment Funds in the Asia Pacific Region
      1. Abstract
      2. Acknowledgments
      3. 20.1 Introduction
      4. 20.2 Literature Review
      5. 20.3 Data
      6. 20.4 Methodology
      7. 20.5 Results
      8. 20.6 Conclusion
      9. References
    5. Chapter 21. What Drives the Time-Varying Performance of Japanese Mutual Funds?
      1. Abstract
      2. 21.1 Introduction
      3. 21.2 RavenPack News Database
      4. 21.3 Data and Sample
      5. 21.4 Markov Regime-Switching Models and Two-States TGARCH Model
      6. 21.5 Empirical Results
      7. 21.6 Conclusion
      8. Appendix A Selected ETF list
      9. Appendix B RavenPack Algorithms
      10. Appendix C Preliminary Estimates of GARCH Model
      11. Appendix Table D: Preliminary Estimates of TGARCH Model
      12. Appendix Table E: Summary Outputs of GARCH and TGARCH Models
      13. References
    6. Chapter 22. Tournament Behavior in Asian Managed Funds
      1. Abstract
      2. 22.1 Introduction
      3. 22.2 A Brief Look at the Literature
      4. 22.3 Fund Management in Asia
      5. 22.4 Methodology and Data
      6. 22.5 Empirical Results: Malaysia
      7. 22.6 Empirical Results: Bahrain
      8. 22.7 Empirical Results: Pakistan
      9. 22.8 Empirical Results: Singapore
      10. 22.9 Conclusion
      11. References
    7. Chapter 23. Performance of Asian Mutual Funds
      1. Abstract
      2. 23.1 Introduction
      3. 23.2 Mutual Funds in Asia
      4. 23.3 Data
      5. 23.4 Methods and Empirical Results
      6. 23.5 Conclusion
      7. References
    8. Chapter 24. Mean Variance Analysis of Asian Hedge Funds
      1. Abstract
      2. Acknowledgments
      3. 24.1 Introduction
      4. 24.2 Data
      5. 24.3 Methodology
      6. 24.4 Analysis of Asian Hedge Funds
      7. 24.5 Discussion
      8. 24.6 Conclusion
      9. References
  11. Index