Singapore Stock Market Research Articles

Volatility and Liquidity Comparison of Indonesian and Singapore Stock Market in COVID-19 Mobility Restrictions Era

The COVID-19 case found at the end of December 2019 became a pandemic in March 2020. The research aimed to see and understand the differences in the performance of the Indonesian and Singapore stock indices represented by the Indeks Harga Saham Indonesia (IHSG) and Straits Times Index (STI) before and after the implementation of community mobility restrictions (Pembatasan Sosial Berskala Besar (PSBB) in Indonesia and Circuit Breaker in Singapore). The stock index data were stock index prices at closing and stock trading volume. The stock index performance was measured by its volatility and liquidity. Meanwhile, data volatility with heteroscedasticity symptoms was measured using the GARCH (1,1) model. Meanwhile, the standard deviation was used to measure homoscedastic data. The results show differences in return volatility and stock index liquidity before and after restrictions on community mobility. The return volatility of the IHSG and STI is higher before the community mobility restrictions compared to the period after. IHSG experiences liquidity after PSBB I and before PSBB II. The conclusion that can be drawn from these results is that liquidity in Indonesia does not improve when PSBB I is implemented, but liquidity improves in PSBB II. Meanwhile, STI’s liquidity is higher in the period after the implementation of Circuit Breaker. These results indicate that implementing the Circuit Breaker helps to improve the stock index’s performance in Singapore because volatility decreases when the policy is implemented. The policy also reduced the liquidity of the Singapore stock index.

Co-Movement of Digital Currencies and Asian Stock Indexes: A Wavelets Based Multiresolution Analysis

The paper examines the co-movement relationship between Cryptocurrency and Asian major indices through Wavelet Coherence multiresolution technique and the Granger causality for result robustness. The indices data of Singapore and Japan stock market was used from January 2018 to December 2022, the outcome of our study shows great of co-relationship in the movement between Asian two major listed equity market indices and Cryptocurrencies investments. Moreover, the study shows that Japan stock market found to be more positively correlated with existing cryptocurrencies in comparison to Singapore stock market.

A Study of Herding Behavior on Vietnam Stock Market

Herding behavior is a term used to describe how a group of investors will imitate one another in order to make judgments and take action. The CSAD model developed by Chang et al. (2000) is used in this study to investigate herding behavior in the Vietnamese stock market. The empirical findings demonstrate the presence of a herding tendency in this market. The market return is further separated into subgroups to show that herd behavior manifests under various market situations. The findings show that when markets start to fluctuate, investors have a larger tendency to follow the crowd (the market is going up or going down, or the market has an extremely high return or extremely low return). The impact of the Singapore stock market on the Vietnam stock market is then evaluated. This empirical finding may be used by investors to develop investment plans and broaden their prospects for profit.

PENGARUH PANDEMIC COVID-19 DAN PASAR SAHAM ASEAN TERHADAP PASAR SAHAM INDONESIA

This study examines the effect of the number of COVID-19 cases and the price of shares in ASEAN countries on the stock market in Indonesia. The ARDL model is used in research in order to see the long-term and short-term effects. The results of the analysis show that in the long term only the Malaysian stock market has a significant effect on the Indonesian stock market, besides that in the short term it is found that the Malaysian stock market, Singapore stock market and the number of Covid cases in Malaysia have a significant effect on the Indonesian stock market.

The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies

This paper explores the impact of the COVID-19 pandemic on the connectedness of stock indexes in the group of developed and emerging economies known as the ASEAN+3. We derived our empirical findings from the Diebold and Yilmaz (DY12) and Baruník and Křehlík (BK18) spillover methods, using daily data from 10 May 2005 to 24 February 2021. We show that the COVID-19 pandemic has had a bigger impact on the return and volatilities of ASEAN+3 stock markets than previous economic turmoil, such as the 2008 global financial crisis and the 2009–2012 European debt crisis. Using a frequency domain methodology, we find evidence that return spillovers mostly occur in the short-term, while volatility connectedness is more pronounced in the long-term. The Singapore stock market primarily acts the as top transmitter in returns and volatilities, whereas Vietnam has become the top receiver of shocks in returns. We also demonstrate that it is possible to replicate the frequency-domain connectedness measures of BK18 with a DY12 methodology. Using a series decomposed with a wavelet-based approach, we find that the total spillover indices for short-, medium-, and long-term frequencies computed with the DY12 approach are comparable to the within connectedness indices of BK18. Our results have important policy implications for investors, regulators, and policy makers.

Stock return during Pandemic Covid 19: a comparison between Indonesia and Singapore stock market

The purpose of this study is to provide an overview of the stock market conditions of IDX and SGX due to the influence of COVID 19. Through a regression analysis study method to see the condition of stock returns on companies in IDX and SGX. These two countries were taken as the focus of the study considering the closeness of business relationships and the highest number of COVID 19 cases in the Southeast Asia Region. The researcher concludes that the IDX is more sensitive to the increase confirmed case of COVID 19 and the SGX is more sensitive to the increase deaths cases of COVID 19. The conclusion of this study is that the threat of COVID 19 will have a different effect on investor behavior in each country, this could be due to the influence of differences between cultural values and characteristics. Like other studies, this study also has limitations that have not carried out a fixed effect on the two countries and recommendations to increase the number of samples from other ASEAN countries to make results that can be generalized in ASEAN.

Positive IVOL-MAX effect: A study on the Singapore Stock Market

This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.

Do momentum and reversal matter in the Singapore stock market?

ABSTRACT This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather, price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.

Applying transfer entropy approach to investigate the information flow among ASEAN stock markets

This paper uses transfer entropy to measure and identify the information flows between stock markets in the ASEAN region. Data on daily closing stock indices, including Vietnam, the Philippines, Malaysia, Indonesia, Thailand, and Singapore, are collected for the period from March 2012 to October 2019 to calculate these transfer entropies. The research results of this article can be considered in two aspects: one is, how information flow originating from one market will be accepted by other markets and secondly, information flow that markets receive. From the perspective of incoming transfer entropy, Vietnam is the country most affected by information from the other ASEAN markets while Indonesia and Malaysia are the least affected. In terms of outgoing entropy, Thailand is the largest source of information flow to the ASEAN markets. Malaysia and the Philippines are the two countries that receive minor information impact from other countries. The research also reveals that the Singapore stock market is rather separate from the other ASEAN countries. The research results also imply that, for investors and policymakers, defining the information flows among ASEAN stock markets can help to predict market movements, thereby developing a suitable investment strategy or establishing appropriate management policies.

VOLATILITAS INDEKS KOMPOSIT PASAR MODAL ASEAN-3

Rapid integration between domestic and world economy in the last decade has been a major issue. For Indonesia, the situation has been accelerated by the adoption of floating exchange rate regime in 1997, also with the development of Indonesia stock exchange. One notable financial variable that often exposed to external shocks is stock market index. This research will analyzed the behavior of 3 major stock market indices in ASEAN, those are Jakarta Composite Index (JCI), Kuala Lumpur stock index (KLSE), and Singapore stock index (STI). The employment of volatility model is chosen to figured the behavior of those 3 indices, and to analyze the aggregate investment in each stock market. Observation will be based upon monthly basis, from 2010 until 2015.The findings in this research are (i) similarity in the movement behavior of ASEAN-3 stock market indices, (ii) Indonesia stock market shows the highest aggregate investment return relative to Malaysia and Singapore, (iii) Singapore stock market shows the lowest aggregate investment risk relative to Indonesia and Malaysia, as the representation of more developed stock market.

Consortium Blockchain-Based Decentralized Stock Exchange Platform

The global implementation architecture of the traditional stock market distributes responsibilities and data across different intermediaries, including financial and governmental organizations. Each organization manages its system and collaborates with the others to facilitate trading on the stock exchange platform, and typically buy-sell orders go through different parties before settlement. This design architecture that involves a complex chain of intermediaries has several limitations and shortcomings, such as a single point of failure, a longer time for financial settlements, and weak transparency. Blockchain technology consists of a network of computer nodes that securely share a common ledger without the need of having any kind of intermediaries. In this paper, we present a novel blockchain-based architecture for a fully decentralized stock market. Our architecture is based on a private Ethereum blockchain to create a consortium network leveraging organizations that are already involved in the traditional stock exchange to act as validating nodes. In our architecture, the stock exchange trading logic is completely implemented on a smart contract, while considering the existing governmental market regulations. Since the new platform does not introduce significant changes to the stock exchange trading logic and does not eliminate any of the traditional parties from the system, our proposal promotes efficient adoption and deployment of decentralized stock exchange platforms. In addition, we present a proof of concept implementation of the new architecture, including the smart contract for trade exchange, as well as a virtualization-based test network to assess the platform performance. The test network consists of virtual nodes that run the developed stock exchange smart contract where we measure the buy-sell orders throughput and latency under different network sizes and trading workload scenarios. The obtained results have shown that the proposed trading platform can reach a throughput of 311.8 tx/sec, which is equivalent to 89% of the optimal throughput when the sending rate is 350 tx/sec. This throughput is largely sufficient to meet the requirement of major stock exchanges, such as Singapore stock market.

The Effects of Environmental Regulation on the Singapore Stock Market

This study examines the impact of environmental regulation on the Singapore stock market using the event study methodology. Several asset pricing models are used to estimate sectoral abnormal returns. Additionally, we estimate the change in systematic risk after the introduction of the carbon tax and related regulation. We conduct various robustness tests, including the Corrado non-parametric ranking test, the Chesney non-parametric conditional distribution approach, a representation of market integration, and Fama–French five-factor model. We find evidence showing that the environmental regulations tend to achieve their desired effects in Singapore in which several big polluters (including industrial metals and mining, forestry and papers, and electrical equipment and services) were negatively affected by the announcements of environmental regulations and carbon tax. In addition, our results indicate that the electricity sector, one of the biggest polluters, was negatively affected by the announcement of environmental regulations and carbon tax. We also find that environmental regulations seem to boost the performance of environmentally-friendly sectors whereby we find the alternative energy industry (focusing on new renewable energy technologies) experienced a sizeable positive reaction following the announcements of these regulations.

Multifactor Asset Pricing Model: Contemporary Evidence From Malaysia

Numerous studies have shown that stock returns can be predicted over time with the multifactor asset pricing model based on the Arbitrage Pricing Theory (APT). However, the application of the multifactor asset pricing model in emerging markets remains debatable, owing to differences in the economic, cultural, and political structure. Using both the time-series regression approach and machine learning approach, this study finds that Fama-French profitability risk factor is important for describing aggregate stock market returns in Malaysia. Additionally, these market returns are positively correlated with the crude palm oil price and the Singapore stock market index. This study shall thus shed new light on the application of the multifactor asset pricing model in Malaysia.

Volatility Spillover Effects from The US and Japan to the ASEAN-5 Markets and Among the ASEAN-5 Markets

This study examines volatility spillover effects from USA and Japanese to the ASEAN-5 equity markets and volatility spillover among the ASEAN-5 equity markets in the period January 1, 2004 through December 31, 2013. The whole time-period is divided into 3 periods as related to the world financial and economic crisis of 2008-2009, namely : pre-crisis, crisis and post-crisis. Bivariate GARCH (1,1) – FULL BEKK model is employed to simultaneously estimate the conditional variance between 7 different indexes. The following are the results of empirical research : The first, volatility spillover has a different nature and magnitude depending on the period of the pre crisis, crisis and post-crisis. Second , there is evidence that in the pre-crisis period, there are no volatility spillover among the ASEAN-5 stock markets, but the different results shown in the crisis and post-crisis period, during this period of volatility spillover occurs between the ASEAN-5 markets, but in times of crisis the magnitude is larger than the post-crisis. Internal volatility spillover occurs among ASEAN-5 is one-way (unidirectional). Philippine capital market is resistant to the crisis and easily affected by Indonesia, Thailand and Singapore stock market. While in the post-crisis, Indonesian stock market is easily affected by the stock market turmoil that occurred in Singapore and Thailand stock market. Third , there is evidence of volatility spillover from the U.S. and Japan to the ASEAN-5 markets. At the time of pre-crisis period, the Japanese market volatility spillover effect is greater than the American market. While in times of crisis and post-crisis, the U.S. market gives greater influence than the Japanese market. Four , the external relationship between U.S, Japan and the ASEAN-5 markets become more complex during the post-crisis. Five, the countries that have large spillover volatility is influenced by trade and FDI in the form of shares. The tendency is, the higher the trade relations and investor funds were invested in these countries the higher the dependence of the country with partner countries.

An Influence of Japan, U.S. and U.K. Stock Return Volatility in the Asia Stock Market: An Evidence Study of Singapore Stock Market

This paper proposes a three variables’ double threshold-GRACH model, and uses this model to discuss Japan, U.S. and U.K. stock return rate volatility on the influence of the Singapore stock market. The empirical result demonstrates that the proposed model discussing Japan, U.S. and U.K. stock return rate volatilities to the influence of the Singapore stock market return is indeed appropriate, and also the response to the Singapore stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news of the eight kinds of combinations of the proposed model. The information of Japan, U.S. and U.K. stock return rate volatilities affects the Singapore stock market returns’ volatility. Besides, Japan, U.S. and U.K. stock return volatilities are truly affects the variation risks of the stock market.

A Network Analysis of the Stock Market in Malaysia, Singapore and Indonesia

In this study, we investigate the stock market network among the stocks traded in Malaysia, Singapore and Indonesia using the minimal spanning tree approach. Based on the market capitalization, the monthly adjusted closing prices from 2016 until 2017 of 10 companies for each stock market are chosen to construct the network, and the most influential stocks between Malaysia, Singapore and Indonesia stock markets are identified. Findings of this study show that 3 out of 30 companies are identified as the most influential in the Malaysia, Singapore and Indonesia stock market.

Stock Market Reactions to Dividend Announcements: Empirical Evidence From the Singapore Stock Market

The present study investigates the 50 randomly selected companies from Singapore Stock Exchange to assess the impact of the dividend initiation announcement and omission announcement on the share prices of the companies under study. The study has analyzed the impact of dividend initiations announcement on the size of firms by dividing the firms into small and big categories. Further, the relationship between changes in dividend and company’s future earnings is also analyzed. The study finds that the dividend initiation announcement’s impact on the share prices of Singapore companies is trivial and uncertain.

Volatility Spillover Analysis Post Implementation of AEC 2015 Agreement: Empirical Study on ASEAN-5 Stock Market

Efforts to improve financial integration that continue to be implemented after the implementation of the Asean Economic Community 2015 agreement, can encourage increased integration of capital markets in countries within the region. This study was conducted to investigate the spillover of volatility between stock markets that accompanied the ongoing efforts of financial integration carried out by ASEAN member countries. Investigation of volatility spillover is done by applying Exponential GARCH method on time series daily data of stock return of ASEAN-5 countries period September 2016 - December 20, 2017. If previous studies found significant spillover of volatility from Singapore, Malaysia, Thailand and Philippines, the results of this study show that only Singapore's stock exchanges consistently have a significant impact on the Indonesian stock market. The turmoil in the Singapore stock market will be consistently transmitted to the Indonesian stock market. However, efforts to improve the financial integration carried out by ASEAN member countries have not consistently caused the turmoil in Malaysia, Thailand and the Philippines stock exchange to be transmitted to the Indonesian stock market.

Predictability of Technical Analysis on Singapore Stock Market, Before and After the Asian Financial Crisis

We investigate the predictability of technical analysis applied to the Singapore Straits Times Index. There are three trading rules – the Simple Moving Average, the Dual Moving Average and Trading Range Breakout with and without a one percent band – which are applied to undertake the prediction. Our findings conclude that the three indicators with and without the one percent band applied generate significantly positive returns for both the buy and sell signals in the periods before and after the 1997-98 Asian Financial Crisis coving bull run and bear markets and mixed markets. Our findings conclude that Singapore stock market is not as efficient as US stock market.

Financial Models to Study the Comparison between Indian Stock Prices Behavior with World’s Major Stock Exchange

The study analyzes the short and long term relationship between Indian and World major stock market. Secondary data was considered for the study which covers the daily closing prices from the period of 2003 until the end of 2013. We used Jarque Bera Test, Dickey Fuller Test, Augmented Dickey Fuller (ADF) test, Phillips- person (PP), and Ganger causality Test and co integration test to identify the normality, long/short run relationship and interdependency exist between National and International stock market. The study found that the Indian stock market is highly correlated with Singapore stock market on the other hand the return time series are found to be non-stationary at the zero level and the first order difference the return series are found to be stationary. The Ganger Causality exists between Indian stock market with Malaysia and Taiwan stock index. Finally, it was found that there is no Ganger causality exists between Indian stock market and USA, Indian stock market and Singapore.