Straits Times Index Research Articles

Corporate Governance of State-Owned Enterprises: An Empirical Survey of the Model of Temasek Holdings in Singapore

This paper explores the effect of Temasek Holdings Pte Ltd, one of Singapore’s two prominent sovereign wealth funds, on the corporate governance of its target companies in Singapore. It compares companies associated with Temasek with the other listed companies on the Singapore Exchange that form the components of the Straits Times Index. Based on these companies’ 2012 annual reports, this paper finds that the companies in which Temasek has direct stakes have a higher proportion of independent directors and are more likely to have an independent director serving as chairman, indicating a higher quality of corporate governance. However, Temasek’s success is not necessarily a result of law, but may have more to do with its self-disciplinary nature and the hands-off approach of the Singaporean government. This means that the Temasek model may not easily be copied by state-owned enterprises in other countries. However, the fact that Temasek plays like an active investor and complies with corporate law may prove that state-owned enterprises may still enjoy a higher quality of corporate governance, and that sovereign wealth funds may behave akin to responsible investors.

PENGUJIAN MARKET EFFICIENCY: PEMBUKTIAN FENOMENA ANOMALI PASAR PADA STRAIT TIMES INDEX DI BURSA EFEK SINGAPURA

Market efficiency has become a vital discussion so far. Therefore, it is a good effort when the study attempts to analyze factors in market efficiency. This study tries to investigate the existence of the market anomalies such as Monday Effect, Week-four Effect, and January Effectin Singapore Stock Exchange during the period of 1 January 2010 to 31 December 2012.Using non-random sampling technique, especially the purposive sampling, this study took 27 companies from the Strait Times Index as the sample of this study. The data used in this research comes from the daily closing prices of the samples. The three hypotheses are tested by means of independent sample t-test. The result shows that there is no evidence of the market anomalies phenomenon on Strait Times Index. Neither of Monday Effect, Weekfour Effect, and January Effect exist in Singapore Stock Exchange during the period of this study. The disappearance of this phenomenon is suspected as a result of the global economic crisis which led to changing the investors trading behavior in capital market. Furthermore, the characteristic of the Singaporean investor and the Governments policy about tax regulation are also another reason why this phenomenon doesnt exist in Strait Times Index.

Nonlinearity and Chaos Testing on South East Asia Countries Capital Markets: A Comparative Study from Indonesia, Philippine and Singapore Capital Market Indices

This research paper tries to detect the nonlinearity and chaos structure in the South East Asia Countries Capital Markets. The capital markets of three South East Asia Countries are chosen: Indonesia, Philippine, and Singapore. Daily return data of Capital Markets composite indices are observed: Straits Times Index (STI) of Singapore Exchange from December 06, 1985 to March 15, 2000, Pilipino Stock Exchange Index (PSEi) of Philippines Stock Exchange from March 1, 1990 to December 31, 2007 and Jakarta Composite Index (JCI) of Indonesia Stock Exchange from January 05, 1988 to December 31, 2007. The results of each observation are compared to analyze the implications of each country in global, regional and local position of their competition in the continuously changing world of interdependency environment. The implications of chaos finding in the three ASEAN countries capital markets to the current issues of AFAS on Financial Services, Harmonization among ASEAN countries capital markets in the ASEAN region and ASEAN integration on Financial Services are analyzed.BDS statistic, R/S Analysis, Correlation Dimension and Lyapunov Exponent as our tools for nonlinearity and chaos testing are applied.Nonliterary evidence in Jakarta Composite Index, Pilipino Stock Exchange Index and Straits Times Index are found. Although only low dimensional chaos in Straits Times Index and Jakarta Composite Index are found the evidence of chaotic process is mostly confirmed through Lyapunov Exponent in all indexes rather than through Correlation Dimension.

The Effects of Interest Rates Volatility on Stock Market Returns in Malaysia and Singapore

This research examines the eff ects of interest rates volatility on stock market returns in Malaysia and Singapore. The data used are market returns on the FBM Kuala Lumpur Composite Index (FBM KLCI) and 3-months deposit yields in Malaysia over the period of September 1999 to December 2010. For the Singaporean market, the monthly data of market returns on the Straits Times Index (STI) and 3-months deposit yields in Singapore during the same period are used. Two separate GARCH (1,1) models are applied for Malaysia and Singapore. Results suggest that interest rate volatility in each country has a strong positive relationship with its respective stock market volatility. The results also show that the volatility of interest rates has a negative relationship with the stock market return but the relationship is insignificant. Keywords: Interest rates, stock market, GARCH, Malaysia, Singapore, FBM KLCI, STI.

Analisi Hubungan Indeks Dow Jones, Indeks Hang Seng, Indeks Nikkei, Indeks Straits Times Dengan Indeks Harga Saham Gabungan

The aim of the present study was to investigate the relation between Dow Jones index, Hang Seng index, Nikkei index, Straits Times index and IHSG (the composite stock index of Indonesia Stock Exchange). Data were analyzed through use of correlation analysis. Results indicate that there is significant correlation analysis. Results indicate that there is significant correlation between dow jones index, Hang Seng index, Nikkei index, Straits Times index and IHSG. The Implications for future research are discussed.

Hedging and Optimal Hedge Ratios for International Index Futures Markets

This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock Index Futures, Hang Seng Index Futures, Singapore Straits Times Index Futures, and Korean KOSPI 200 Index Futures. The effectiveness of these ratios is also evaluated. The results indicate that the methods of conducting optimal hedging in different markets are not identical. However, the empirical results confirm that stock index futures are effective direct hedging instruments, regardless of hedging schemes or hedging horizons.

The structure of dynamic correlations in multivariate stochastic volatility models

This paper proposes two types of stochastic correlation structures for Multivariate Stochastic Volatility (MSV) models, namely the constant correlation (CC) MSV and dynamic correlation (DC) MSV models, from which the stochastic covariance structures can easily be obtained. Both structures can be used for purposes of determining optimal portfolio and risk management strategies through the use of correlation matrices, and for calculating Value-at-Risk (VaR) forecasts and optimal capital charges under the Basel Accord through the use of covariance matrices. A technique is developed to estimate the DC MSV model using the Markov Chain Monte Carlo (MCMC) procedure, and simulated data show that the estimation method works well. Various multivariate conditional volatility and MSV models are compared via simulation, including an evaluation of alternative VaR estimators. The DC MSV model is also estimated using three sets of empirical data, namely Nikkei 225 Index, Hang Seng Index and Straits Times Index returns, and significant dynamic correlations are found. The Dynamic Conditional Correlation (DCC) model is also estimated, and is found to be far less sensitive to the covariation in the shocks to the indexes. The correlation process for the DCC model also appears to have a unit root, and hence constant conditional correlations in the long run. In contrast, the estimates arising from the DC MSV model indicate that the dynamic correlation process is stationary.

Evidence and Determinants of Real Estate Bubbles: The Case of Singapore

This paper examines the evidence of real estate bubbles within Singapore's private residential market from 1978 to 2004. The determinants of real estate bubbles are also examined. The analysis generates two principle conclusions. First, using unit root tests and cointegration tests, we found evidence of explosive characteristics in the property price index as well as the accommodation index indicating the presence of real estate bubbles in the Singapore private residential market. However, in conducting a robustness check using the variance bounds test, fundamental property prices were just as volatile as actual observed prices. Therefore, evidence of real estate bubbles in Singapore's private residential market is inconclusive. Second, using polynomial distributed lag analysis, it was found that increases in domestic credit growth and growth in the Straits Times Index (STI) are related to the increase in the percentage deviation between actual property prices and calculated fundamental values. Real interest rates and Gross Domestic Product (GDP) growth were not significantly related to the deviation between actual and fundamental real estate prices.

Sensitive Dependence on Initial Condition (SDIC) on the Three South East Asian Countries Capital Markets: A Comparison to Fully Deterministic and Pure Chaotic Models

This research paper tries to detect the chaos structure on the three South East Asian Countries Capital Markets by investigating one of chaos attributes – Sensitive Dependence on Initial Condition (SDIC) - which can describe phenomenon of crisis, order and disorder. Knowledge of sensitivity to any changes or perturbation is important for understanding instability of Asia Capital Market due to the impact of future implementation of ASEAN Charter through multilateral agreement ASEAN blueprint on AFAS (ASIAN Free Trade Agreement on Services) of Financial Services. SDIC is tested through performing positive largest (maximum) Lyapunov Exponent. This research paper also compares the three South East Asian Countries Capital Markets to chosen renowned fully deterministic and pure chaos models - Logistic Equation and Henon Map. Comparing to chosen renowned pure and fully deterministic chaos models - Logistic Equation and Henon Map- will provide broad view of analysis of SDIC on STI, PSEi & JCI indices series. The capital markets of three South East Asian Countries - Indonesia, Philippine, and Singapore - are chosen. Daily return data of Capital Markets composite indices from January 01, 1991 to December 31, 2007 with 4435 points of each series are observed: Straits Times Index (STI) of Singapore Exchange, Pilipino Stock Exchange Index (PSEi) of Philippines Stock Exchange and Jakarta Composite Index (JCI) of Indonesia Stock Exchange. Since there are some different algorithms and due to limitations of each algorithm for calculating Lyapunov exponent this research paper also tries to investigate some different algorithms and their results to convince of SDIC finding. Through using different algorithms of Lyapunov Exponent testing will assure of proofing SDIC. Two different Lyapunov Exponent algorithms of Wolf et al. (1985) algorithm and of Rosenstein et al. (1993) and Kantz (1994) algorithm as our tools for testing one of chaos attributes – SDIC - are applied. The evidence of chaotic process – SDIC - is confirmed through positive largest Lyapunov Exponent in all pure chaotic models by using two different algorithms of SDIC testing. The evidence of chaotic process SDIC is confirmed in all three capital markets through Wolf algorithm. SDIC are found through Rosenstein et al. and Kantz algorithm in JCI and STI series only. Testing results of SDIC through Rosenstein et al. and Kantz algorithm for all capital market return series suggests existence of noise in capital market data series to be filtered out. Other types of algorithms for comparison are also needed for further research.

Common stochastic volatility trends in international stock returns

The aim of this work is to capture common stochastic trends in weekly volatilities of the Dow Jones, Nikkei, Hang Seng and Strait Times index using a multivariate stochastic volatility (SV) model. The results suggest a very high correlation among the volatility innovations, so that it is examined whether the four series share any common stochastic trends. A Principal Component Analysis and a Factor Analysis in the state space setting reveal that two common stochastic trends can be found to underlie the volatility series. The resulting linear combinations of the volatility series no more exhibit any stochastic trend but are stationary in the state space framework. Thus, it can be concluded that volatilities of the four stock indexes are in essence co-persistent.

Inter-relationship between performance of Bursa Malaysia and foreign stock markets

This paper explores the general perception that the Malaysian stock market is influenced by leading overseas stock markets. Employing correlation analysis comparison was made between the performance ofBiirsa Malaysia's Composite Index and six stock market indices namely Straits Times Index, Hang Seng Index, Nikkei 225 Stock Average, Australia All Ordinaries Index, Dow Jones Industrial Average Index and Financial Times 100 Index. This study also seeks to determine ifthere is any significant stability ofcorrelations over time. These indices were studied over a period offifteen years from I January 1990 to 31 December 2004, beginning with the cessation oftrading ofMalaysian shares on the Singapore stock exchange, which is synonymous with the pre-Asian financial crisis period, the crisis period and a post crisis period of almost five years. The study found that the, daily returns of the Composite Index over the period is positively co-related with the foreign indices indicating that the markets were moving in the same direction, in other words there is interdependency between the stock markets. However, the low to moderate correlation refutes the belief that the Malaysian stock market is influenced by the performance ofthe major stock markets. The study also found that generally the correlations are unstable over lime.
 
 
 
 
 
 

An investigation into the extent of beta instability in the Singapore stock market

This paper explores the issue of beta instability in the Singaporean stock market over the period 1986 to 1993. Analysis of the full eight-year interval reveals a very high incidence of beta instability, namely, at about 40% of the individual stocks tested. However, this sample straddles a listing change between the Singapore and Kuala Lumpur markets which occurred at the beginning of 1990. Accordingly, to assess what impact this listing change may have on our results, we examine the four-year sub-periods either side of the listing change, as well as the four-year sub-period which straddles the listing change. A comparison of our results across these different smaller overlapping subperiods indicates an incidence of beta instability for individual stocks at about 20% or less – a somewhat lower level than that observed for the eight-year sample. Hence, while this analysis suggests an absence of a listing change effect on beta stability, a sample length effect may exist. Our results are largely insensitive to at least three different factors. First the results are insensitive to whether betas are estimated by OLS or the Dimson (1979)technique. Second the results are insensitive to whether the Straits Times Index or the Morgan Stanley Country Index for Singapore is used to measure the market returns. Finally the results are insensitive to survivorship bias.