The objective of this research is to examine the trends in the exchange rate markets of the ASEAN-5 countries (Indonesia (IDR), Malaysia (MYR), the Philippines (PHP), Singapore (SGD), and Thailand (THB)) through the application of dynamic moving average trading systems. This research offers evidence of the usefulness of the time-varying volatility technical analysis indicator, Adjustable Moving Average (AMA') in deciphering trends in these ASEAN-5 exchange rate markets. This time-varying volatility factor, referred to as the Efficacy Ratio in this paper, is embedded in AMA'. The Efficacy Ratio adjusts the AMA' to the prevailing market conditions by avoiding whipsaws (losses due, in part, to acting on wrong trading signals, which generally occur when there is no general direction in the market) in range trading and by entering early into new trends in trend trading. The efficacy of AMA' is assessed against other popular moving-average rules. Based on the January 2005 to December 2014 dataset, our findings show that the moving averages and AMA' are superior to the passive buy-and-hold strategy. Specifically, AMA' outperforms the other models for the United States Dollar against PHP (USD/PHP) and USD/THB currency pairs. The results show that different length moving averages perform better in different periods for the five currencies. This is consistent with our hypothesis that a dynamic adjustable technical indicator is needed to cater for different periods in different markets.
Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short- and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.
In this paper, we present a method to estimate the market parameters modelled by an asymmetric jump diffusion process. The method proposed is based on Kou's jump diffusion model while the market parameters refer to the market drift, the market volatility, the jump intensity on market price, and the rate of jump occurrence in a consistent manner throughout the entire paper. The model captures the asymmetric nature of the price fluctuation during up trend markets and down trend markets. The results are compared to conventional options to observe the impact of jump effects. The results from simulation show that the asymmetric jump diffusion model can estimate the fair prices of European call options and annuity better than the Black-Scholes model and the symmetric jump diffusion model proposed by Kou and Merton.
We examine the evidence from the long-run abnormal returns using data for 76 health care and biopharmaceutical initial public offerings (IPOs) listed in a 29-year period between 1986 and 2014 in the Association of Southeast Asian Nations (ASEAN) countries such as Indonesia, Malaysia, Singapore, Thailand, the Philippines, Vietnam, Myanmar, and Laos. Based on the event-time approach, the 3-year stock returns of the IPOs are investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). As a robustness check, the calendar-time approach, related to the market model as well as Fama-French and Carhart models, was applied for verifying long-run abnormal returns. We found evidence that the health care IPOs overperform in the long-run, irrespective of the alternative benchmarks and methods. In addition, when we divide our sample into 5 groups by listing countries, our results show that the health care stock prices of the Singaporean firms behaved differently from those of most of the other firms in ASEAN. The Singaporean IPOs are characterized by a worse post-offering performance, whereas the IPOs of Malaysian and Thai health care companies performed better in the long-run.
As growth potential in the U.S. market declines and regulatory constraints increase, providers of health-related services may look increasingly to international opportunities as a way to supplement the lost domestic market. In this article, critical factors bearing on the decision to compete in international markets are identified. Existing theories of multinational competition are expanded to provide a framework for analyzing international competition. Applied in the context of the proprietary hospital industry, the critical factors governing both the selection of foreign markets and mode of entry are proposed to be host country receptivity and market growth potential.
The rapid growth of corporate investment in the Malaysian private hospital sector has had a considerable impact on the health care system. Sustained economic growth, the development of new urban areas, an enlarged middle class, and the inclusion of hospital insurance in salary packages have all contributed to a financially lucrative investment environment for hospital entrepreneurs. Many of Malaysia's most technologically advanced hospitals employing leading specialists are owned and operated as corporate business ventures. Corporate hospital investment has been actively encouraged by the government, which regards an expanded private sector as a vital complement to the public hospital system. Yet this rapid growth of corporately owned private hospitals has posed serious contradictions for health care policy in terms of issues such as equity, cost and quality, the effect on the wider health system, and the very role of the state in health care provision. This article describes the growth of corporate investment in Malaysia's private hospital sector and explores some of the attendant policy contradictions.