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Pillars of Research

  1. Financial Innovation:
    1. [with Corporate Finance] “Central Bank-issued Digital Currency (CBDC): Implications for small and open economies” by Xie Taojun (SMU) and Joseph D. Alba (Nanyang Technological University): the study will examine the implications of CBDC for capital flows and exchange rates via counterfactual simulations.

 

  1. Financial Inclusion:
    1. Understanding Financial Inclusion:  A research team from the Sim Kee Boon Institute for Financial Economics have begun research on financial inclusion to understand whether access to finance is good for individuals. In November 2016, the team comprising Associate Professor Roger Loh, Assistant Professor Hyun-Soo Choi, Assistant Professor Aurobindo Ghosh and Senior Lecturer Hong Dong began gathering data to investigate the determinants of financial inclusion and the outcomes of financial inclusion.  The team aims to look at factors such as wealth, income, literacy and residence type to see how these factors determine financial inclusion, which they define as account usage, whether digital or physical. It will look at outcomes such as wealth, salary, delinquency, consumption, residence type, and borrowing capacity to see whether financial inclusion in the past leads to better socio-economic outcomes.

 

  1. Asset Management:
    1. SKBI Investment and Expectations Survey: the first survey was conducted in December 2016 which piggybacked on the Singapore Index of Inflation Expectations (SInDEx).  The aim of the survey was to understand the investment behaviours of Singaporean households in relation to their socio-economic background.  The latest survey was conducted in December 2017 and results were released on 16 January 2018 (https://www.smu.edu.sg/news/2018/01/16/broad-based-cyclical-recovery-prompts-singaporeans-inflation-expectations-inch-297).    
       
    2. Real Estate Market: the project examines industry, finance and regulatory issues in Singapore’s Real Estate Market including Real Estate Investment Trusts (REITs), house prices and government cooling measures on the property market. It aims to provide insights on how the real estate market impacts the larger economy. 

 

  1. Capital Markets:
    1. “Commodity Return Predictability: Evidence from Implied Variance, Skewness and their Risk Premia” by Marinela Adriana Finta (SMU) and José Renato Haas Ornelas, Banco Central do Brasil):  This paper investigates the role of realized, implied and risk premium moments (variance and skewness) for commodities’ future returns. We estimate these moments from high frequency and commodity futures option data that results in forward-looking measures. Risk premium moments are computed as difference between implied and realized moments. We highlight, from a cross-sectional and time series perspective, the strong positive relation between commodity returns and implied skewness. Moreover, we emphasize the high performance of skewness risk premium. Additionally, we show that their portfolios exhibit the best risk-return tradeoff. Most of our results are robust to other factors such as the momentum and roll yield.
       
    2. “Risk Premium Spillovers among Stock Markets: Evidence from Higher-Order Moments” by Marinela Adriana Finta (SMU) and Sofiane Aboura (University of Paris XIII): This paper investigates the volatility, skewness and kurtosis risk premium spillovers among U.S., U.K., German and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress and after 2014, cross-market and cross-moment spillovers increase, and this is mirrored by a decrease in within spillovers. We document strong bi-directional spillovers between skewness and kurtosis risk premia and emphasize the prominent role played by the volatility risk premium. Finally, we show that several macroeconomic and financial factors increase with the intensity of risk premium spillovers.
       
    3. “Volatility Spillovers among Oil and Stock Markets in the US and Saudi Arabia” by Marinela Adriana Finta (SMU), Bart Frijns and Alireza Tourani-Rad both from Auckland University of Technology): In this paper, we use high frequency and “identification via changes in volatility” to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the time when oil's trading hours overlap with the US and Saudi Arabia stock markets, the volatility spillover from oil to the stock markets is higher than the other way around. We highlight the importance of taking into consideration the information present during continuous trading hours of oil and especially, as well as during simultaneous trading hours with the stock markets. We compare the findings generated by structural VAR based with those of a traditional reduced-form VAR analysis. We observe that that contemporaneous effects are necessary to be taken into account since the indirect transmission of volatility occurs through them.
       
    4. “Time-varying Contemporaneous Spillovers during the European Debt Crisis by Marinela Adriana Finta (SMU), Bart Frijns and Alireza Tourani-Rad (both from Auckland University of Technology): This paper considers contemporaneous spillover effects between Germany and four peripheral European countries that were most affected by the European Debt Crisis, and provides evidence of bi-directional spillovers among these equity markets. We document that there is asymmetry and time-variation in contemporaneous spillovers. Particularly, contemporaneous return spillovers from Germany to the peripheral equity markets is higher than the other way around. We show that European Debt Crisis led to a decrease in the contemporaneous spillover effects.
       
    5. “Market Sentiment” project: the project which exploits econometric and textual analysis (big data) to conduct longitudinal and cross sectional study on the pricing effect of investor sentiment. 

 

  1. Corporate Finance:
    1. [with Financial Innovation] “Central Bank-issued Digital Currency (CBDC): Implications for small and open economies” by Xie Taojun (SMU) and Joseph D. Alba (Nanyang Technological University): the study will examine the implications of CBDC for capital flows and exchange rates via counterfactual simulations.

 

Last updated on 21 Mar 2018 .