User profiles for Wai Mun Fong
Wai Mun FongAssociate Professor, NUS Business School, National University of Singapore Verified email at nus.edu.sg Cited by 1896 |
A Markov switching model of the conditional volatility of crude oil futures prices
WM Fong, KH See - Energy Economics, 2002 - Elsevier
This paper examines the temporal behaviour of volatility of daily returns on crude oil futures
using a generalised regime switching model that allows for abrupt changes in mean and …
using a generalised regime switching model that allows for abrupt changes in mean and …
International momentum strategies: A stochastic dominance approach
This paper applies recent econometric tests of stochastic dominance to examine an enduring
puzzle in finance: the momentum effect in stock returns (J. Finance 48 (1993) 65). We use …
puzzle in finance: the momentum effect in stock returns (J. Finance 48 (1993) 65). We use …
Investor sentiment and the MAX effect
WM Fong, B Toh - Journal of Banking & Finance, 2014 - Elsevier
Bali et al. (2011) uncover a new anomaly (the “MAX effect”) related to investors’ desire for
stocks with lottery-like payoffs. Specifically, stocks with high maximum daily returns (high MAX) …
stocks with lottery-like payoffs. Specifically, stocks with high maximum daily returns (high MAX) …
Stochastic dominance and behavior towards risk: The market for internet stocks
Internet stocks registered large gains in the late 1990s, followed by large losses from early
2000. Using stochastic dominance theory, we infer how investor risk preferences have …
2000. Using stochastic dominance theory, we infer how investor risk preferences have …
Realized volatility and transactions
CC Chan, WM Fong - Journal of Banking & Finance, 2006 - Elsevier
This paper re-examines the impact of number of trades, trade size and order imbalance on
daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using …
daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using …
Chasing trends: recursive moving average trading rules and internet stocks
WM Fong, LHM Yong - Journal of Empirical Finance, 2005 - Elsevier
The recent rise and fall of Internet stock prices has led to popular impressions of a speculative
bubble in the Internet sector. We investigate whether investors could have exploited the …
bubble in the Internet sector. We investigate whether investors could have exploited the …
A stochastic dominance analysis of yen carry trades
WM Fong - Journal of banking & finance, 2010 - Elsevier
Yen carry trades have made headline news for over a decade. We examine the profitability
of such trades for the period 2001–2009. Yen carry trades generated high mean returns and …
of such trades for the period 2001–2009. Yen carry trades generated high mean returns and …
Risk preferences, investor sentiment and lottery stocks: A stochastic dominance approach
WM Fong - Journal of Behavioral Finance, 2013 - Taylor & Francis
Lottery stocks are a puzzle: individual investors value these stocks highly despite their low
average returns and high volatility (Kumar [2009]). I argue that individuals are attracted to …
average returns and high volatility (Kumar [2009]). I argue that individuals are attracted to …
Joint variance-ratio tests of the martingale hypothesis for exchange rates
There is considerable interest in whether exchange rates behave like martingales. Liu and
He tested the martingale hypothesis for exchange rates using the variance-ratio methodology …
He tested the martingale hypothesis for exchange rates using the variance-ratio methodology …
Modelling the conditional volatility of commodity index futures as a regime switching process
WM Fong, KH See - Journal of Applied Econometrics, 2001 - Wiley Online Library
Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity
markets. Volatility is a critical input in many of these applications. This paper examines …
markets. Volatility is a critical input in many of these applications. This paper examines …