User profiles for Wai Mun Fong

Wai Mun Fong

Associate 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 …

International momentum strategies: A stochastic dominance approach

WM Fong, WK Wong, HH Lean - Journal of Financial Markets, 2005 - Elsevier
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 …

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) …

Stochastic dominance and behavior towards risk: The market for internet stocks

WM Fong, HH Lean, WK Wong - Journal of Economic Behavior & …, 2008 - Elsevier
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 …

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 …

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 …

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 …

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 …

Joint variance-ratio tests of the martingale hypothesis for exchange rates

WM Fong, SK Koh, S Ouliaris - Journal of Business & Economic …, 1997 - Taylor & Francis
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 …

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 …