By

Wing-Keung Wong 

Asia University, Taiwan.

Kai-Yin Woo

Hong Kong Shue Yan University, Hong Kong.

Wing-Kwong Au

Hong Kong Shue Yan University, Hong Kong.

Tai-Yuen Hon

Hong Kong Shue Yan University, Hong Kong.

Michael McAleer

Asia University, Taiwan.

e-ISBN: 978-625-7501-86-6
Publishing Date: June 15, 2022
File Size: 4,698 MB ‎
Length: xviii + 189 pages (PDF)
Language: ‎ English
Dimensions: ‎13,5 x 21,5 cm

This Book is completely open access. You can freely read, download and share with everyone.
This book has complied with five Journals papers and two working papers, a total of seven papers. For all the journal papers, we have obtained permission from the Editors/Editors-in-Chief to include all the journal papers in our book and we have all the rights for our working papers. Thus, we do not have any copyright issue in our book. In this book, we first write two papers (Chapters 1 and 2) to review the theory and literature on market efficiency, behavioural finance and market anomalies. Then, the readers can find it easy to understand the key concepts of this book. One of co-authors, Wing-Kwong Au, revises two papers (Chapters 3 and 4) which were written by Tai-Yuen Hon about the behaviour and investment decision of small investors in the Hong Kong Stock Market, with the empirical results basically consistent with the predictions of behavioural finance theory. Kai-Yin Woo guides two students to complete two working papers (Chapters 5 and 6) about hedging effectiveness and the performance of Initial Public Offerings (IPO) in Hong Kong. The results in these studies provide important implications for portfolio diversification and also suggest that IPOs in Hong Kong may underperform the market in the long run. Wing-Keung Wong and his research partners make the forecast generated from E/P Ratio and bond yield in order to beat stock markets (Chapter 7) and can conclude that Standardized Yield Differential (SYD) indicator is indeed a useful technical analysis tool for stock market investment. Five of the authors spend three years to complete this book “Market Efficiency, Behavioural Finance, and Anomalies”. However, one of our co-authors, Michael McAleer, passed away in July 2021. We are still eager to publish this book in KSP Library to commemorate his contributions and guidance.
Biographical Notes
Acknowledgments
Preface
Introduction
1. Review on market efficiency and anomalies
Wing-Keung Wong, Kai-Yin Woo, Wing-Kwong Au, Michael McAleer, Tai-Yuen Hon
Introduction
Market efficiency
Market anomalies
In defence of EMH
Conclusion
References
2. Review on behavioral finance with empirical evidence
Tai-Yuen Hon, Massoud Moslehpour, Kai-Yin Woo
Introduction
Behavioral finance
Conclusion
References
3. The behaviour of small investors in the Hong Kong Stock Market
Wing-Kwong Au, Tai-Yuen Hon
Introduntion
Study background
Literature review
Research questions and hypotheses
Data and method
Results
Conclusion
References
4. The dilemma of investment decision for small investors in the Hong Kong Stock Market
Wing-Kwong Au, Tai-Yuen Hon
Introduction
Literature review
Method and data
Results
Conclusion
References
5. Volatility between commodity and stock sectors: evidence in Hong Kong and the implication of hedging effectiveness
Kai-Yin Woo, Hok-Fu Wu
Introduction
Literature reviews
Methodology
Data
Emprical results
Conclusion
Appendices
References
6. Study on the performance of initial public offerings in Hong Kong
Kai-Yin Woo, Leong-Kwan Chan
Introduction
Literature review
Data
Methodology
Results
Conclusion
Appendices
References
7. Can the forecasts generated from E/P ratio and bond yield be used to beat stock markets?
Wing-Keung Wong, Boon-Kiat Chew, Douglas Sikorski
Introduction
The standardized yield differential (SYD) indicator
Data, test method and hypotheses
Findings
Discussion
Notes
References
 

Wing-Keung Wong 

Asia University, Taiwan.

Professor WONG, Wing-Keung obtained his Ph.D. from the University of Wisconsin-Madison, the USA with a major in Business Statistics (Statistics and Finance) and obtained his Bachelor degree from the Chinese University of Hong Kong, Hong Kong, with a major in Mathematics and a double minor in Economics and Statistics. Currently, he is a Chair Professor at the Department of Finance, Asia University. He was a Full Professor at the Department of Economics, Hong Kong Baptist University, and Deputy Director at Risk Management Institute, National University of Singapore. He appears in “Who’s Who in the World” and gets Albert Nelson Marquis Lifetime Achievement Award. 2017, Marquis Who’s Who. His Erdos number is 3. He is ranked top 1% by Social Science Research Network and in the list of top Taiwan economists and Asian economists and top economists by RePEc. He has published more than three hundred papers including papers published in some top journals. He has more than 11500 citations in Google Scholar, more than 9800 citations in Researchgate, and more than 4500 citations in Scopus. His h-index is 59, (40 since 2017) and i10-index is 230, (209 since 2017) by Google Scholar citation in December 2021. He is in the list of top (2nd, 0.8%) Taiwan economists (counted publications last 10 years), top (3rd, 1.2%)  Taiwan economists, (39th, 0.5) Asian economists (counted publications last 10 years), (44th, 0.6%) Asian economists, (459th, 0.7%) [World] authors [in Economics in last 10 years] and (1011th, 1.6%) [World] authors [in Economics], top (211st, 0.33%) in Number of Works, top (162nd, 0.25%) in Number of Distinct Works, top (759th, 1.2%) in Number of Distinct Works, Weighted by Number of Authors, top (37th, 0.06%) in Number of Journal Pages, top (229th, 0.36%) in Number of Journal Pages, Weighted by Number of Authors, top (515th, 0.80%) in Number of Abstract Views in RePEc Services over the past 12 months, top (852th, 1.3%) in Record of graduates, top (110th, 0.2%) in Closeness measure in co-authorship network, top (15th, 0.02%) in Betweenness measure in co-authorship network by RePEc in Feb 2022. I have 37 items ranked within 15%, 31 items ranked within 10%, 19 items ranked within 5%, 17 items ranked within 3%, 17 items ranked within 2%, and 11 items are within 1% among all Economists registered in RePEc in February 2022. He has been serving international academies, Government, society, and universities, providing consultancy to several Government departments and corporations, and giving lectures and seminars to several universities. For example, he has been serving as editor, guest leading editor, advisor, associate editor for some international journals, appointed as an advisor/member of various international associations/institutes, serving as a referee for many journals/conferences, supervising solely or jointly several overseas graduate students, appointed as an external reviewer and external examiner by other universities, and invited by many universities/institutions to present papers or conduct seminars. He has published more than four hundred papers including papers published in journals ranked as A* in ABDC, Q1 in SJR Quartile, Q1 in JCR, and 4 in AJG and including papers published in Contemporary Accounting Research, Annals of Applied Probability, Scientific Report, Mathematical Finance, European Journal of Operational Research, Journal of Business and Economic Statistics,  Economic Theory, Journal of Empirical Finance, Journal of Financial Markets, Journal of Economic Behavior and Organization, Economics Letters, Econometrics Journal, Quantitative Finance, Economic Inquiry, Energy Economics, Statistics and Probability Letters, Journal of Risk, Journal of Operational Research Society, Journal of Financial Econometrics, Journal of Forecasting, Journal of International Financial Markets, Institutions & Money, Transport Policy, Personality and Individual Differences, Journal of Time Series Analysis, Applied Economics, Journal of Multinational Financial Management, Journal of Behavioral Finance, Pacific-Basin Finance Journal, Annals of Finance, IMA Journal of Management Mathematics, Accounting & Finance, Economic Modelling, Energy Policy, Applied Mathematics Letters, Journal of International Consumer Marketing, Statistical Papers, International Review of Financial Analysis, Current Issues in Method and Practice, International Review of Economics & Finance, Studies in Nonlinear Dynamics and Econometrics, Current Issues in Tourism, Finance Research Letters, PLOS ONE, Physica A: Statistical Mechanics and its Applications, International Journal of Production Research, Resources Policy, World Economy, Emerging Markets Review, Econometrics and Statistics, Fractals, etc.

Kai-Yin Woo

Hong Kong Shue Yan University, Hong Kong.

Kai-Yin Woo is working at the Department of Economics and Finance of Hong Kong Shue Yan University. His research interests include economics of finance and applied econometrics. He has published papers in Economics Letters, Applied Economics, Economic Modelling, Journal of Macroeconomics, Journal of Housing Research, Applied Economics Letters, The Chinese Economy, etc.

Wing-Kwong Au

Hong Kong Shue Yan University, Hong Kong.

Wing-Kwong Au has been working at the Department of Social Work of Hong Kong Shue Yan University since 1990s. He is an Associate Professor / Director of China Liaison Office of the University; the Fellow of the University of Liverpool and the Registered Social Worker of Social Workers Registration Board, Hong Kong. He obtained his MPhil and Ph.D from the University of Liverpool and Master of Arts in Social Work from the University of Wales,. Bangor in the United Kingdom. His research interests include elderly services; community development; employment; social services in China (PRC); children and marginal youth; finance and youth. He has published the reports on Hidden Youth Drug Abusers; Die in Exhaustion and the Labour Compensation in Hong Kong; the Interventions of the Marginal Youth Behavioural Pattern; Positive Life of Young People in Eastern District of Hong Kong, and a conference paper in Young Night Drifters’ Social Workers and Health. He has also published two books “Eastern District Positive Life project 15th Anniversary: A Book of Reflections” and “The Interventions of the Marginal Youth Behavioural Pattern”. A survey report on “Children’s life in COVID19” is forthcoming. His current project is a book chapter in “Finance and Youth”.

Tai-Yuen Hon

Hong Kong Shue Yan University, Hong Kong.

Tai-Yuen Hon was an Academic Assistant/Lecturer/Senior Lecturer/Assistant Professor in the Department of Economics and Finance (formerly known as the Department of Economics) of Hong Kong Shue Yan University from 1993 to 2016 and is a Research Affiliate at the Business, Economic and Public Policy Research Centre of this University. He obtained his PhD in Business Administration from the Bulacan State University, and Master of Arts in Money, Banking and Finance from the University of Sheffield. He has published papers in Asian Profile, International Journal of Financial Management, International Journal of Humanities and Social Science, Journal of Emerging Issues in Economics, Finance and Banking, International Journal of Banking, Risk and Insurance, Journal of Risk and Financial Management, Journal of Economics Bibliography, Journal of Economics Library, Journal of Economics and Political Economy, Journal of Social and Administrative Sciences, Journal of Economic and Social Thought, Turkish Economic Review, Journal of Family and Economic Issues, International Journal of Revenue Management, Advances in Decision Sciences. He has also published a book ‘Monetarism and Behavioural Finance’.

Michael McAleer

Asia University, Taiwan.

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