My PhD research, under the supervision of Prof. Robert Brooks and Prof. Paul Jae Kim, explores three empirical issues on the information efficiency of stock markets- nonlinearity, relative efficiency and evolving efficiency. This 4-year journey is the most productive phase in my research career, with not only the successful completion of the degree but also the publication of 18 papers written during candidature.
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This funded project computes liquidity measures for all public listed stocks in Bursa Malaysia, and then aggregated to the market level. The constructed firm- and market-level liquidity measures have great applications, which are taken up by two PhD students, respectively. Despite the small budget, the project has produced 5 papers- 3 published and 2 still under review.
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The Liquidity of Malaysian Stocks: Measurements, Determinants and the Effect on Firm Value
Fundamental Research Grant Scheme (FP020-2014B), MYR87,850 (Leader: Kian-Ping Lim; Members: Kim-Leng Goh, Chee-Wooi Hooy)
The Impact of Budget Deficit on Goods and Services Balances in Malaysia
Fundamental Research Grant Scheme (FRG0328-SS-1/2013), MYR57,992 (Leader: Hock-Tsen Wong; Member: Kian-Ping Lim)
Systematic Risk of Stock Returns in Asian Emerging Markets: Decomposition and Determinants
Fundamental Research Grant Scheme (FRG203/PMGT/6711253), MYR30,000 (Leader: Chee-Wooi Hooy; Members: Kian-Ping Lim, Robert Brooks)
A Robust Measure of Relative Informational Efficiency for the Malaysian Stock Market
Fundamental Research Grant Scheme (FRG0283-SS-2/2010), MYR43,000 (Leader: Kian-Ping Lim; Member: Tai-Hu Ling)
A New Measure of the Intensity of Capital Account Openness
Fundamental Research Grant Scheme (FRG0261-SS-2/2010), MYR40,000 (Leader: Tai-Hu Ling; Member: Kian-Ping Lim)
Stock Market Integration and Market Efficiency
Universiti Sains Malaysia RU Grant (1001/PMGT/816126), MYR99,615 (Leader: Chee-Wooi Hooy; Member: Kian-Ping Lim)
Foreign Direct Investment in Malaysia: An Economic Analysis
UMS Fundamental Research Grant (A002-16-ER/U047), MYR7,500 (Leader: Kian-Ping Lim; Member: Chee-Keong Choong)
Uncovering Non-linearity in Malaysian Foreign Exchange Rates
Fundamental Research Grant (A002-16-ER/U017), MYR7,280 (Leader: Kian-Ping Lim; Member: −)