I did my PhD at the Department of Econometrics and Business Statistics, Caufield Campus, Monash University from October 2005 to September 2009. This PhD journey is the most rewarding and memorable experience in my life.
Kian-Ping Lim
Financial Economist
My PhD Degree
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. Instead of focusing on absolute efficiency, the thesis advocates: (1) measuring the degree of informational efficiency (relative market efficiency); (2) tracking the evolution of market efficiency over time (evolving/time-varying market efficiency); (3) exploring the determinants of informational efficiency.
The thesis, “An Empirical Analysis of the Weak-form Efficiency of Stock Markets“, is available at Monash University Library.
My Most Satisfying Piece of Work During Candidature
Published on 27 July 2006 (co-author with Ming-Li Ng)
Published on 22 August 2008 (co-author with Ming-Li Ng)
Published PhD Chapters
Why do emerging stock markets experience more persistent price deviations from a random walk over time? A country-level analysis
Journal Article
Macroeconomic Dynamics, Cambridge University Press, 14(S1), 3-41 [Lead Article]
Publication year: 2010
Published Papers Written During Candidature
Ranking of efficiency for stock markets: A nonlinear perspective
Journal Article
Physica A: Statistical Mechanics and Its Applications, Elsevier, 376, 445-454
Publication year: 2007
Sectoral impact of shocks: Empirical evidence from the Malaysian stock market
Journal Article
Applied Financial Economics Letters, Taylor and Francis, 4(1), 35-39
Publication year: 2008
Financial crisis and stock market efficiency: Empirical evidence from Asian countries*
Journal Article
International Review of Financial Analysis, Elsevier, 17(3), 571-591
Publication year: 2008
Sectoral efficiency of the Malaysian stock market and the impact of the Asian financial crisis
Journal Article
Studies in Economics and Finance, Emerald Group Publishing, 25(3), 196-208
Publication year: 2008
Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets
Journal Article
Journal of International Financial Markets, Institutions and Money, Elsevier, 18(5), 527-544
Publication year: 2008
Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests
Journal Article
Applied Financial Economics, Taylor and Francis, 19(2), 147-155
Publication year: 2009
Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: A note on relative market efficiency
Journal Article
Applied Economics Letters, Taylor and Francis, 16(11), 1129- 1132
Publication year: 2009
Unpublished Papers Written During Candidature
Kian-Ping Lim, Melvin J. Hinich and Robert D. Brooks
2006, SSRN Working Paper
Events that shook the market: An insight from nonlinear serial dependencies in intraday returns
Kian-Ping Lim, Robert D. Brooks and Melvin J. Hinich
2008, SSRN Working Paper
Are stock returns time reversible? International evidence from frequency domain tests
Kian-Ping Lim
2009, SSRN Working Paper
The speed of stock price adjustment to market-wide information
Conference Presentation During Candidature
Cross-country determinants of weak-form stock market efficiency: a preliminary exploratory study
Kian-Ping Lim and Robert D. Brooks
Faculty Research Conference, 24-25 October 2007, Marysville, Victoria, Australia. [Program] [Assessors’ Reports]
FIRN Doctoral Tutorial, 11 December 2007, University of Technology Sydney, Sydney, New South Wales, Australia. [Program] [Discussant’s Comments] [Newsletters 1] [Newsletter 2]
20th Australasian Finance & Banking Conference, 12-14 December 2007, Shangri-La Hotel, Sydney, New South Wales, Australia. [Program]
The degree of stock price deviations from random walk: a cross-country analysis
Kian-Ping Lim and Robert D. Brooks
16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management, 2-4 July 2008, Queensland University of Technology, Brisbane, Queensland, Australia. [Program]