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.

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

The evolution of stock market efficiency over time: A survey of the empirical literature

Journal Article
Kian-Ping Lim and Robert D. Brooks
Journal of Economic Surveys, Wiley-Blackwell, 25(1), 69-108
Publication year: 2011

Trade openness and the informational efficiency of emerging stock markets

Journal Article
Kian-Ping Lim and Jae H. Kim
Economic Modelling, Elsevier, 28(5), 2228-2238
Publication year: 2011

Why do emerging stock markets experience more persistent price deviations from a random walk over time? A country-level analysis

Journal Article
Kian-Ping Lim and Robert D. Brooks
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
Kian-Ping Lim
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
Kian-Ping Lim
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
Kian-Ping Lim, Robert D. Brooks and Jae H. Kim
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
Kian-Ping Lim
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
Kian-Ping Lim, Robert D. Brooks and Melvin J. Hinich
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
Kian-Ping Lim and Robert D. Brooks
Applied Financial Economics, Taylor and Francis, 19(2), 147-155
Publication year: 2009

Weak-form market efficiency and nonlinearity: Evidence from Middle East and African stock indices

Journal Article
Kian-Ping Lim
Applied Economics Letters, Taylor and Francis, 16(5), 519-522
Publication year: 2009

On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: A further note

Journal Article
Kian-Ping Lim and Robert D. Brooks
Applied Economics Letters, Taylor and Francis, 16(6), 649-652
Publication year: 2009

Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic

Journal Article
Kian-Ping Lim and Robert D. Brooks
Chaos, Solitons & Fractals, Elsevier, 40(3), 1271-1276
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
Kian-Ping Lim
Applied Economics Letters, Taylor and Francis, 16(11), 1129- 1132
Publication year: 2009

The weak-form efficiency of Chinese stock markets: Thin trading, nonlinearity and episodic serial dependencies

Journal Article
Kian-Ping Lim, Muzafar Shah Habibullah and Melvin J. Hinich
Journal of Emerging Market Finance, Sage, 8(2), 133-163
Publication year: 2009

The delay of stock price adjustment to information: A country-level analysis

Journal Article
Kian-Ping Lim and Chee-Wooi Hooy
Economics Bulletin, 30(2), 1609-1616
Publication year: 2010

The weak-form efficiency of Asian stock markets: New evidence from generalized spectral martingale test

Journal Article
Kian-Ping Lim and Weiwei Luo
Applied Economics Letters, Taylor and Francis, 19(10), 905-908
Publication year: 2012

Nonlinear predictability in G7 stock index returns

Journal Article
Kian-Ping Lim and Chee-Wooi Hooy
Manchester School, Wiley-Blackwell, 81(4), 620-637
Publication year: 2013

Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests

Journal Article
Kian-Ping Lim, Weiwei Luo and Jae H. Kim
Applied Economics, Taylor and Francis, 45(8), 953-962
Publication year: 2013

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

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]