I have created a FB Page “KP The Researcher” (click here). I find that it is more convenient to share links to research articles, current research issues, or economics news via Facebook.
In November 2012, I received an email from the Editorial Team of a corporate magazine, Top 10 of Malaysia, requesting an interview for its upcoming issue. After reading the company profile on the web (click here), I decided to accept the invitation. The vision of the company is noble:
To inspire people to become the best and to be proud of their achievements through the showcasing of excellent achievements and success stories of Malaysian corporations, institutions, organizations and individuals.
There are numerous researcher portal sites available on the web, which provide quick access to the publications of a researcher (click here for a review by Prof Rob Hyndman). After trying some of them, I have decided to sign up for the following portals:
Over the years, I received numerous email enquiries on topics related to market efficiency. My survey article in Journal of Economic Surveys provides a useful guide, as the paper reviews all the statistical tests for weak-form market efficiency.
If readers ask me which tools I would recommend, the variance ratio tests come first. This is because the existence of return autocorrelations has strong theoretical justifications, especially in the context of market reactions (or mis-reactions) to information. Moreover, the market efficiency literature has shifted from testing absolute efficiency to measuring relative efficiency. The latter objective can be achieved by using absolute variance ratio minus one.
The survey article by Charles and Darne (2009) provides an extensive review of the existing variance ratio tests. Jae Kim (my PhD supervisor) generously shares the R-codes for a battery of efficiency tests (click here). Among all the available statistical tests, my recommendation would be the wild bootstrap automatic variance ratio (WBAVR) test proposed by Kim (2009). The greatest appeal of this test is that the optimal value of lag order or holding period is selected automatically using a data-driven selection rule. Moreover, Monte Carlo simulations (see also Charles et al., 2011) show that the test possesses good small sample properties, and is robust to conditional heteroskedasticity that typically characterizes most financial time series. Applications of the WBAVR test include Kim et al. (2011), Lim and Kim (2011), Charles et al. (2012) and Lim et al. (2013).
If readers are bothered by the possible existence of nonlinear serial dependence in the returns series, I would then recommend the generalized spectral martingale test proposed by Escanciano and Velasco (2006). The selling point of this test can be found in my recent article in Applied Economics Letters.
This page provides a quick access to my papers in press. They can be cited using the DOI provided by the publishers.
I started my PhD study at Monash University on 15 October 2005 after receiving a staff scholarship from Universiti Malaysia Sabah (UMS). My thesis, under the supervision of Professor Robert Brooks and Professor Jae Kim, addresses empirical issues related to the weak-form efficiency of stock markets.
I dedicated my thesis to the founding Dean of Labuan School of International Business and Finance (LSIBF), the late Dr. Zainal Abidin Said. He was a visionary leader who aspired to take the school to greater heights- to be known nationally and internationally.
In the early years of my career, I was asked by The Technical Analyst to share my knowledge with the practitioners. This UK-based magazine is a publication devoted to technical analysis for trading and investment professionals.
I have contributed 4 articles as follows:
Kian-Ping Lim (2005) New theoretical light for technical analysis, The Technical Analyst, 9 (March/April), 38-39.
Kian-Ping Lim (2004) When does technical analysis work …and when doesn’t it? The Technical Analyst, 6 (September/October), 36-38.
Kian-Ping Lim and Venus Khim-Sen Liew (2004) Nonlinearity favours nonlinear TA techniques, The Technical Analyst, 4 (May), 38-40.
Venus Khim-Sen Liew, Kian-Ping Lim and Chee-Keong Choong (2004) South-East Asian stock markets follow a non-random walk, The Technical Analyst, 2 (March), 38-39.
It is indeed a good learning experience for me in writing non-technical articles. A sample can be downloaded here.
I noticed that there was an error when Web of Science (WoS) recorded my paper published in Physica A. The Elsevier’s website reported two affiliations, namely Universiti Malaysia Sabah and Monash University. However, only the latter appeared in WoS. Since this error has implication on institutional search, I decided to contact the technical support team at Thomson Reuters.
To submit a request for data change, you can directly fill in this online form (click here). The entire data change process took about three weeks, and the error has finally been rectified.
At present, many Malaysian universities define research quality in terms of publications in journals indexed by Thomson ISI/WoS. An earlier posting has compiled all my publications in the above database via the portal ResearcherID (click here).
It then prompted me to find out how significant my contribution is to my home university’s publications in ISI/WoS. To do that, I proceed as follows:
- Access Web of Knowledge via institutional login (click here);
- Search “Univ Malaysia Sabah” in Address;
- Set Timespan = All Years;
- Set Databases = SCI-Expanded, SSCI (since most universities are interested in those journals with impact factors).
The search results then display 519 documents, which comprises of 456 articles, 29 meeting abstracts, 24 proceedings papers, 21 reviews, 9 editorial materials, and 3 letters. This number is really meager (you can compute the number of article per staff per year) if the university aspires to be a Research University (I will do an analysis for other RUs in future posting- Now available, click here)
Next, I perform a simple analysis based on authors (and quantities). I am ranked 18 (not exactly as there are 5 authors with the same number). My ranking will improve as I have 5 papers not yet recorded by Web of Knowledge (click here for my in press/forthcoming papers). It is indeed shocking to learn that I am the top contributor in the social sciences category as recorded by SSCI, considering that I am still a senior lecturer.
I have dedicated a separate page for monthly updates on the top 25 authors in UMS. Click HERE for monthly updates starting June 2012.