Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?

Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?

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Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the regiona€™s markets are reputed to be more a€œidiosyncratica€ and less reliant on economic and corporate fundamentals in their pricing. Using a model that draws on international asset pricing and economic theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asiaa€™s stock markets, compared to their G-7 counterparts, beyond the identified systematic factors and local fundamentals. We also show proof of a significant relationship between the strength of implementation of securities regulations and the a€œnoisea€ in stock pricing, which suggests that improvements in the regulation of securities markets in Asia could enhance the role of stock markets as stable and reliable sources of financing into the future.Country Domestic Stock Market Index BBG Ticker (Index, PX_LAST) Starting Date of Series Weighting World Stock Market Index BBG ... Asia-Pacific ex-Japan Australia 2/ Saamp;P/ASX 200 AS51 05/29/1992 Float-adjusted capitalization MSCIAC World MXWD ... 3/ Benchmark switched to Straits Times Index in January 2008.

Title:Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?
Author: Mr. Fabian Lipinsky, Li Lian Ong
Publisher:International Monetary Fund - 2014-02-26

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