PHD RESEARCH

 

I started my PhD study in 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. This PhD journey is the most rewarding and memorable experience in my life.

 

MY MOST SATISFYING PIECES OF WORK DURING PHD CANDIDATURE

 

MY PHD STUDY

Institution: Department of Econometrics and Business Statistics, Faculty of Business and  Economics, Monash University
Supervisors: Prof. Robert D. Brooks & Prof. Jae H. Kim
Candidature Start Date: 15 October 2005
Candidature End Date: 14 October 2009
Sponsor: Universiti Malaysia Sabah
Thesis Title:

An Empirical Analysis of the Weak-form Efficiency of Stock Markets

Thesis Format:

Thesis by Publication

 

 

PAPERS EXTRACTED FROM PHD THESIS CHAPTERS

  • Kian-Ping Lim and Robert D. Brooks. The evolution of stock market efficiency over time: a survey of the empirical literature [Chapter 2; Accepted for publication in Journal of Economic Surveys on 26/8/2009].

  • Kian-Ping Lim and Jae H. Kim. Trade openness and the informational efficiency of emerging stock markets [Chapter 3; Accepted for publication in Economic Modelling on 10/6/2011; Working paper version].

  • Kian-Ping Lim and Robert D. Brooks. Why do emerging stock markets experience more persistent price deviations from a random walk over time? A country-level analysis [Chapter 4; Accepted for publication in Macroeconomic Dynamics on 20/5/2009; Working paper version].

  • Kian-Ping Lim and Jae H. Kim. Return autocorrelations and salient news events: an empirical study of the Malaysian stock market during the Asian crisis [Chapter 5; Under review].

  • Kian-Ping Lim. The speed of stock price adjustment to market-wide information [Chapter 6; Under review; Working paper version].

 

PUBLISHED PAPERS WRITTEN DURING PHD CANDIDATURE

Below is the list of papers that have been researched during the course of my PhD candidature, though they are not selected for inclusion in the final thesis:

  • Kian-Ping Lim (2007) Ranking of efficiency for stock markets: a nonlinear perspective, Physica A: Statistical Mechanics and Its Applications, Elsevier, 376, 445-454.

  • Kian-Ping Lim (2008) Sectoral impact of shocks: empirical evidence from the Malaysian stock market, Applied Financial Economics Letters, Taylor and Francis, 4(1), 35-39.

  • Kian-Ping Lim (2008) Long-term dependence in world stock markets: does legal origin matter? ICFAI Journal of Applied Finance, ICFAI Press, 14(5), 57-68.

  • Kian-Ping Lim, Robert D. Brooks and Jae H. Kim (2008) Financial crisis and stock market efficiency: empirical evidence from Asian countries, International Review of Financial Analysis, Elsevier, 17(3), 571-591 [Top 25 Hottest Articles for 9 consecutive quarters since April-June 2007].

  • Kian-Ping Lim (2008) Sectoral efficiency of the Malaysian stock market and the impact of the Asian financial crisis, Studies in Economics and Finance, Emerald Group Publishing, 25(3), 196-208.

  • Kian-Ping Lim, Robert D. Brooks and Melvin J. Hinich (2008) Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets, Journal of International Financial Markets, Institutions and Money, Elsevier, 18(5), 527-544.

  • Kian-Ping Lim and Robert D. Brooks (2009) Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests, Applied Financial Economics, Taylor and Francis, 19(2), 147-155.

  • Kian-Ping Lim (2009) Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices, Applied Economics Letters, Taylor and Francis, 16(5), 519-522.

  • Kian-Ping Lim and Robert D. Brooks (2009) On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note, Applied Economics Letters, Taylor and Francis, 16(6), 649-652.

  • Kian-Ping Lim and Robert D. Brooks (2009) Price limits and stock market efficiency: evidence from rolling bicorrelation test statistic, Chaos, Solitons & Fractals, Elsevier, 40(3), 1271-1276.

  • Kian-Ping Lim (2009) Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: a note on relative market efficiency, Applied Economics Letters, Taylor and Francis, 16(11), 1129-1132.

  • Kian-Ping Lim, Muzafar Shah Habibullah and Melvin J. Hinich. The weak-form efficiency of Chinese stock markets: thin trading, nonlinearity and episodic serial dependencies, Journal of Emerging Market Finance, Sage, 8(2), 133-163.

  • Kian-Ping Lim and Robert D. Brooks (2009) Are emerging stock markets less efficient? A survey of empirical literature. In G.N. Gregoriou (Ed.) Emerging markets: performance, analysis and innovation, pp.21-38. London: CRC Press.

 

UNPUBLISHED PAPERS WRITTEN DURING PHD CANDIDATURE

 

CONFERENCE PRESENTATIONS DURING PHD CANDIDATURE

  • Kian-Ping Lim and Robert D. Brooks. Cross-country determinants of weak-form stock market efficiency: a preliminary exploratory study. Faculty Research Conference, 24-25 October 2007, Marysville, Victoria, Australia. [Program] [Assessors' Reports]

  • Kian-Ping Lim, and Robert D. Brooks. Cross-country determinants of weak-form stock market efficiency: a preliminary exploratory study. FIRN Doctoral Tutorial, 11 December 2007, University of Technology Sydney, Sydney, New South Wales, Australia. [Program] [Discussant's Comments] [Newsletters 1] [Newsletter 2]

  • Kian-Ping Lim and Robert D. Brooks. Cross-country determinants of weak-form stock market efficiency: a preliminary exploratory study. 20th Australasian Finance & Banking Conference, 12-14 December 2007, Shangri-La Hotel, Sydney, New South Wales, Australia. [Program]

  • Kian-Ping Lim and Robert D. Brooks. The degree of stock price deviations from random walk: a cross-country analysis. 16th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management, 2-4 July 2008, Queensland University of Technology, Brisbane, Queensland, Australia. [Program]

 

JOUNRAL REFEREEING DURING PHD CANDIDATURE

 

Last Updated (Sunday, 12 June 2011 06:16)