Valuation of Asian stock markets : financial system identification in high noise environments
98 p.
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2014
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| Online Access: | http://hdl.handle.net/10356/57746 |
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sg-ntu-dr.10356-577462023-05-19T06:09:03Z Valuation of Asian stock markets : financial system identification in high noise environments Au Yin Fung, Lee Lin Kew, Ong Sze Wei Cornelis A. Los Nanyang Business School DRNTU::Business::Finance::Stock exchanges 98 p. In this paper we investigate the financial-economic systems of six Asian countries - Taiwan, Malaysia, Singapore. Philippines, Indonesia and Japan - over the period 1986 through 1995 to determine how their stock markets, economies and financial markets are interrelated. The objective was to derive at a rational stock market valuation using a country's nominal GDP and a short term interest rate, based on a modified and flexible version of the Dividend Discount Model. The six linear systems were identified from the covariance matrices of the logarithmic transformations of the 39 comparable sets of observations. Various methods of analysis were used: spectral analysis, analysis of the information matrix (= inverse of the data covariance matrix), 2D bivariate noise/signal determination, 3D noise/signal determination and 3D system identification based on q = 2 and q = 1 3D projections. The last two "superfilter” methods were developed only in the past ten years by theoretical system analyst Kalman and economist Los. BUSINESS 2014-04-07T10:58:39Z 2014-04-07T10:58:39Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57746 Nanyang Technological University application/pdf |
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Nanyang Technological University |
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NTU Library |
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Asia |
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Singapore Singapore |
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DRNTU::Business::Finance::Stock exchanges |
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DRNTU::Business::Finance::Stock exchanges Au Yin Fung, Lee Lin Kew, Ong Sze Wei Valuation of Asian stock markets : financial system identification in high noise environments |
| description |
98 p. |
| author2 |
Cornelis A. Los |
| author_facet |
Cornelis A. Los Au Yin Fung, Lee Lin Kew, Ong Sze Wei |
| format |
Final Year Project |
| author |
Au Yin Fung, Lee Lin Kew, Ong Sze Wei |
| author_sort |
Au Yin Fung, Lee Lin Kew, Ong Sze Wei |
| title |
Valuation of Asian stock markets : financial system identification in high noise environments |
| title_short |
Valuation of Asian stock markets : financial system identification in high noise environments |
| title_full |
Valuation of Asian stock markets : financial system identification in high noise environments |
| title_fullStr |
Valuation of Asian stock markets : financial system identification in high noise environments |
| title_full_unstemmed |
Valuation of Asian stock markets : financial system identification in high noise environments |
| title_sort |
valuation of asian stock markets : financial system identification in high noise environments |
| publishDate |
2014 |
| url |
http://hdl.handle.net/10356/57746 |
| _version_ |
1770564171617796096 |