Regulatory changes
  • ESG Disclosures in Asia Pacific

    Source: Piotr Zembrowski, CFA, Mary Leung, CFA
    Date Submitted: 04 Aug 2019
    Views: 117
    Downloads: 15
    ESG disclosures by listed companies are an integral tool for investors who integrate ESG into their process. How are regulators and exchanges in Asia Pacific shaping their ESG disclosure regimes to meet investors' needs?
  • Self Regulatory Organizations (SROs) in India's securities market

    Date Submitted: 02 Aug 2019
    Views: 77
    Downloads: 4
    A response of the Indian Association of Investment Professionals, a member society of the CFA Institute, to SEBI's Consultation Paper on Self Regulatory Organizations (SROs) in Securities Market. 
  • Vietnam’s star rises

    Source: Christopher Vass, senior product manager, FTSE Russell
    Date Submitted: 02 Aug 2019
    Views: 3781
    Downloads: 0
    Amid the trade tension that has been felt globally Vietnam has emerged as one of the fastest growing countries in the East. This economic expansion is mainly driven by Vietnam's transformation into a global manufacturing hub. 
  • Malaysian banking industry: Regulatory landscape

    Source: Ong, Justin,
    Date Submitted: 02 Aug 2019
    Views: 254
    Downloads: 37
    Shifts in Malaysia’s economic priorities and structure will no doubt present a new set of challenges for the financial industry, and banks have to be ever-ready. What are the emerging risks and trends that financial institutions are facing today?
  • Managing conduct risk: Building trust in business conduct

    Source: Ong, Justin ,
    Date Submitted: 02 Aug 2019
    Views: 230
    Downloads: 23
    Conduct is a lens into the culture of organizations. Conduct failings seem to be widespread across several jurisdictions, cut across financial services organizations and involve both the retail and wholesale sides of business.
  • The end of LIBOR in 2021: How prepared are you?

    Source: Ong, Justin,
    Date Submitted: 02 Aug 2019
    Views: 3291
    Downloads: 890
    LIBOR is the underlying interest rate used in various financial instruments and millions of contracts around the world. The transition away from it will be one of the most challenging transformation programmes faced by the finance industry.
  • Basel III: Post-crisis reforms

    Source: Ong, Justin ,
    Date Submitted: 01 Aug 2019
    Views: 34
    Downloads: 2
    In December 2017, the Basel Committee on Banking Supervision (BCBS) published the final revisions to the Basel III package of post-crisis reforms to global prudential bank standards. Deloitte presents a condensed overview of the proposed changes. 
  • Are the Eurozone and the ECB turning Japanese?

    Source: Philip Lawlor, managing director, global markets research, Robin Marshall, director, fixed income research FTSE Russell
    Date Submitted: 17 Jul 2019
    Views: 624
    Downloads: 0
    As ECB President Mario Draghi expresses concerns about the slowdown in the Eurozone, what lessons can the ECB learn from Japan's experience and what scope is there for further quantitative easing?
  • US-China standoff catches US economy at low ebb  

    Source: Philip Lawlor, managing director, head of global markets research
    Date Submitted: 22 May 2019
    Views: 138
    Downloads: 0
    The pickup in headline first-quarter US GDP growth sent out false signals about the underlying health of the US economy, says Philip Lawlor, head of global markets research at FTSE Russell.
  • Leading global capital markets towards a new era

    Source: Stephen Wong, Alvin Cheung, Johnson Kong, Gloria Luo, Serena Chow, Natalie Lau
    Date Submitted: 28 Jun 2019
    Views: 585
    Downloads: 10
    This policy review on ESG reporting for corporates and investors in Hong Kong highlights the city's potential for channelling global capital into ESG assets and leveraging finance to catalyse sustainable development.

    This report qualifies for 1.0 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits
  • 2020 GIPS® Standards: key insights from exposure draft and commentary

    Source: Alexander Helter, CFA, FRM, CAIA, CIPM
    Date Submitted: 11 Apr 2019
    Views: 688
    Downloads: 24
    This white paper highlights key changes between the 2010 GIPS® Standards and the 2020 GIPS® Standards Exposure Draft. It summarizes key points for consideration by firms looking to claim GIPS® compliance.
  • Hayne's recommendations for Australia's financial services industry

    Source: Rudy Soobaroyen
    Date Submitted: 03 Apr 2019
    Views: 774
    Downloads: 18
    Royal Commissioner Kenneth Hayne ended his landmark investigation into the misconduct in Australia's financial services industry with the submission of a three-volume report, containing 76 recommendations. We present the highlights. 
  • What impact will the Royal Commission have on Australia's outsourcing business processes?

    Source: Boris Bieler
    Date Submitted: 27 Mar 2019
    Views: 110
    Downloads: 0
    If students and young people are the future of the industry, then we must seek to embed ethics in university courses, which will prepare students for real-life dilemmas, writes Boris Bieler CFA, guest lecturer at Macquarie University and UTS.
  • Multi-asset: What’s in a name?

    Source: Penny Ning Pan, Senior Product Manager, FTSE Russell
    Date Submitted: 08 Apr 2019
    Views: 1463
    Downloads: 51
    The terms that are used to describe funds' level of risk, such as conservative, balanced, and aggressive, carry some ambiguity. Can they be replaced by more objective terms based strictly on volatility measures?
  • Playing in the big leagues: Assessing China’s potential systemically important banks

    Source: Stanley Tsai, Ke Chen
    Date Submitted: 07 May 2019
    Views: 2063
    Downloads: 43
    The report assess the systemic importance of China’s banks by applying a fundamental multi-factor methodology to evaluate the risks any given bank might pose to the financial system.

    This article qualifies for 1.0 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 
  • Disruptive innovation in healthcare industry

    Source: Mohd Sedek Bin Jantan, Lim Zhi Cong
    Date Submitted: 28 Feb 2019
    Views: 268
    Downloads: 14
    Governments can play many roles in fostering disruptive innovation, by regulating frameworks, enabling new technology development, mitigating risk, and delivery of public services. What Malaysia can learn from other markets?
  • Lender moral hazard in state-owned banks: Evidence from an emerging economy

    Source: Balagopal Gopalakrishnan, Joshy Jacob, Ajay Pandey
    Date Submitted: 11 Feb 2019
    Views: 158
    Downloads: 14
    India's public sector banks are more likely to lend to riskier firms than private sector banks. Their lending choices include riskier service sector firms, those that borrow by pledging promoter shares and those likely to be impacted by political change.

    The paper was presented in the 2018 India Finance Conference held at Indian Institute of Management, Calcutta, India.
  • The abnormal return around cross-listing between emerging and developed markets

    Source: Fan John Zhang, Jun Chen, Bart Frijns, Alireza Tourani-Rad
    Date Submitted: 17 Jan 2019
    Views: 849
    Downloads: 14
    A study of Chinese firms cross-listed on Chinese and Hong Kong stock markets shows abnormal positive stock returns at the times of an announcement of a cross-listing and its launch.
  • Macro issues of microfinance in Sri Lanka

    Source: Anshari Perera
    Date Submitted: 22 Nov 2018
    Views: 200
    Downloads: 0
    In a quarterly report, Frontier Research focuses on government policy responses to recent developments in the microfinance sector in Sri Lanka, and their likely impact. 
  • Drivers and policies affecting China's cross-border investment and financing in aviation

    Source: David Yu
    Date Submitted: 24 Oct 2018
    Views: 328
    Downloads: 20
    Chinese outbound M&A deals have grown exponentially over the past five years. 
    Aviation, including airports, leasing and technology, as well as tourism are favoured industries that are promoted because of policy considerations and strong underlying stability and economics. 
  • Changing geography of aviation finance funding

    Source: David Yu
    Date Submitted: 22 Oct 2018
    Views: 378
    Downloads: 25
    New players in the aircraft leasing business, such as commercial banks and insurance companies are adding to the geographic diversity of funding sources. This paper analyses new trends and the roles of the newcomers in the sector.
  • New Aviation Silk Road – trends, drivers, and lessons in cross-border investments and M&A in aviation

    Source: David Yu
    Date Submitted: 22 Oct 2018
    Views: 746
    Downloads: 21
    A review of cross-border investment and M&A activity in the aviation industry, highlighting a growing number of global outbound investments from Chinese investors. What are the drivers of their investment activity and lessons to be learned? 
  • Rethinking the corporate governance model

    Source: Nga Pham, PhD, CFA
    Date Submitted: 18 Oct 2018
    Views: 820
    Downloads: 0
    As Australia grapples with weaknesses in corporate governance in the financial industry revealed by the Productivity Commission and the Banking Royal Commission, more corporate governance challenges can be expected with pressures coming from regulators and investors. How do investors, particularly large institutional investors, welcome this rise of stakeholder capitalism? 
  • Uzbekistan: The som has been stable so far but how long can it last?

    Source: Firdavs Olimov, CFA, Kenneth Lai Kar Mun, CFA, Shawn Abdurakhimov , Hasan Khudoyorov
    Date Submitted: 18 Oct 2018
    Views: 227
    Downloads: 2
    Since one-off devaluation of the Uzbekistani som to 8,100 UZS/USD from 4,210 on 5 September 2017, the currency has been quite stable thanks to growing exports, increasing foreign investments, loans from international financial institutions (EBRD, ADB, etc.), decreasing use of US dollar within Uzbekistan, and a small intervention from Central Bank of Uzbekistan (CBU).
  • CFAM-FDU - Initial coin offerings and platform building

    Source: Jiasun Li, William Mann
    Date Submitted: 07 Oct 2018
    Views: 1256
    Downloads: 52
    As initial coin offerings (ICOs) explode in popularity in the startup world, they are surrounded by controversy. The response of market practitioners and regulators has varied, from enthusiasm to outright bans. Li and Mann offer an economic analysis of the role of ICOs in development of platforms. They analyze economic efficiency to pinpoint when token sales create value. Their findings have implications for regulators and practitioners in the booming ICO market.
  • Mutual fund industry, high time to harness opportunities and overcome challenges.

    Source: CFA Society Bangladesh
    Date Submitted: 17 Oct 2018
    Views: 3433
    Downloads: 177
    This article qualifies for 0.5 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    This is a short paper written by CFA Society Bangladesh member on the topic "The asset management industry in Bangladesh". The paper addresses the challenges that prevent growth of the industry and provide solutions to those challenges. The paper was published by the Bangladesh Securities and Exchange Commission, as part of their Silver Jubilee celebration.
  • Dual-Class Shares: The Good, The Bad, and The Ugly

    Source: Rocky Tung, Mary Leung
    Date Submitted: 19 Mar 2019
    Views: 39510
    Downloads: 306
    A Review of the Debate Surrounding Dual-Class Shares and Their Emergence in Asia Pacific
  • What Dividend Imputation Means for Retirement Savers

    Source: Adam Butt, Gaurav Khemka, Geoff Warren
    Date Submitted: 25 Aug 2018
    Views: 1403
    Downloads: 29
    We examine what full access to dividend imputation credits means for Australian retirees in two ways. First, we show that availability of imputation credits can justify a significant home bias towards Australian equities in retirement portfolios, largely at the expense of world equities. Second, we estimate the value of imputation credits to retirees, finding it could potentially support increased consumption during retirement of 5%-6%, or the equivalent of a higher balance at retirement by 8%-9%. Our study provides insights relevant for public policy.
  • Bangladesh Strategy 2018 - A challenging year for equities

    Source: Asif Khan, CFA, Nasrin Akter Proma, Mustavi Zaman Khan
    Date Submitted: 06 Aug 2018
    Views: 3238
    Downloads: 201
    Bangladesh Strategy 2018 - A challenging year for equities
  • Does FV Measurement contradict long-term investment?  -- Discussion EC consultation Fitness Check

    Source: Chie Mitsui
    Date Submitted: 11 Jul 2018
    Views: 548
    Downloads: 27
    The European Commission(EC) published consultation ”Fitness Check” asking people with comprehensive view for the fitness of the EU reporting framework for public company to EU strategy of enhancing environmental investment. Recently EU issued a report which discusses sustainable finance by "High-level experts group(HLEG)" and announced its’ action plan.
    This consultation is one of them. It asks people to possibility to amend IFRS 9 FV measurement for long-term investment. This is not issue only for EU. We discussed this consultation and summarize what we learned.
  • Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads

    Source: Boonlert Jitmaneeroj
    Date Submitted: 04 Jul 2018
    Views: 1074
    Downloads: 23
    When the term structure of credit spreads is used in a panel vector autoregression model, Granger causality tests provide strong evidence of bi-directional relationships among CDS, bond and stock markets. This study argues that extant research using only a 5-year credit spread tends to understate intermarket linkages since in practice investors are able to trade credit risk over the entire term structure of credit spreads. Interestingly, this study produces new empirical evidence that the term structure of CDS-bond basis displays a monotonically increasing trajectory. As the maturity lengthens, the arbitrage opportunity of companies with negative (positive) CDS-bond basis decreases (increases).
  • Bangladesh National Budget Review 2018-19

    Source: EBL Securities Ltd. Research Team
    Date Submitted: 10 Jun 2018
    Views: 1541
    Downloads: 44
    The 47th National Budget of Bangladesh and 12th by Finance Minister AMA Muhith has been proposed on 7th June, 2017. Proposed budget size for FY ’18 is BDT 4,645.7 bn which is 18.6% of GDP. This is the largest budget in the history of Bangladesh. Target Revenue is BDT 3,392.8 bn caused a deficit amounting to BDT 1,252.9 bn which will be financed through domestic sources (BDT 712.3 bn) and External Borrowings (BDT 540.7 bn).
  • AsianFA: Off-Balance Sheet Securitization, Bank Lending, and Corporate Innovation

    Source: Yiwei Dou, Zhaoxia Xu
    Date Submitted: 31 May 2018
    Views: 327
    Downloads: 10
    We investigate how corporate innovation is influenced by banks' off-balance sheet securitization. Exploiting a recent mandate that removes the off-balance sheet status of some securitized assets, we find a reduction in innovation for firms  borrowing from affected banks. The reduction is concentrated among firms whose banks experience more downward pressure on regulatory capital ratios and greater market discipline, and firms more dependent on external financing. Affected banks raised loan spreads and cut loan amounts after the mandate. The results suggest that off-balance sheet treatment of securitization has a real effect on firm innovation through bank lending.
  • Overview of Power Energy sector of Uzbekistan

    Source: Kenneth Lai , Veysal Usmanov, Shawn Abdurakhimov
    Date Submitted: 21 Jul 2018
    Views: 337
    Downloads: 14
    Due to the growing demand for power energy driven by economic growth in the country, Uzbekistan is set to reform power energy sector. Uzbekistan is the largest electricity producer in Central Asia with total installed capacity of c.14.6GW, as of 2017. There are 45 power plants (16 by UzbekEnergo – state-owned power energy company). UzbekEnergo generates up to 90% of the power energy while the rest is produced by autonomous thermal power stations of the industrial enterprises and small hydroelectric power stations of the Ministry of Agriculture and Water Resources. The electricity is transmitted and distributed via power transmission lines (with 0.4 - 500 kV voltage ranges) whose total length currently exceeds 243,000 km.

    Power generation sources are largely focused on thermal power (natural gas, coal, etc.) while renewable energy makes a small portion of the capacity. Uzbek government plans to increase the share of renewable energy to 19% by 2025E from 13% currently. 

    Hydropower is the only main source among renewable energy sources while solar power contributes very small amount to the overall power generation. By 2025E, it is planned to achieve more power generation from solar and wind energy. Renewable energy has significant growth potential in Uzbekistan. According to Asian Development Bank (ADB), the country has 18 GW hydropower potential but only 1.8 GW has been developed so far. Solar power also has a great potential thanks to the favorable weather conditions in Uzbekistan. Uzbekistan gets between 2,410 and 3,090 hours of sunshine every year according to UN studies and the ADB estimates that about 3.8 million hectares of land in Uzbekistan meet the basic technical requirement for hosting solar energy facilities. 
  • Safeguards against the Introduction of a Dual-Class Shares Structure

    Source: Rocky Tung, Mary Leung, CFA
    Date Submitted: 17 May 2018
    Views: 3965
    Downloads: 82

    Safeguards against the Introduction of a Dual-Class Shares Structure
    As revealed in a survey conducted in Asia Pacific by CFA Institute in March, a majority (60%) of the 450-plus respondents have not had any experience investing in firms with a DCS structure, which signalled the urgency for and need to educate investors and the general public on the implications of DCS structures.

    The survey, “Dual-Class Shares and the Demand for Safeguards,” revealed that respondents in the region were divided when asked whether DCS structures should be introduced to the market, with 53% opposing the introduction and 47% in favour. Regardless of their position on DCS, almost all (97%) respondents considered it necessary to enact additional safeguards if DCS structures are permitted.

    Among different possible safeguards, more than 90% of respondents considered it appropriate to implement enhanced mandatory corporate governance measures as well as time- and event-based sunset provisions, such as automatic conversion of shares with super voting rights to ordinary voting rights. Specifically, 94% of respondents considered it appropriate to introduce a time-based sunset provision; among which, 91% of such respondents considered it appropriate to convert shares with super voting rights to ordinary shares within 10 years. Separately, 93% of respondents considered introducing a maximum voting differential appropriate; 63% of these respondents found a 2:1 maximum voting differential optimal.

  • AsianFA---Does Public Information Disclosure Crowd Out Private Information Production?

    Source: Jia Chen, Ruichang Lu
    Date Submitted: 01 Apr 2018
    Views: 348
    Downloads: 3

    This paper investigates how public information disclosure affects private information production. We consider an increase in public information disclosure in the corporate bond market and measure information production by using the number of bond analyst reports, the number of pages in the reports, and the file size of the reports. We find that when public information disclosure increases, there is a reduction in private information production, indicated by fewer reports, fewer pages, and smaller file sizes. We then examine how pricing efficiency changes and find the lower delay of bond prices, bond prices that more closely approximate random walks, and shorter bond return drift after bond analyst reports or credit rating changes.




    Source: Rich Blake, Alan Lok, CFA
    Date Submitted: 04 Sep 2018
    Views: 7697
    Downloads: 0
    This article qualifies for 0.5 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    Based on the paper “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs” by Tālis J. Putniņš and Joseph Barbara, available at

    This paper was recently recognized for excellence by the CFA Institute Asia-Pacific Research Exchange (ARX) at the 7th Annual Financial Research Network (FIRN) Conference. FIRN is a network of finance researchers and PhD students across Australia and New Zealand.

    Traversing the dense, tangled underbrush of an otherwise mostly explored section of securities terrain—the impact of automated, computerized trading—two researchers have demonstrated why it doesn’t pay to ignore the nuances of a complicated subject. Literally, it can cost billions to not heed the observations of authors Putniņš and Barbara, whose paper, “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs,” is the subject of this ARX Practitioner’s Brief.

    The July 2017 paper is a wake-up call for institutional investors who may not be as vigilant as they think they are when it comes to getting best execution on block orders, if only because their defenses might well be focused on the wrong bad actors, that is, high-frequency traders (HFTs). HFTs, argue Putniņš (University of Technology Sydney) and Barbara (Australian Securities and Investments Commission), are unfairly stigmatized and singled out among computer-program–based or algorithmic traders (ATs) for driving up big-block trade implementation costs when in reality, according to an exhaustive study of trading data, their impact is negligible.

    In support of their argument, Putniņš and Barbara fully mapped and surveyed an algorithmic trading community comprising both HFTs, who transact a large number of orders at eye-blink speeds, and non-HFTs. In the process, they uncovered a variety of species and motives, some of which are even beneficial to institutions. On the surface, the ground the authors covered would seem cut and dried: grievances about HFTs have been voiced repeatedly, to the point where no one questions who in this narrative wears the black hat and who wears the white.

    What the authors sought to understand was whether the complaints against HFTs had merit. Was there more to the story than what generally has seeped into the mainstream media via books such as Michael Lewis’ Flash Boys?

    The rise of electronic equity trading venues at the dawn of the 21st century emptied the trading floors, drove down execution costs, and opened the way for technological advancements, such as order-implementation speeds measured in milliseconds, that few could have ever imagined. By the time of the 2010 flash crash, the fundamental manner by which stocks were traded had radically changed. Although a few die-hard specialists were still clinging to their Big Board posts back on that spring day in 2010, the flash crash made it abundantly clear that algorithms had taken over. At the center of regulatory scrutiny post-flash crash was high-frequency trading, the best-known and most controversial form of algorithmic trading.

    With alpha scarce and trading venues fragmented, fund managers increasingly focused their energy on improving execution costs. For decades, the buy side railed against specialists front-running their institutional orders. Now, institutions face a new predator on their blocks: HFTs. These automated strategies account for more than half of the total volume during any given session, and some institutional investors claim they impede liquidity.

    As a result of concerns about being preyed upon, institutional investors are forced to break large orders into smaller pieces that need to be traded across multiple venues, making them more susceptible to HFTs. In turn, new liquidity pools and networks have been created to provide a safe space. Yet, as Putniņš and Barbara point out, some studies show that, at best, high-frequency trading and algorithmic trading lower spreads and improve price discovery, and at worst, represented a benign force. So are HFTs good, bad, benign, or what?

    Putniņš and Barbara created a data cross-section reenacting trading of the largest 200 Australian equities (ASX 200 Index constituents) over a 13-month period (1 September 2014 through 30 September 2015), amounting to 273 trading days.

    Using unique trader-identified regulatory audit-trail data, they identified a subset of 187 of the most active nondirectional traders (AT/HFT) and measured their activity (roughly 25% of Australian volume on any given day) in terms of the impact on the execution costs for institutions, which control about 80% of Australian large-cap stocks. “Origin of order” identifiers, collected by the Australian Securities and Investments Commission, allowed the authors to reassemble smaller (child) orders back into larger (parent) ones.

    Upon close inspection, the AT/HFT gang of 187 proved decidedly heterogeneous. Putniņš and Barbara categorized these traders across a spectrum, ranging from those who drove costs up the highest (toxic) to those who lowered them the most (beneficial).

    The 12 most toxic traders increased the average order-implementation shortfall cost by 10 basis points or nearly double the cost without the harmful behavior. At the same time, the 14 most beneficial traders systematically decreased costs, effectively, in aggregate, countering the negative impact. However, this offset in aggregate would not have come as any consolation to those individual buyers and sellers specifically impacted by the toxic traders. “An investor that disproportionately interacts with harmful AT/HFT faced higher costs,” concluded the authors.

    Interestingly, HFTs were no more likely to be toxic than non-HFTs. And even those ATs/HFTs who drove up costs may have done so unintentionally, merely by trading on the most common entry and exit signals, behavior that could be described not so much as exploitative as lemming-like.

    First, for buy-side asset managers, it bears underscoring that execution matters. Potentially large cost savings can be realized from trading in a manner that avoids overexposure to toxic counterparties. Such savings could mean the difference between a fund that performs well and one that underperforms.

    Second, in terms of execution strategy, more caution should be exercised in smaller stocks, where toxic traders tend to be more active.

    Third, effort spent avoiding HFTs may be in vain because many HFTs are beneficial and can reduce institutional execution costs. At the same time, toxic non-HFTs should be avoided if one wants to minimize execution costs.

    Finally, from a regulatory perspective, the empirical measurement tools featured in this research could be used to better monitor markets and identify predatory trading behavior.


    Summarized by Rich Blake. Rich is a veteran financial journalist who has written for numerous media outlets, including Reuters, ABC News and Institutional Investor. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
  • Searching for Growth in the New China Economy

    Source: Craig Lazzara, Simon Lee
    Date Submitted: 02 Mar 2018
    Views: 582
    Downloads: 0
    What’s driving the growth of China’s equity market? Simon Lee of CSOP Asset Management joins S&P DJI’s Craig Lazzara to discuss the forces driving economic growth in China and how they are influencing equity sectors in China’s “new economy”.
  • Demystifying commodity futures in China

    Source: John Hua Fan, Tingxi Zhang
    Date Submitted: 22 Feb 2018
    Views: 666
    Downloads: 19
    This paper presents the most comprehensive study to date on commodity futures in China. We find that passive long-only investments deliver poor economic returns. Among 12 long-short strategies examined, momentum and term structure strategies generate statistically significant economic profits in nearby and distant contracts, illiquid markets and randomly selected commodity sectors. Our results cannot be attributed to aggregate market risks, none-tradable macroeconomic risks, commodity specific risks, market sentiment, transactions costs and data-snooping. We show that liquidity, anchoring bias and regulation induced limits-to-arbitrage provide at least a partial explanation. Furthermore, our findings suggest that long-short strategies that exploit past returns and hedging pressure make excellent candidates for hedging against movements in traditional assets in China. This paper also highlights the urgency to establish a CFTC-type repository for positions data that distinguish hedgers and speculators. Such data are essential to assess the effectiveness of risk transfers in these markets.
  • Impact of GICS Changes to Pan Asian Sectors: BAT Moving Away From Information Technology

    Source: Utkarsh Agrawal
    Date Submitted: 20 Feb 2018
    Views: 576
    Downloads: 0
    S&P Dow Jones Indices and MSCI have announced revisions to the GICS® structure, to be implemented in September 2018, that will affect the consumer discretionary, information technology, and telecommunication services sectors.
  • Green Bond: A Socially Responsible Investment (SRI) Instrument 

    Source: Pradiptarathi Panda
    Date Submitted: 17 Feb 2018
    Views: 388
    Downloads: 18
    Green Bond attracts a specific group of investors and helps issuers as well as to the economy at large. This innovative financial instrument was issued in the year 2008 by World Bank with the request of investors. Now this instrument is gaining popularity world-wide. So far World Bank has made 130 issues in 18 currencies in totaling of US$5.7 billion.  Followed by World Bank, there are several institutions, which are issuing this instrument. The present study aims to state the genesis of Green Bond, its inception and the road ahead so far with current statistics
  • Impact of Market-Wide Circuit-Breaker on Trading Activity and Volatility: Empirical Evidence from Indian Markets

    Source: Latha S Chari , Pradiptarathi Panda, Sunder Ram Korivi
    Date Submitted: 17 Feb 2018
    Views: 2169
    Downloads: 16
    To protect market integrity, regulators across the globe have applied trading constraining mechanisms like market-wide circuit-breakers, price limits, stock-based trading halts and the like. In June 2001, Securities Exchange Board of India (SEBI) introduced the market-wide circuit-breaker mechanism for Indian markets in a similar manner to other markets. Till date the Indian market has applied these marketwide circuit-breakers six times. This study attempts to examine the impact of market-wide circuit-breakers on trading activity and volatility. We consider data of Nifty closing price, turnover and number of shares traded for six different windows with event day, event plus 1-3 days, and 10 days average. The study estimates intraday return, overnight return high low volatility and day time volatility followed by T-test to measure the significance difference between average turnover, number of shares traded, high low and daily volatility with event day. The study finds that the effect of market-wide circuit-breaker continues up to three post-event days.
  • Dynamic regime switching behaviour  between cash and futures market:  A case of interest rates in India 

    Source: Pradiptarathi Panda, Prof. Malabika Deo, Jyothi Chitteni
    Date Submitted: 17 Feb 2018
    Views: 360
    Downloads: 7
    Abstract. This study examines the Markov dynamic regime switching behaviour between cash and futures market in respect to interest rate in India. The study uses daily data of volumes, weighted average price, weighted average yield for cash market and total values, open interest, settlement price from 21st January 2014 to 30th October 2014. We a contract i.e. 883GS2023 of NSE has been used for our analysis. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We have run regime switching regression to capture the switching behaviour in bull as well as bear state of cash to future and future to cash in six different equations. This model also captures the estimated probability and estimated duration to continue in bull and bear state and does not require to test stationarity or conversion of data into any normalised form.  We find switching behaviour in both cash is regime switching the future as well as future is regime switching the cash market and the estimated probability differs from 70% to 97% in different cases. The estimated duration to continue in an existing state has also been captured in 6 different equations. 
  • Interest Rate: Futures and Cash Market Spill-over’s in India 

    Source: Hrudaranjan Sahoo, Pradiptarathi Panda
    Date Submitted: 17 Feb 2018
    Views: 386
    Downloads: 9
    The present study analyses the spill-over’s effect between the interest rate cash and futures market in India. We use daily data of volumes, weighted average price, weighted average yield to represent cash market and number of contracts traded, values, open interest, settlement price to represent futures market from 4th August 2014 to 31st December 2015 with 337 (trading days) number of observations. We consider a single instrument (i.e. 08.40 GS 2024) which is most liquid, active and have contracts for a longer time period. All data are sourced from Clearing Corporation of India Ltd. (CCIL) and National Stock Exchange (NSE). We first presents descriptive statistics followed by stationarity test, Correlation, Regression, Granger Causality test and ARMA (1, 1), GARCH (1, 1) spill-over’s model. The study finds cash market price is leading the futures market but the future settlement price has impact on the yield of the underlying security. 
  • Rise and Fall of Interest Rate Futures in Indian Derivative Market 

    Source: Pradiptarathi Panda, Dr. M Thiripalraju
    Date Submitted: 17 Feb 2018
    Views: 388
    Downloads: 9
    Interest rate derivatives are the most traded and widely accepted derivative instrument in the international derivative market. But this product is not popular in Indian derivative market. In 1999, the Over the Counter (OTC) interest rate derivative products were introduced and successful in terms of volumes. The Indian financial market introduced exchange traded interest rate derivatives in the year 2003, 2009 and 2014. While the product failed twice, in the third time (in 2014) the initial volumes are sharply declining in three exchanges viz. MCX-SX, NSE and BSE. In this backdrop, this study attempts to analyse the past, present and future of interest rate futures in Indian derivative market using the volumes, values and open interest of Interest rate derivatives for three exchanges. 
  • Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies?  

    Source: Sean Foley, Jonathan R. Karlsen, Talis J. Putnins
    Date Submitted: 02 Feb 2018
    Views: 604
    Downloads: 0
    Cryptocurrencies have grown rapidly in price, popularity, and mainstream adoption. The total market capitalization of bitcoin alone exceeds $250 billion as at January 2018, with a further $400 billion in over 1,000 other cryptocurrencies. Over 170 “cryptofunds” have emerged, attracting around $2.3 billion in assets under management. What was once a fringe asset is quickly maturing.
    The rapid growth in cryptocurrencies and the anonymity that they provide users has created considerable regulatory challenges, including the use of cryptocurrencies in illegal trade (drugs, hacks and thefts, illegal pornography, even murder-for-hire), potential to fund terrorism, launder money, and avoid capital controls. There is little doubt that by providing a digital and anonymous payment mechanism, cryptocurrencies have facilitated the growth of “darknet” marketplaces that trade illegal goods and services.
    In a recent research paper, we quantify the amount of illegal activity that involves the largest cryptocurrency, bitcoin. As a starting point, we exploit several recent seizures of bitcoin by law enforcement agencies to construct a sample of known illegal activity. We also identify the bitcoin addresses of major illegal darknet marketplaces. The public nature of the blockchain allows us to work backwards from the law enforcement agency bitcoin seizures and the darknet marketplaces through the network of transactions to identify those bitcoin users that were involved in buying and selling illegal goods and services online. We then apply two econometric methods to the sample of known illegal activity to estimate the full scale of illegal activity.
    We find that illegal activity accounts for a substantial proportion of the users and trading activity in bitcoin. For example, approximately one-quarter of all users (25%) and close to one-half of bitcoin transactions (44%) are associated with illegal activity. The estimated 24 million bitcoin market participants that use bitcoin primarily for illegal purposes (as at April 2017) annually conduct around 36 million transactions, with a value of around $72 billion, and collectively hold around $8 billion worth of bitcoin.
    To give these numbers some context, the total market for illegal drugs in the US and Europe is estimated to be around $100 billion and €24 billion annually. Such comparisons provide a sense that the scale of the illegal activity involving bitcoin is not only meaningful as a proportion of bitcoin activity, but also in absolute dollar terms. The scale of illegal activity suggests that cryptocurrencies are transforming the way black markets operate by enabling “black market e-commerce”. In effect, cryptocurrencies are transforming the black market much like PayPal and other online payment mechanisms revolutionized the retail industry through online shopping.
    In recent years (since 2015), the proportion of bitcoin activity associated with illegal trade has declined. There are two reasons for this trend. The first is an increase in mainstream and speculative interest in bitcoin (growth in the number of legal users), causing the proportion of illegal bitcoin activity to decline, despite the fact that the absolute amount of such activity has continued to increase. The second factor is the emergence of alternative cryptocurrencies that are better at concealing a user’s activity (e.g., Dash, Monero, and ZCash). Despite these factors and numerous darknet marketplace seizures by law enforcement agencies, the amount of illegal activity involving bitcoin remains close to its all-time high.
    In shedding light on the dark side of cryptocurrencies, we hope this research will reduce some of the regulatory uncertainty about the negative consequences of cryptocurrencies. Hopefully, more informed policy decisions that assess the costs and benefits will contribute to these technologies reaching their potential. Our paper also helps understand the intrinsic value of bitcoin, highlighting that a significant component of its value as a payment system comes from its use in illegal trade. This has ethical implications for bitcoin as an investment. Third, the techniques developed in this paper can be used in cryptocurrency surveillance in a number of ways, including monitoring trends in illegal activity, its response to regulatory interventions, how its characteristics change through time, and identifying key bitcoin users, such as “hubs” in the illegal trade network.
    For more information, download the paper at
  • SGX Consultation Paper on Quarterly Reporting Framework

    Date Submitted: 23 Jan 2018
    Views: 2487
    Downloads: 0
    The Singapore Exchange (SGX) is seeking feedback on whether to retain quarterly reporting (QR). Concern about compliance costs has been repeatedly raised among market professionals and listed companies while investors prefer adjustments to QR to be tempered.

    On behalf of the Advocacy Committee of CFA Society Singapore, we would like to seek your feedback through a short survey  (2 multiple choice questions & an optional written section), via the following hyperlink:

    Detailed information can be found on the below official hyperlinks:

    We would appreciate if interested members could leave your comments on ARX or email me by 06th February 2018. CFA Singapore will submit a collective response to SGX if there are substantive comments. If you would like your identity to be kept confidential, please let us know in your response to us.
  • Bangladesh Money Market Scenario and Outlook

    Source: Md. Nazmus Sakib
    Date Submitted: 11 Jan 2018
    Views: 1435
    Downloads: 77
    Money market of Bangladesh has gone through some swift changes due to the backlash on the liquidity. Liquidity drag has been mainly occurred due to the extensive private sector credit growth keeping most of the banks’ advance deposit ratio (ADR) close to 85%. At least 12 commercial banks including the public banks have exceeded the existing ADR limit. Private sector credit growth was mainly fuelled by borrowers’ appetite for cheap fund and banks’ opportunity to generate profit. As a drive to squeeze the excessive private sector credit growth, Bangladesh Bank plans to curtail limit on advance-deposit ratio which will persuade banks to seek large deposits in short time. To pursue the objective, deposit rate needs to be attractive for all sorts of potential depositors. The impact is already apparent in the interest rates of banks. According to the industry participants, interest rate has gone up by around 1% already from October, 2017. Upward pressure on USD has also led to a critical scenario for retaining strong liquidity of BDT. Import of consumer goods has surged to a massive level due to shortage of food supply. Furthermore, import of capital machineries has also gone up as construction of large development projects are on the pipeline. Unless strong interference is initiated by Government, USD may escalate further and lead to squeezed liquidity. Interest rate is supposed to go up further in 2018.
  • 金融周期下的政策选择

    Source: 施东辉博士,上海证券交易所资本市场研究所所长
    Date Submitted: 08 Jan 2018
    Views: 636
    Downloads: 7

  • The Investment Opportunity in China’s “New Era”

    Source: Vania Pang
    Date Submitted: 08 Jan 2018
    Views: 649
    Downloads: 0
    A long-term economic roadmap for China has been set at the 19th Party Congress of China for the new era.
  • Korea Corporate Governance Symposium – ARX O2O Event, Korea, Seoul

    Source: Bruce Lee, CFA, Alan Lok, CFA
    Date Submitted: 26 Mar 2018
    Views: 2115
    Downloads: 26

    Last autumn, leveraging on the iconic article by Dr Bruce Lee, CFA on Korea’s corporate governance (CG) scene:

    “Corporate Governance Revolution Ahead?”

    CFA Institute, in collaboration with CFA Society Korea, hosted a CG panel discussion with Dr Bruce Lee and three other practising experts.

    The panel discussion was a full-house event with more than 80 participants from the local CFA community.

  • Heterogeneity in how algorithmic traders impact institutional trading costs

    Source: Joseph Barbara
    Date Submitted: 10 Dec 2017
    Views: 582
    Downloads: 0
    Technology has fundamentally transformed how trading occurs on financial markets, but not everyone agrees that it is for the better.  Few changes in how securities are traded have ever generated as much debate and disagreement as algorithmic and high-frequency trading (AT and HFT).  On one hand, many academic and regulatory studies find that AT/HFT in aggregate is beneficial (e.g., lowering spreads and improving price discovery) or at worst benign. Yet, at odds with this view, many institutional investors claim that finding liquidity for large orders has become more difficult and their trading costs in contemporary markets are worse than before the technological advancements. 
    We reconcile these conflicting views using unique regulatory data for the Australian equities market. We show that behind the aggregate effects of algorithmic and high-frequency trading (AT/HFT) lies rich heterogeneity in the effects of individual traders/algorithms.  We find that the most harmful traders double the costs of executing institutional parent orders.  Beneficial traders offset much of this increase.  HFTs are no more likely to increase institutional trading costs than non-HFTs. We identify other characteristics that distinguish harmful and beneficial traders.  The paper explains why AT/HFT appear detrimental to some investors despite being beneficial or benign in aggregate.

    The paper can be obtained here:

  • SGX Consultation Paper on Enhancements to Continuous Disclosures

    Date Submitted: 08 Dec 2017
    Views: 1817
    Downloads: 0
    Singapore Exchange (SGX) has proposed to recalibrate disclosure requirements under the Listing Rules for areas of concern to both the market and the exchange.
    These changes cover the following areas:
    1. Secondary fund-raising
    ◾Additional upfront and prominent disclosure of the discount, ratio and other principal terms for rights issues.
    ◾A directors’ statement on why the rights issue is in the best interest of the issuer and their basis for forming such a view including justification for any discount.
    ◾Additional disclosure of the use of proceeds and intended use of unutilized amount if a rights issue takes place within a year of another fund-raising.
    ◾To announce specific usage of funds when disbursed if they were earmarked for “general working capital purposes” during the fund-raising exercise.
    2. Interested Person Transactions
    ◾Interested Person Transactions below S$100,000 are no longer exempted from announcements or shareholder vote.
    ◾Additional disclosure on the nature of the relationship with the interested person.
    ◾Identify the relevant director, CEO or controlling shareholder of the issuer who will be covered by the IPT mandate.
    3. Significant transactions and loans
    ◾Additional disclosures for loans that are not part of the issuer’s ordinary course of business.
    ◾Explanation on why no valuation was done for an acquisition or disposal of assets that is a major transaction except if the transaction involved shares.
    ◾Appointment of a competent and independent valuer for significant asset disposals.
    Detailed information can be found on the below official hyperlinks:
    We would appreciate if interested members could leave your comments on ARX or email me by 06th January 2018. CFA Singapore will submit a collective response to SGX if there are substantive comments. If you would like your identity to be kept confidential, please let us know in your response to us.
    Thank you.
  • MAS Consultation Paper on Execution of Customers' Orders

    Date Submitted: 06 Dec 2017
    Views: 1828
    Downloads: 0
    The Monetary Authority of Singapore (MAS) is proposing to: 
    - formalize expectations for holders of a capital markets services (CMS) licenses, banks, merchant banks and finance companies to have in place policies and procedures to place and/or execute customers’ orders on the best available terms to support fair outcomes for customers; and
    - enhance the existing business conduct requirements, applicable to CMS licensees, banks, merchant banks and finance companies, relating to handling of customers’ orders. 

    Specific Questions:
    1.    MAS seeks comments on the Best Execution requirements in the draft Notice and the draft guidelines to the Notice, set out in Annex 1 and 2.
    2.    MAS also seeks comments on the handling of comparable customers’ orders requirement set out in the draft notice. 

    Both Annex 1 and 2 are to be found on the below official hyperlink:

    We would appreciate if interested members could leave your comments on ARX or email to me by 13th December 2017. If you would like your identity to be kept confidential, please let us know in your response to us. Thank you.
  • Who Should Regulate Investment Advisers?

    Source: Dr Ben Charoenwong, Dr Alan Kwan, Dr Tarik Umar
    Date Submitted: 04 Dec 2017
    Views: 4234
    Downloads: 33
    We study the change in a jurisdiction of state and federal investment adviser regulators on investment adviser misconduct in the United States. Compared with advisers who did not experience the re-jurisdiction, we find evidence suggesting that misconduct increased after mid-sized investment advisers were required to switch from SEC to state regulation.
  • CFA Societies Australia: Submission to the Australian Investment Securities Commission on the National Financial Literacy Strategy

    Source: Susan Morey
    Date Submitted: 11 Dec 2017
    Views: 13092
    Downloads: 28
    CFA Societies Australia: Submission to the Australian Investment Securities Commission on the National Financial Literacy Strategy
  • Effects of Chinese Imports on U.S. Firm Innovation: Evidence from the US-China Permanent Normal Trade Relation

    Source: Yuxi Wang, Huasheng Gao
    Date Submitted: 28 Nov 2017
    Views: 503
    Downloads: 3
    We examine the effect of United States’ conferral of Permanent Normal Trade Relations (PNTR) on China—a policy that eliminates the uncertainty of future tariff increases associated with Chinese goods— on U.S. firm innovation. We find a significant increase in the number of patents and patent citations for U.S. firms that are affected by PNTR relative to firms that are not affected. This result is stronger for industries that experience a greater increase in Chinese goods following PNTR. Overall, our evidence suggests that Chinese imports induce U.S firms to invest more in innovative technology. 
  • Asset pricing implications of your mutual fund manager's constraints

    Source: Pratish Patel, Brian Ayash, Ziemowit Bednarek
    Date Submitted: 26 Nov 2017
    Views: 456
    Downloads: 5
    By the end of 2015, U.S. mutual funds managed $15 trillion in assets. These funds control about 25% of the equity and 40% of the commercial paper market. As a result, regulations affecting these funds have asset pricing implications. In this paper, we analyze the liquidity management constraint imposed on these funds by the Investment Company Act of 1940. Due to the Act, some funds do not trade illiquid stocks. The non-tradability of these stocks leads to sub-optimal risk sharing. In a competitive equilibrium, we show that this constraint generates the ``betting against beta'' phenomenon. Moreover, because of this constraint, alpha is non-zero in general. Adding factors to eliminate alpha is therefore a futile exercise. Lastly, we empirically corroborate the theory by offering an alternate explanation of the distress risk anomaly. 
  • AFM - Order Exposure in High Frequency Markets

    Source: Bidisha Chakrabarty, Terrence Hendershott, Samarpa Nawn, Roberto Pascual
    Date Submitted: 26 Nov 2017
    Views: 487
    Downloads: 3
    Theory predicts that uninformed traders hide limit orders to avoid free-option risk while informed traders hide to delay information revelation. Evidence from non-high frequency markets supports the free-option narrative. We advance the study of order exposure to high frequency markets. Using detailed data that identify hidden order placement by high-frequency traders (HFTs) vis-à-vis other algorithmic and non-algorithmic traders, we find that HFTs use small share sizes to hide orders near the best quotes. HFTs’ hidden orders have shorter time to completion, higher fill rates, lower implementation shortfall, and overall lower information content. Collectively our results show that extant models do not explain the order exposure choice of HFTs and calls for new theory. In that direction, we test and find that compared to other trader groups, HFTs’ aggressive hidden limit orders more often undercut standing orders at or near the best quotes.
  • MAS Consultation Paper on Liquidity Risk Management for Fund Management Companies

    Date Submitted: 19 Nov 2017
    Views: 813
    Downloads: 0
    The Monetary Authority of Singapore (MAS) proposes to introduce a liquidity risk management framework in the form of guidelines for fund management companies with respect to the collective investment schemes (CIS) that they manage.  The framework seeks to provide guidance on sound practices in liquidity risk management of CIS to address the risks to investors from potential liquidity mismatches between the CIS' portfolio liquidity and redemption terms. MAS also proposes to amend the Code on CIS to impose additional portfolio requirements for money market funds due to their systemic relevance in the event of a crisis. MAS has issued a consultation paper and we would like to invite CFA members to submit their feedback for a collective response to this consultation paper.  
    Please click on the link below for the Consultation Paper on Liquidity Risk Management for Fund Management Companies: and Publications/Consultation Papers/Consultation Paper on Liquidity Risk Management Guidelines_26 Oct 2017.pdf

    We would appreciate if interested members could leave your comments by 25 November 2017. If you would like your identity to be kept confidential, please let us know in your response to us. Thank you.