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You want a shawl to keep warm, go for pashmina or cashmere, or
wool, which is cheaper.
Department stores like Takashimaya and Isetan stocks these. The
higher percentage of pashmina/cashmere, the warmer and pricier it
is. Also note higher percentage of pashmina/cashmere means the
fabric gets "fuzzier" more easily, may cause problems when
using.
Another good source for shawls is Holland Village Shopping Center
second floor. You can browse around those ethnic looking boutiques.
One shop there called Rustic Living has wide range and reasonable
prices. They've got an outlet at Centerpoint too.