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Australian Dollar Price Shocks And The Australian Stock Market, Ramzi E.N Tarazi

Theses

This thesis presents three studies on the Australian dollar price shocks and the Australian stock market. In this thesis, we study the volatility of the major currencies, identify the effect of the Australian dollar return and volatility on six sectors of the Australian stock market, evaluate volatility from the Australian dollar to the big four banks’ shares volatility in Australia, and finally identify the risk factors for the real estate market in Australia at the fundamental factors and macroeconomies level.

In chapter two, we investigate the influence of volatility of the foreign exchange rate of the US, the UK, Euro-zone, …

Financial Crisis And Dynamic The Dependency Between Six International Currencies Volatility With Sectors Volatility: Evidence From Six Australian Sectors, Ramzi Tarazi, Mohammad Zahidul Hasan

Business Conference Papers

This paper investigates the influence of volatility of foreign exchange rate of the U.S., the U.K., Netherlands, Japan, China and Singapore to the volatility of the six Australian sectors within the investigated period controlling for the time periods global financial crisis 2007-2008.The volatility in this study was estimated using GARCH(1,1) models. Daily data is collected for a period of 2002 to 2014. The dataset is divided into three sub periods: before GFC (July 2002 to July 2007), during GFC (July 2007 to July 2009) and after GFC (July 2009 to July 2014). The estimated results find strong relationship between exchange …

Asymmetry And Persistence Of Energy Price Volatility, Mohammad Zahid Hasan, Selim Akhter, Fazle Rabbi

Business Papers and Journal Articles

This study estimates and compares the asymmetry and persistence of volatility of crude oil, natural gas and coal- three main sources of energy. This study also evaluates the effect of recent Global Financial Crisis (GFC) on the return and volatility of these energy prices. Threshold GARCH (TGARCH) and fractionally integrated GARCH (FIGARCH) model are employed to facilitate the study. The estimated results show that coal return volatility exhibits strong mean reversion whereas crude oil and natural gas return volatility endures shocks for relatively higher period. The estimated results also confirm that volatility of crude oil and natural gas increases after …