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Social and Behavioral Sciences Commons™
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Articles 1 - 6 of 6
Full-Text Articles in Social and Behavioral Sciences
M-Garch Hedge Ratios And Hedging Effectiveness In Australian Futures Markets [Working Paper], Wenling Yang
M-Garch Hedge Ratios And Hedging Effectiveness In Australian Futures Markets [Working Paper], Wenling Yang
Research outputs pre 2011
This study estimates optimal hedge ratios using various econometric models. Applying daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from the OLS regression model, the bivariate vector autoregressive model (BVAR), the error-correction model (ECM) and the multivariate diagonal Vec GARCH Model. The hedging effectiveness is measured in terms of ex-post and ex-ante risk-return tradeoff at various forecasting horizons. It is generally found that the GARCH time varying hedge ratios provide the greatest portfolio risk reduction, particularly for longer hedging horizons, but they do not generate the highest portfolio return.
Skewness Is The Name Of The Game, Y. H. Cheung
Skewness Is The Name Of The Game, Y. H. Cheung
Research outputs pre 2011
Theoretical models of risk taking attempt to explain why risk-averse individuals participate in unfair gambles. This paper evaluates the two explanations as to why rational individuals would accept gambles with negative expected returns. It is found that it is skewness, not the mean or the variance of the prize distribution that attracts risk-averse gamblers. However, evidence shows that there seems to be an optimal trade-off between operators’ sales revenues and skewness of the pay-off; a point that designer of gambling games needs to heed to.
Gender Differences In Information Resource Usage When Making Retirement Saving Decisions, Marilyn Clark-Murphy, Paul Gerrans
Gender Differences In Information Resource Usage When Making Retirement Saving Decisions, Marilyn Clark-Murphy, Paul Gerrans
Research outputs pre 2011
Population ageing is raising the profile of retirement incomes policy. In Australia assets of retirement savings funds are growing rapidly and fund members are assuming a greater role in determining funds' investment strategies. The decision processes of fund members have not been extensively researched, however, these decisions are significant not only for members but also for employers and government. This paper provides information on retirement savings in Australia and reports on a survey of members of the Superannuation Scheme for Australian Universities (SSAU). In 1999 members of SSAU were asked to choose between a defined benefit scheme or one of …
Another Look At The Size And Book-To-Market Effects On Stock Returns, Chien-Ting Lin
Another Look At The Size And Book-To-Market Effects On Stock Returns, Chien-Ting Lin
Research outputs pre 2011
In this study, I test the robustness of size and book-to-market effects on average stock returns reported by Fama and French (FF, 1992, 1993) using a sample that is less subject to survivorship bias and a longer sampling period. Specifically, I exclude NASDAQ stocks in the sample to reduce survivorship bias that has largely been induced by Compustat during an expansion project in 1978. Survivorship bias exists when the sustaining and successful firms are included in the data and those firms that fail or merge with other firms are omitted. Since NASDAQ stocks tend to have relatively smaller stocks than …
On The Disappearance Of Tuesday Effect In Australia, Chien-Ting Lin, Lee Kian Lim
On The Disappearance Of Tuesday Effect In Australia, Chien-Ting Lin, Lee Kian Lim
Research outputs pre 2011
Day of the week (DOW) effect has been well known in many markets. The United States, the United Kingdom, Canada, and Switzerland all have been found to exhibit significant average negative Monday returns [Agrawal and Tandon, 1998]. Other developing markets in Indonesia, Malaysia and Thailand are also found to have the same seasonality [Choudhry, 2000]. Australia however displays its DOW effect on Tuesdays rather than on Mondays (Jaffe and Westerfield [1985], Easton and Faff [1994]). Jaffe and Westerfield [1985] suggest that there might be a linkage between the U.S. Monday seasonal and the Asia-Pacific DOW effect as they are one …
What Moves Stock Markets? Evidence That Uk Stock Prices Deviate From Fundamentals, David E. Allen, Wenling Yang
What Moves Stock Markets? Evidence That Uk Stock Prices Deviate From Fundamentals, David E. Allen, Wenling Yang
Research outputs pre 2011
This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and nonfundamental innovations in terms of a multivariate moving average model (Lee (1998)). We find that time varying discounted rates play an active role in explaining price deviations.