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Full-Text Articles in Social and Behavioral Sciences
Minimizing Loss At Times Of Financial Crisis : Quantile Regression As A Tool For Portfolio Investment Decisions, David E. Allen, Abhay Kumar Singh
Minimizing Loss At Times Of Financial Crisis : Quantile Regression As A Tool For Portfolio Investment Decisions, David E. Allen, Abhay Kumar Singh
Research outputs pre 2011
The worldwide impact of the Global Financial Crisis on stock markets, investors and fund managers has lead to a renewed interest in tools for robust risk management. Quantile regression is a suitable candidate and deserves the interest of financial decision makers given its remarkable capabilities for capturing and explaining the behaviour of financial return series more effectively than the ordinary least squares regression methods which are the standard tool. In this paper we present quantile regression estimation as an attractive additional investment tool, which is more efficient than Ordinary Least Square in analyzing information across the quantiles of a distribution. …
A Multi-Factor Analysis Of Areit Returns, Jaime L.P. Yong
A Multi-Factor Analysis Of Areit Returns, Jaime L.P. Yong
Research outputs pre 2011
Since 1990, the Australian Real Estate Investment Trust (AREIT) sector has experienced substantial growth and popularity. While the AREIT sector had benefit from the increased flow of funds from institutional investors during the 1997 Asian financial crisis, the recent impact of the 2008 global financial crisis has been a negative one. In this paper, we examine the sensitivities of annualised AREIT returns against a set of seven firm-specific variables and four market-wide risk variables. Balanced and unbalanced panel regressions are conducted on three sub-periods during 1990 – 2008 corresponding to the major phases in evolution of the AREIT sector. Our …
Does Tick Size Change Improve Liquidity Provision? : Evidence From The Indonesia Stock Exchange, David E. Allen, Josephine Sudiman
Does Tick Size Change Improve Liquidity Provision? : Evidence From The Indonesia Stock Exchange, David E. Allen, Josephine Sudiman
Research outputs pre 2011
The market regulators of the Indonesia stock exchange have made several changes in permissible minimum price variations, from a single tick size (IDR 5) in 2000 to multiple tick sizes (IDR1, 5, 10, 25, 50) in 2007 for the purposes of promoting efficient trading and liquidity improvements. Researchers have demonstrated that finer tick sizes will lower bidask spreads, yet studies which examine the impact of tick size on other key liquidity dimensions such as realized market depth and speed of quote revision are limited. As tick size diminishes so too do the benefits of time precedence rules and encouragement is …
Modelling Australian Domestic Tourism Demand : A Panel Data Approach, David E. Allen, Ghialy Yap
Modelling Australian Domestic Tourism Demand : A Panel Data Approach, David E. Allen, Ghialy Yap
Research outputs pre 2011
This study estimates the income and tourism price elasticities of demand for Australian domestic tourism using a panel data approach. Given that about 76% of total tourism revenue in Australia is generated by domestic tourism, it is worthwhile examining whether changes in Australian households’ income and the prices of domestic travel can influence the demand for domestic travel. The research employs a panel data approach. This method has been widely employed in the literature on international tourism demand, but thus far, has not appeared in the context of the domestic tourism demand literature. The model used for this study is …