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Full-Text Articles in Social and Behavioral Sciences
Caviar And The Australian Stock Markets : An Appetiser, David E. Allen, A. K. Singh
Caviar And The Australian Stock Markets : An Appetiser, David E. Allen, A. K. Singh
Research outputs pre 2011
Value-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Basel Accords for banking industry internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression which holds the promise of efficiently calculating (VAR). To this end, Engle and Manganelli in (2004) developed their CAViaR model (Conditional Autoregressive Value at Risk). In this paper we apply their model to Australian Stock Market indices and a sample of stocks, and test the efficacy of four different specifications of the model in a set of …
Volatility And Correlations For Stock Markets In The Emerging Economies Of Central And Eastern Europe : Implications For European Investors, David E. Allen, A. Golab, Robert Powell
Volatility And Correlations For Stock Markets In The Emerging Economies Of Central And Eastern Europe : Implications For European Investors, David E. Allen, A. Golab, Robert Powell
Research outputs pre 2011
This paper examines the European investment implications of the recent European Union (EU) expansion to encompass former Eastern bloc economies. What are the risk and return characteristics of these markets pre- and post-EU? What are the implications for investors within the Euro zone? Should investors diversify outside the Central and Eastern Europe (CEE)? The former Eastern bloc economies constitute emerging markets which typically offer attractive risk-adjusted returns for international investors. In this paper, we explore a number of aspects of this important issue and their implications for CEE based investors, culminating in a Markowitz efficient frontier analysis of these markets …
Credit Risk And Real Capital : An Examination Of Swiss Banking Sector Default Risk Using Cvar, Robert J. Powell, David E. Allen
Credit Risk And Real Capital : An Examination Of Swiss Banking Sector Default Risk Using Cvar, Robert J. Powell, David E. Allen
Research outputs pre 2011
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question. Current capital requirements make no allowance for capital erosion caused by movements in the market value of assets. This paper examines default probabilities of Swiss banks under extreme conditions using structural modeling techniques. Conditional Value at Risk (CVaR) and conditional probability of default (CPD) techniques are used to measure capital erosion. Significant increase in probability of default (PD) is found during the GFC period. The market asset value based approach indicates a much higher PD than external …
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 …
Retirement Savings Investment Strategy : Member Choices And Performance, Paul Gerrans, Marilyn Clark-Murphy, Craig P. Speelman
Retirement Savings Investment Strategy : Member Choices And Performance, Paul Gerrans, Marilyn Clark-Murphy, Craig P. Speelman
Research outputs pre 2011
Three crucial ingredients influence how much individuals will have to fund retirement income needs: how much they contribute to savings, how long they save for, and the performance of these savings. This paper focuses on the issue of performance, and how individuals perform when they are given the choice of making their own investment strategy for their retirement savings contributions. An empirical examination using a large sample gathered from four Australian superannuation funds is utilised and finds that on average members underperform their own fund’s default option both in raw returns and on a riskadjusted basis. For trustees and regulators …
Overseas Accounting Students In Australia And Performance In Literary Work : An Empirical Test, Theo Christopher, Colleen Hayes
Overseas Accounting Students In Australia And Performance In Literary Work : An Empirical Test, Theo Christopher, Colleen Hayes
Research outputs pre 2011
This study compared the performance of local and overseas students, studying in a Western Australian university, in respect of both a literary and practical component of an examination question associated with a second year accounting unit. An analysis of the results, using an analysis of variance, indicated that language background for these two groups of students was a significant discriminating variable. This result lends support for the claim by the large Australian-based major public accounting firms that overseas accounting graduates lack language skill, which is, in turn, cited by the firms as a basis for not employing the graduates. Notwithstanding …
Real Interest Rates And Inflation In Norway, David E. Allen, Tinashe Mapfumba
Real Interest Rates And Inflation In Norway, David E. Allen, Tinashe Mapfumba
Research outputs pre 2011
We analyse the effectiveness of the monetary stance adopted by the Norwegian central bank in implementing monetary policy assessing how it relates to the neutral rate of interest. The neutral rate is frequently defined as the level of real interest rate consistent with both stable inflation and a level of production equal to potential production; providing no stimulus or restraint to the economy. We attempt to calculate this rate and to examine the long run link between real interest rates and inflation in Norway. We apply cointegration analysis to explore whether the gap between the real and neutral rate of …
Will A Rise In Consumption Tax Share Increase The Effectiveness Of Government Spending?, Y H. Cheung
Will A Rise In Consumption Tax Share Increase The Effectiveness Of Government Spending?, Y H. Cheung
Research outputs pre 2011
The Australian tax reform in July 2000 gave heavier weights to consumption tax in the tax mix at the expense of the income tax. This paper shows that the trade off among the tax-mix policy parameters depends on the structure of the economy. Given that the reform is tax-revenue neutral and no change in monetary stance, a rise in the share of consumption tax in the tax mix may increase the effectiveness of government spending in stabilising the economy if certain contain is fulfilled. A numerical example is included for illustration purpose.
How Bank Risk Profiles Affect Their Strength : An Assessment Of Banks In The Asia-Pacific Region, David E. Allen, Mahendra Chandra, Jaime Li Ping Yong
How Bank Risk Profiles Affect Their Strength : An Assessment Of Banks In The Asia-Pacific Region, David E. Allen, Mahendra Chandra, Jaime Li Ping Yong
Research outputs pre 2011
This paper analyses bank relative riskiness by testing the sensitivity of Asia-Pacific banks to overall market risk, global credit risk shocks, interest rate risk shocks and maturity risk shocks. The banks’ risk profiles are categorised according to their capitalisation levels and functional degree of diversification. Our results indicate that highly capitalised banks yield higher average stock returns whilst functionally diversified banks have less volatile returns. Generally, banks that adopt capital adequacy guidelines and hold higher capital levels have greater protection from these risks. Functionally diversified banks are also more strongly positioned against system-wide shocks to the banking sector.
Ausfta And Its Implications For The Australian Stock Market, David E. Allen, Lee Kian Lim, Trent Winduss
Ausfta And Its Implications For The Australian Stock Market, David E. Allen, Lee Kian Lim, Trent Winduss
Research outputs pre 2011
This paper investigates whether current and future domestic and United States macroeconomic variables can explain long and short run stock returns in Australia. This is undertaken with a view to examining the potential implications of the Australia-United States Free Trade Agreement (AUSFTA). America is included in the analysis as a “foreign influence”. In the recent past it has been Australia’s second largest trading partner after Japan. The long run relationship tested in this study is based on the present value model of stock prices, which is tested using a range of cointegration and causality tests. These include the Johansen ML …
Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Research outputs pre 2011
In this paper we analyse the performance of fixed interest managed funds. We examine five measurement models across three risk-free proxies, nine benchmarks (covering conditional and unconditional as well as single and multi factor definitions) over two independent periods in an effort to identify (in a consistent setting) the most accurate and least biased methodology. The use of an Australian dataset, sourced from the Australian fund-rating agency ASSIRT means that we can provide some independent results from US studies of these. There is little prior work on Australian fixed-interest managed funds. We examine three risk-free proxies, six benchmark classes encompassing …
Multivariate Garch Modelling Of Volatility And Comovements In Asia Pacific Markets, Mahendra Chandra
Multivariate Garch Modelling Of Volatility And Comovements In Asia Pacific Markets, Mahendra Chandra
Research outputs pre 2011
This paper examines the correlation estimates for some Asia-Pacific markets equity markets using the DCC-MGARCH, CC-MGARCH and a simple moving average regression based on a sliding window of 100 days. Using daily return series, the equity markets of Australia, Hong Kong, Japan and Singapore are analysed for the period 1990 to 2001. Parsimonious specifications for the multivariate GARCH framework are used to shed light on the correlation structure of these markets. The dynamic nature of the correlation between pair-wise countries is captured using the dynamic conditional correlation multivariate GARCH framework and explained. Both global as well as regional factors are …
Is-Lm Model With A General Consumption Tax, Y. H. Cheung
Is-Lm Model With A General Consumption Tax, Y. H. Cheung
Research outputs pre 2011
OECD tax revenue statistics show that on average the share of consumption tax is almost equal to that of income tax. However, consumption tax hardly attracts any attention from intermediate macroeconomic textbooks, not to mention its inclusion in IS-LM model. This paper compares the IS curves under an income tax regime and a general consumption tax regime. It also examines the trade off between the income tax rate and the consumption tax rate in a dual tax regime.
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.