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- [ECUPub] (9)
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Articles 1 - 29 of 29
Full-Text Articles in Social and Behavioral Sciences
Proactive Biometric-Enabled Forensic Imprinting, Abdulrahman Alruban, Nathan L. Clarke, Fudong Li, Steven M. Furnell
Proactive Biometric-Enabled Forensic Imprinting, Abdulrahman Alruban, Nathan L. Clarke, Fudong Li, Steven M. Furnell
Research outputs 2014 to 2021
Threats to enterprises have become widespread in the last decade. A major source of such threats originates from insiders who have legitimate access to the organization's internal systems and databases. Therefore, preventing or responding to such incidents has become a challenging task. Digital forensics has grown into a de-facto standard in the examination of electronic evidence; however, a key barrier is often being able to associate an individual to the stolen data. Stolen credentials and the Trojan defense are two commonly cited arguments used. This paper proposes a model that can more inextricably links the use of information (e.g. images, …
Malaysian Equities: A Sector Analysis Of Risk And Normality, Robert J. Powell
Malaysian Equities: A Sector Analysis Of Risk And Normality, Robert J. Powell
Research outputs 2014 to 2021
This study uses Value at Risk (VaR) and Conditional Value at Risk (CVaR) metrics to measure the relative riskiness of sectors for Malaysian equities. VaR is a widely used volatility measure, but only measures risk below a specified threshold, whereas CVaR looks at risk beyond that threshold. The study finds that the relative risk of sectors changes with changing economic circumstances as measured by VaR, but remains significantly the same as measured by CVaR. Parametric (normally distributed) measures of VaR are compared to nonparametric measures, and it is found, consistently across all sectors, that parametric measures are not suitable measures …
Examining Ipo Success In The Emerging Growth Enterprise Market Of China, Hai Long, Zhaoyong Zhang
Examining Ipo Success In The Emerging Growth Enterprise Market Of China, Hai Long, Zhaoyong Zhang
Research outputs 2014 to 2021
Adopting a sample of the initial 243 IPOs from the emerging Growth Enterprise Market of China (GEMC) over the 2009 to 2011 period, this study develops a regression model to investigate the relationships between these factors and suggests that the firm’s net profit and its growth rate substantively determine the IPO volume. In addition, this study adopts probit models to test the influence of the four factors on IPO likelihood, and shows that: 1) fundraising amount, as one of the most significant IPO determinants, is positively associated with IPO probability on the new listing market; 2) the net profit, as …
Listing Requirements Lose Ipo-Screening Functions: Evidence From The Emerging Growth Enterprise Market Of China, Hai Long, Zhaoyong Zhang
Listing Requirements Lose Ipo-Screening Functions: Evidence From The Emerging Growth Enterprise Market Of China, Hai Long, Zhaoyong Zhang
Research outputs 2014 to 2021
Using two multivariate regression models based on prior studies, this paper aims to examine whether the listing requirements of the GEMC are able to help the exchange to screen high quality IPO firms. It suggests that the approved IPO companies have better performances than failed ones, but listing requirements of the GEMC are unable to screen high quality issuers to go public, because the majority of listed companies performed poorly rather than better after their IPOs. This result is against previous findings that regard an IPO market as a screening device.
Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh
Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh
Research outputs 2011
The Global Financial Crisis (GFC) highlighted the importance of measuring and understanding extreme credit risk. This paper applies Conditional Value at Risk (CVaR) techniques, traditionally used in the insurance industry to measure risk beyond a predetermined threshold, to four credit models. For each of the models we use both Historical and Monte Carlo Simulation methodology to create CVaR measurements. The four extreme models are derived from modifications to the Merton structural model (which we term Xtreme-S), the CreditMetrics Transition model (Xtreme-T), Quantile regression (Xtreme-Q), and the author’s own unique iTransition model (Xtreme-i) which incorporates industry factors into transition matrices. For …
Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh
Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh
Research outputs 2011
The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Default (CPD, the author’s own model which measures risk based on extreme asset value fluctuations. Daily equity and asset value fluctuations are included in the analysis, including pre-GFC and GFC periods. In addition to examining size in isolation as …
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 …
The Role And Relevance Of Domain Knowledge, Perceptions Of Planning Importance, And Risk Tolerance In Predicting Savings Intentions, Peter Croy, Paul Gerrans, Craig Speelman
The Role And Relevance Of Domain Knowledge, Perceptions Of Planning Importance, And Risk Tolerance In Predicting Savings Intentions, Peter Croy, Paul Gerrans, Craig Speelman
Research outputs pre 2011
The need for individuals to increase retirement savings has been widely promoted, yet our understanding of the motivations of individuals to save at a higher rate remains sparse. This paper reports the findings of a survey of 2300 retirement savings fund members and their motivations to contribute more to savings and to actively manage their investment strategy. Utilising the theory of planned behavior, the study reveals respondent’s self-reported attitudes, subjective norms and perceptions of behavioral control account for a high proportion of the variance in behavioral intention. Contrary to expectations, the study finds that respondent’s risk tolerance adds little to …
Using Quantile Regression To Estimate Capital Buffer Requirements For Japanese Banks, David Allen, Robert Powell, Abhay Singh
Using Quantile Regression To Estimate Capital Buffer Requirements For Japanese Banks, David Allen, Robert Powell, Abhay Singh
Research outputs pre 2011
This paper investigates the impact of extreme fluctuations in bank asset values on the capital adequacy and default probabilities (PD) of Japanese Banks. We apply quantile regression analysis to the Merton structural credit model to measure how capital adequacy and PDs fluctuate over a 10 year period incorporating the Global Financial Crisis (GFC). Quantile regressions allow modelling of the extreme quantiles of a distribution, as opposed to focussing on the mean, which allows measurement of capital and PDs at the most extreme points of an economic downturn. Understanding extreme risk is essential, as it is during these extreme circumstances when …
Financial Market Integration In The Greater China Region: A Multivariate Asymmetric Approach, K.Y. Ho, Zhaoyong Zhang
Financial Market Integration In The Greater China Region: A Multivariate Asymmetric Approach, K.Y. Ho, Zhaoyong Zhang
Research outputs pre 2011
This paper examines the volatility dynamics of the greater China stock markets (Shanghai A- and B-shares, Shenzhen A- and B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which are typically observed in stock markets of developed economies. Our results indicate that, unlike the Shenzhen and Shanghai Ashares, Hong Kong and Taiwan markets, the B-share markets do not exhibit significant asymmetric volatility (“leverage effect”), and return volatility in the A-share market is substantially higher than the B-share market before April 1997, but this result is reversed after that. …
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 …
Areit Returns From 1990-2008: A Multi-Factor Approach, Jaime Yong, David E. Allen, Lee K. Lim
Areit Returns From 1990-2008: A Multi-Factor Approach, Jaime Yong, David E. Allen, Lee K. Lim
Research outputs pre 2011
Australian Real Estate Investment Trusts (AREITs) have experienced substantial growth and popularity since 1993. Amongst the major themes surrounding this sector during this time, were the increased attention from institutional investors, the trend towards and away from property-type diversification, significant merger and acquisition activities which led to increased trust size, the debate between internally versus externally managed trust structures, increased gearing levels, and the focus towards diversification into international property assets. 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 …
Stock Returns And Equity Premium Evidence Using Dividend Price Ratios And Dividend Yields In Malaysia, David Allen, Imbarine Bujang
Stock Returns And Equity Premium Evidence Using Dividend Price Ratios And Dividend Yields In Malaysia, David Allen, Imbarine Bujang
Research outputs pre 2011
The empirical findings of Goyal and Welch (2003) and Cochrane (2006) suggested that dividend yields and dividend ratios are robust predictors of annual stock returns and annual equity premia. However, Goyal and Welch (2003) asserted that many researchers considered dividend yields to be a good predictor for the equity premium before the 1990s but not after the 1990s. We apply these models to the Malaysian market. Our general findings suggest that the in-sample performances of the KLCI Malaysian datasets present similar results to those predicted by Goyal and Welch (2003, 2006). Meanwhile, the Mincer-Zarnowitz (1969) regression forecast tests for out …
Conditional Beta Capital Asset Pricing Model (Capm) And Duration Dependence Tests, David E. Allen, Imbarine Bujang
Conditional Beta Capital Asset Pricing Model (Capm) And Duration Dependence Tests, David E. Allen, Imbarine Bujang
Research outputs pre 2011
This paper uses a sample of 50 companies continuously listed on Main Board of Bursa Malaysia from January 1994 until December 2001 and uses duration dependence tests whilst applying two asset pricing models based on the CAPM; the two Factor Model developed by Fama and French (F&F)(1998) and Ferson, Sarkissian and Simin’s (FSS) (2008) conditional beta model applied to estimate the conditional beta of CAPM as to generate the positive and negative abnormal returns. The findings suggest that both the Log Logistic and Weibull hazard models seem to support the existence of negative duration dependence for both positive and negative …
Pricing Options By Simulation Using Realized Volatility, David E. Allen, Michael Mcaleer, Marcel Scharth
Pricing Options By Simulation Using Realized Volatility, David E. Allen, Michael Mcaleer, Marcel Scharth
Research outputs pre 2011
A growing literature advocates the use of high-frequency data for the purpose of volatility estimation. However, despite the successes in modeling the conditional mean of realized volatility empirical evaluations of this class of models outside the realm of short run forecasting is limited. How can realized volatility be used for pricing options? What are the modeling qualities introduced by realized volatility models for pricing derivatives? In this short paper, we propose an options pricing framework based on a new realized volatility model that captures all the relevant empirical regularities of the realized volatility series of the S&P 500 index. We …
Impact Of The Financial Crisis On Australian Bank Default Risk, Robert Powell, David E. Allen
Impact Of The Financial Crisis On Australian Bank Default Risk, Robert Powell, David E. Allen
Research outputs pre 2011
Australian Banks are widely considered to have remained in far better shape during the financial crisis than their global counterparts. The Australian banking sector has retained solid earnings and good capitalisation. Indeed, the 4 major Australian banks are part of a select group of only 8 global banks who hold AA credit ratings. Nonetheless, Australian banks have experienced significant deterioration in market values of assets in line with global financial market fluctuations. The KMV / Merton structural model is widely used by Australian and global banks to measure default probabilities of their customers based on market asset values and debt …
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 …
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.
Some Evidence On The Performance Benchmarking Of Australian Fixed Interest Funds, David E. Allen, Victor Soucik
Some Evidence On The Performance Benchmarking Of Australian Fixed Interest Funds, David E. Allen, Victor Soucik
Research outputs pre 2011
In this paper we analyse the performance of Australian fixed interest managed funds by examining the relative effectiveness of various indices of bond performance which are combined with various measures of: interest rate fluctuations, economic fundamentals, maturity risk, default risk, and equity market returns, in an attempt to find an ‘optimum’ index. Our dataset is sourced from the Australian fund-rating agency ASSIRT. We show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as a proxy for movements in the equity markets yield the optimal benchmark.
Some Statistical Models For Durations And Their Applications In Finance, Shelton Peiris, David E. Allen, Wenling Yang
Some Statistical Models For Durations And Their Applications In Finance, Shelton Peiris, David E. Allen, Wenling Yang
Research outputs pre 2011
This paper considers a new class of time series models called Autoregressive Conditional Duration (ACD) models. Various statistical properties of this class of ACD models are given. A minimum mean square error (mmse) forecast function is obtained as it plays an important role in many practical applications. The theory is illustrated using a potential application based on financial data.
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M Aitken, David E. Allen, Wenling Yang
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M Aitken, David E. Allen, Wenling Yang
Research outputs pre 2011
This paper is concerned with investigating the information content of undisclosed limit orders, identifying factors that affect their sizes, and examining brokers’ behavior in using undisclosed orders. Our estimation results from a sample stocks listed on the ASX indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern observed in large disclosed limit orders, this paper provides evidence to support a similar pattern in the case of undisclosed limit orders as well. Our model also provides a statistical measure for estimating the size of undisclosed orders.
Do Uk Stock Prices Deviate From Fundementals?, David E. Allen, Y Wenling
Do Uk Stock Prices Deviate From Fundementals?, David E. Allen, Y Wenling
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 non-fundamental 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.
Mutual Fund Company Mergers And Their Impact On Investment Flows, David Allen, Jerry Parwada
Mutual Fund Company Mergers And Their Impact On Investment Flows, David Allen, Jerry Parwada
Research outputs pre 2011
No abstract provided.
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.
Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Macroeconomic Announcements, Volatility And Interrelationships: An Examination Of The Uk Bond And Stock Markets, Bradley Jones
Theses : Honours
This study covers considerable ground and touches on a range of issues in a rigorous investigation of the intraday and end-of-day behaviour of I JK stock index and interest rate futures contracts. Firstly, the paper uses S-minute data in an initial examination of the response of the Short Sterling, Long Gilt and FTSEI00 to the release of macroeconomic announcements (assisted with the application of GMM). Secondly, in an analysis of intraday patterns in returns and volatility a GARCII(I,I) framework is employed, so that further inferences are made robust to time-varying variance. Finally, the paper draws upon some of the latest …