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Social and Behavioral Sciences Commons™
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- [ECUPub] (3)
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Articles 1 - 11 of 11
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 …
Revisiting The 1997 Asian Financial Crisis: A Copula Approach, A. Tsui, Zhaoyong Zhang
Revisiting The 1997 Asian Financial Crisis: A Copula Approach, A. Tsui, Zhaoyong Zhang
Research outputs pre 2011
This study is motivated by the stylized fact that the asymmetry in dependence usually exists in returns of financial data series. Owing to political and monetary reasons, this phenomenon may be present in daily changes of exchange rates. In this paper, we study the relationships between five currencies in Asia around the period of Asian Financial Crisis in 1997, including the Singapore Dollar, Japanese Yen, South Korea Won, Thailand Baht and Indonesia Rupiah. We employ various time-varying copula models to examine the possible structural breaks. The results indicate significant changes at the dependence level, tail behavior and asymmetry structures between …
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 …
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 …
Examining The Existence Of Long-Run Relationships Between East Asian Economic Integration And Asean Tourism Exports, Ghialy Choy Lee Yap
Examining The Existence Of Long-Run Relationships Between East Asian Economic Integration And Asean Tourism Exports, Ghialy Choy Lee Yap
Research outputs pre 2011
This paper examines the existence of long-run relationships between East Asian economic integration and tourism exports for nine selected ASEAN States for the period 1996-2007. I employ tourist arrivals data as a proxy for tourism exports and trade ratios as a proxy for the economic integration. Using Johansen’s Fisher panel cointegration test, the findings show that tourist arrivals and trade ratios are cointegrated in seven out of nine Southeast Asia countries. This suggests that East Asia economic integration can be one of the important factors that influence international tourism demand to ASEAN States in the long-run. However, for Laos and …
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. …
Equilibrium Exchange Rate Of Asian Currencies: The Chinese Renminbi, K. Sato, J. Shimizu, N. Shrestha, Zhaoyong Zhang
Equilibrium Exchange Rate Of Asian Currencies: The Chinese Renminbi, K. Sato, J. Shimizu, N. Shrestha, Zhaoyong Zhang
Research outputs pre 2011
We estimate the equilibrium exchange rate (EER) of the Chinese renminbi (RMB) vis-à-vis the U.S. dollar from 1992 to 2009. In contrast to the recent empirical studies on the EER employing a large cross-country analysis, we focus on the supply side real factors in estimating the EER by extending the Yoshikawa (1990) model. To better reflect China's processing exports in the context of growing intra-regional trade in Asia, we incorporate in the empirical analysis the source country breakdown data on import prices and input coefficients of intermediate inputs by constructing an annual new International Input-Output (IIO) table for the period …
Evaluating Currency Convergence In East Asia, Lee Lim
Evaluating Currency Convergence In East Asia, Lee Lim
Research outputs pre 2011
There have been increased debates among economic analysts and policy makers on the role of financial globalization in economic growth and the importance of openness to international trade followed the global financial crisis (GFC) of 2007-2009. The global crisis has affected both the developed and emerging-market economies in East Asia where major stock markets plunged along with the US market and many currencies also fell against the US dollar. Although the impact of the US-led GFC was less severe than the 1997-1998 financial crisis, a large empirical literature has emerged examining the future directions of monetary and exchange rate arrangements …
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 …
The Boycott Model Of Foreign Product Purchase: An Empirical Test In China, Malcolm Smith, Qianpin Li
The Boycott Model Of Foreign Product Purchase: An Empirical Test In China, Malcolm Smith, Qianpin Li
Research outputs pre 2011
The primary purpose of this paper is to investigate and ascertain the effects of integrative motivation on the willingness to participate in boycott activities. This paper uses a mail survey to examine the relationships among six constructs in a boycotting issue context, in order to explore Chinese consumers’ willingness to boycott against Japanese products or services with the fallout from a Japanese former PM’s continuous visits to a controversial war shrine since 2001. The findings suggest that there are significant and positive pairwise relationships between boycott participation and three factors (i.e. animosity, efficacy, and prior purchase). High animosity towards Japanese …