Finance Commons^™

Market Structure And Mortgage Pricing: The Role Of Information In Firm And Consumer Behavior, Abdullah A. Al-Bahrani

University of Kentucky Doctoral Dissertations

This dissertation analyzes information, market structure, and firm pricing strate-gies. I begin the dissertation with an analysis of the market structure of the mortgage in-dustry. I find that the configuration of the mortgage market at its present state is vastly different than its historical structure. The reduction in the cost of transmitting informa-tion has increased the collaborative environment and facilitated the dis-integration of the supply chain. Generally, the mortgage industry has been successful at reducing principal-agent problems and minimizing asymmetric information concerns that arise in segmented markets.

In the first essay I provide a theoretical explanation of the effect of …

Managing Capital Flows: The Case Of Singapore, Hwee Kwan Chow

Research Collection School Of Economics

The resurgence of private capital inflows into Asia in recent years has raised the question of whether the region is susceptible to yet another financial crisis. While a sudden large-scale reversal of capital flows is not likely to result in a liquidity crunch or balance of payments crisis, the attendant sharp corrections in asset prices will have an adverse impact on the economy particularly through indirect channels. We present, in this study, Singapore’s experience in managing the risks posed by capital flows as well as the retention of control over exchange rates and monetary conditions. It is the overall package …

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 …

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

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. …