1,721,047 research outputs found
Australian Implied Volatility Index
No full textVolatility implied from option prices is widely regarded as the market's estimate of future expected volatility of the underlying asset. We construct an implied volatility index for the S&P/ASX 200 Index, the AVX, which we find contains important information for predicting volatility of the ASX and significantly outperforms other predictors commonly used
Daily Value-at-Risk models at financial crisis period: evidence in Australia
No full textOver the past decades portfolio and risk management techniques had adapted to increasingly complex financial instrument. Within the different forms of financial risk measurement tools, Value at Risk (VAR) which provides the most expediency measurement from the adverse market movements, is now widely accepted as a fundamental tool for risk management and it has become a standard benchmark for measuring financial risk since the 1990s. This dissertation primarily focuses on using the newly created Australian implied volatility as an input for Value-at-Risk models during the financial crisis period and then compares the testing results with other two different volatility inputs based on two back-testing methods. The results show that during the financial crisis period straight forward volatility forecasts based on Australian implied volatility do not provide meaningful volatility information in VAR models, and this was however fine in most cases when using RiskMetrics and GJR-GARCH as volatility forecasts methods. This indicates that the models’ performances can be deteriorating in challenging trading environments, and in order to get protection against credit risk, operational risk and liquidity risk, the risk managers or investors should appropriate use of VAR
Interest rate pass-through and monetary policy transmission in Thailand
No full textThis dissertation examines the degree and speed of key retail interest rates in response to prime rate changes in Thailand. By using five deposit rates and three lending rates from 46 domestic and foreign banks between January 1996 and July 2013 at a monthly basis, I am able to investigate the impacts of the oligopolistic structure in the banking sector and the changing financial environment in Thailand on the interest rate pass-through. The results show that the long-run pass-through is higher than the short-run, but neither is complete. All retails interest rates are more rigid when they are below their equilibrium level than they are above. In addition, the oligopolistic structure has a positive impact on the degree of pass-through, but has no impact on the adjustment speed of the pass-through. Finally, changes in the financial environment could affect interest pass-through as introducing inflation targeting policy has increased the pass-through but financial crises have significantly reduced the pass-through. The findings imply monetary policy transmission via interest rate pass-through is less effective but improving overtime in Thailand
Daily analysis of institutional and individual trading and stock returns: evidence from China
No full textThis dissertation examines the impact of institutional (and individual) trading on stock prices in China. Previous literature suggests three alternative hypotheses for this impact: price pressure, informed trading, and momentum trading, but has so far not been able to distinguish between them. Using a unique dataset that contains detailed daily institutional and individual ownership information for all Shanghai Stock Exchange stocks in China, I am able to examine the important relation between daily aggregate institutional (individual) trading and past, contemporaneous, and future stock returns at a daily level. I find strong evidence of price pressure, informed trading, and momentum trading of institutional investors. These findings have important implications for the efficiency of the financial market
Daily Value-at-Risk models at financial crisis period: evidence in Australia
No full textOver the past decades portfolio and risk management techniques had adapted to increasingly complex financial instrument. Within the different forms of financial risk measurement tools, Value at Risk (VAR) which provides the most expediency measurement from the adverse market movements, is now widely accepted as a fundamental tool for risk management and it has become a standard benchmark for measuring financial risk since the 1990s. This dissertation primarily focuses on using the newly created Australian implied volatility as an input for Value-at-Risk models during the financial crisis period and then compares the testing results with other two different volatility inputs based on two back-testing methods. The results show that during the financial crisis period straight forward volatility forecasts based on Australian implied volatility do not provide meaningful volatility information in VAR models, and this was however fine in most cases when using RiskMetrics and GJR-GARCH as volatility forecasts methods. This indicates that the models’ performances can be deteriorating in challenging trading environments, and in order to get protection against credit risk, operational risk and liquidity risk, the risk managers or investors should appropriate use of VAR
Behavioural heterogeneity in ASX 200
No full textThis dissertation works on dynamic asset pricing with heterogeneous agents. The heterogeneous agent model assumes that public information is available to all investors and agents. However, the agents or the investors form different beliefs and different trading strategies based on the same information. Investors keep reallocating their money between different strategies depending on their beliefs. This dissertation assumes there are two strategies in the market, namely fundamentalist and chartist strategies. A strategy with a good performance is expected to attract more investors than other strategies. Fundamentalists believe that any mispriced asset adjusts its price back to fair value. Chartists believe that the trend of deviations from fundamental values continues in the next period. This dissertation estimates the model by collecting monthly Australian stock price from 1882 to 2008. Our estimated results support that there is heterogeneity in the stock market and the model with two types of investors outperforms a homogeneous expectation model. The fractions of investors using the chartists and fundamentalists forecasting rules show substantial time variation and switching between predictors. From the 1980s onwards, the investors in the stock market switch between two strategies more frequently than in the past
Interest rate pass-through and monetary policy transmission in Thailand
No full textThis dissertation examines the degree and speed of key retail interest rates in response to prime rate changes in Thailand. By using five deposit rates and three lending rates from 46 domestic and foreign banks between January 1996 and July 2013 at a monthly basis, I am able to investigate the impacts of the oligopolistic structure in the banking sector and the changing financial environment in Thailand on the interest rate pass-through. The results show that the long-run pass-through is higher than the short-run, but neither is complete. All retails interest rates are more rigid when they are below their equilibrium level than they are above. In addition, the oligopolistic structure has a positive impact on the degree of pass-through, but has no impact on the adjustment speed of the pass-through. Finally, changes in the financial environment could affect interest pass-through as introducing inflation targeting policy has increased the pass-through but financial crises have significantly reduced the pass-through. The findings imply monetary policy transmission via interest rate pass-through is less effective but improving overtime in Thailand
Impact of foreign bank entry on the credit stability of host countries
No full textThis study investigates lending sensitivity of foreign and domestic banks to crises and business cycles in South Asia. It also studies the credit behaviour of banks in reaction to financial liberalization and deposit structure of banks. The dataset consists of more than 200 banks for the period 2003-2009 from four countries in South Asia, with information on Ownership Structure and Balance Sheet of banks. During crisis, foreign banks credit remains insensitive, while domestic banks emerge as stabilizers. In response to host country macroeconomic fluctuations foreign banks’ credit growth demonstrate positive relationship, but no association has been witnessed in response to home country macroeconomic fluctuations. Finally, financial liberalization and exposure to short term deposits does have a significant impact on lending behaviour of foreign banks
The impact of minimum tick size on the liquidity of the New Zealand stock market
No full textThis study consider the impact of minimum tick size (MTS) on the liquidity of the New Zealand stock market, where the MTS reduce from 0.005 for 17 stocks in 2011. I analyse stock market liquidity (i.e., spreads and depths) using data from New Zealand stock market. Sometimes, a large MTS would be a binding constraint on the bid ask spread, therefore, large execution cost (Harris, 1994). Asicoglu, Comerton-Forde and McInish (2010) find that there is a significant relationship between MTS and trade size, the number of trades, and price. In my study, I test the binding constraint probability and the relation between the MTS and the stock characteristics. The empirical results show the current MTS is a binding constraint for stocks with price less than $0.20. The trading volume is strongly positive correlated with proportion of spread equal to MTS. However, the relationship with market capitalization is weak
Behavioural heterogeneity in ASX 200
No full textThis dissertation works on dynamic asset pricing with heterogeneous agents. The heterogeneous agent model assumes that public information is available to all investors and agents. However, the agents or the investors form different beliefs and different trading strategies based on the same information. Investors keep reallocating their money between different strategies depending on their beliefs. This dissertation assumes there are two strategies in the market, namely fundamentalist and chartist strategies. A strategy with a good performance is expected to attract more investors than other strategies. Fundamentalists believe that any mispriced asset adjusts its price back to fair value. Chartists believe that the trend of deviations from fundamental values continues in the next period. This dissertation estimates the model by collecting monthly Australian stock price from 1882 to 2008. Our estimated results support that there is heterogeneity in the stock market and the model with two types of investors outperforms a homogeneous expectation model. The fractions of investors using the chartists and fundamentalists forecasting rules show substantial time variation and switching between predictors. From the 1980s onwards, the investors in the stock market switch between two strategies more frequently than in the past
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