Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to an ....Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.Read moreRead less
Special Research Initiatives - Grant ID: SR0354895
Funder
Australian Research Council
Funding Amount
$40,000.00
Summary
Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statist ....Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statistics, actuarial science, financial mathematics, market micro-structure, accounting and information systems. FIRN will be supported by SIRCA's world-class financial research infrastructure and industry network. It will deliver a range of innovative research, educational, professional development and applied outcomes.Read moreRead less
Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in ....Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in this sizable market segment offers significant opportunities for linkage research. This project will focus on the valuation, (il)liquidity, and macroeconomic sources of momentum profits as they related to the economic cycle, across the size spectrum.
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Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adapt ....Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adaptive behaviour by market participants. Second, new tools to more effectively understand and manage portfolio risk in financial markets. Consequently Australia will have a more efficient and competitive financial system. It also has the potential to lead to the development of more finance related industries such as financial market software.Read moreRead less
Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient pr ....Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.Read moreRead less
An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to in ....An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to invest in alternative assets such as small cap stocks. Small companies have been described as the engine room of economic growth, promoting employment, national prosperity, and innovation and entrepreneurship. Our research considers a significant and growing part of Australia's national economy.Read moreRead less
An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be ....An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be utilised within the overall fund structure. We will show the problems associated with the current portfolio configuration system adopted by super funds, and to identify areas where more optimal investment arrangements can significantly improve overall portfolio returns and reduce expenses.Read moreRead less
Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a ....Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a study has been impossible until now due to non-disclosure of trades. Understanding the fundamental origins of fund performance enhances the overall returns to investors, provides a new ratings system yielding superior information, and redirects the nest-eggs of "mums and dads" towards better-performing managers.Read moreRead less
When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption. Stock exchanges worldwide provide the opportunity to instantaneously and continuously trade securities. The introduction of automated trading systems has considerably enhanced this opportunity. Surprisingly, exchanges still have (and use) the discretion to occasionally suspend trading in certain stocks. These trading halts are used to prevent a disorderly or uninformed response to pertinent company informati ....When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption. Stock exchanges worldwide provide the opportunity to instantaneously and continuously trade securities. The introduction of automated trading systems has considerably enhanced this opportunity. Surprisingly, exchanges still have (and use) the discretion to occasionally suspend trading in certain stocks. These trading halts are used to prevent a disorderly or uninformed response to pertinent company information releases. Practitioners and academics tend to believe that trading halts do not serve this role well. We propose a new methodology to more accurately measure the costs and benefits of trade suspensions. We compare their impact on different trading systems, and evaluate their intertemporal performance.Read moreRead less
Investment Opportunities and the Impact of Interaction Between Global Integration, International Capital Flows and Price Movements in Emerging Stock Markets. Emerging stock markets now represent an integral component of international investment portfolios comprising billions of dollars. But stocks in these markets are perceived as excessively volatile and frequently inconsistent with economic fundamentals. This project investigates the linkage between emerging stock prices and both local and glo ....Investment Opportunities and the Impact of Interaction Between Global Integration, International Capital Flows and Price Movements in Emerging Stock Markets. Emerging stock markets now represent an integral component of international investment portfolios comprising billions of dollars. But stocks in these markets are perceived as excessively volatile and frequently inconsistent with economic fundamentals. This project investigates the linkage between emerging stock prices and both local and global economic influences; develops quantifiable time-varying measures of capital market integration based on fundamentals allowing ranking across markets; and explores how integration levels are affected by capital flows. The project will benefit the investment community and governments in understanding, and modelling, the impact of policy and trade flows on market integration and the consequent effect on stock markets.Read moreRead less