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22nd Australasian Finance & Banking Conference 2009 (Archive)最新文献

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Modelling Price Movement and Trading Volume in Conditional Volatility 条件波动下的价格运动和交易量模型
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-12-14 DOI: 10.2139/ssrn.1460376
S. Ting, D. U. Galagedera
{"title":"Modelling Price Movement and Trading Volume in Conditional Volatility","authors":"S. Ting, D. U. Galagedera","doi":"10.2139/ssrn.1460376","DOIUrl":"https://doi.org/10.2139/ssrn.1460376","url":null,"abstract":"This study investigates the relation between volatility in the returns and trading volume adjusted for overall up/down price movement in 59 stocks from the Australian market. Two proxies for rate of information arrival accommodating up/down price movement over the trading period and the non-trading period are introduced. These proxies when included in the variance equation of the GARCH(1,1) model tend to reduce persistence in volatility more than the contemporaneous and lagged trading volume. The overnight non-trading period downward price movement induced trading volume affect conditional volatility more than when the price movement is upward. When the overall price movement during the trading period is accommodated through trading volume the asymmetric effect due to up and down price movement on conditional volatility is opposite to what is observed with the overnight non-trading period case.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123679511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interbank Market Integration, Loan Rates, and Firm Leverage 银行间市场一体化、贷款利率和企业杠杆
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-11-01 DOI: 10.2139/ssrn.1442465
S. Ongena, A. Popov
{"title":"Interbank Market Integration, Loan Rates, and Firm Leverage","authors":"S. Ongena, A. Popov","doi":"10.2139/ssrn.1442465","DOIUrl":"https://doi.org/10.2139/ssrn.1442465","url":null,"abstract":"We study the effect of interbank market integration on small firm finance in the build-up to the current financial crisis. We use a comprehensive data set that contains contract terms on individual loans to 6,000 firms across 14 European countries between 1998:01 and 2005:12. We account for the selection that arises in the loan request and approval process. Our findings imply that integration of interbank markets resulted in less stringent borrowing constraints and in substantially lower loan rates. The decrease was strongest in markets with competitive banking sectors. We also find that in the most rapidly integrating markets, firms became substantially overleveraged during the build-up to the crisis. Our evidence thus points to one specific channel through which the credit boom of the last decade contributed to both the growth and the vulnerability of the region's non-financial firms.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125202811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 66
Reduction in Bank Ownership and Firm Performance: Evidence from Japan 银行持股减少与企业绩效:来自日本的证据
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-10-31 DOI: 10.2139/ssrn.1460344
Konari Uchida
{"title":"Reduction in Bank Ownership and Firm Performance: Evidence from Japan","authors":"Konari Uchida","doi":"10.2139/ssrn.1460344","DOIUrl":"https://doi.org/10.2139/ssrn.1460344","url":null,"abstract":"Recently in Japan, the Banks’ Shareholdings Restriction Law requires that banks substantially decrease shareholdings. This study examines firms that experienced a 5% or greater reduction in percentage ownership by banks for a year during 2001–2004. Results show that those firms improve their accounting performance. That performance improvement is positively related to the ex ante debt ratio. Furthermore, changes in those firms’ assets are negatively related to the ex ante debt ratio. The results suggest that the reduction in bank ownership enhances the disciplinary role of debt. Finally, firms achieve better performance improvements when non-Japanese owners replace bank ownership.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115359935","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Credit/Interest Rate Hybrid Models of the Short Rate for Pricing Counterparty Risk Adjustment 定价交易对手风险调整的短期利率信用/利率混合模型
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-09-10 DOI: 10.2139/ssrn.1460249
Ioannis Kechagioglou
{"title":"Credit/Interest Rate Hybrid Models of the Short Rate for Pricing Counterparty Risk Adjustment","authors":"Ioannis Kechagioglou","doi":"10.2139/ssrn.1460249","DOIUrl":"https://doi.org/10.2139/ssrn.1460249","url":null,"abstract":"This study is concerned with hybrid models of multiple stochastic processes and their use in pricing instruments whose payoffs depend on credit and interest rate variables. We introduce such a model and extend to two-factor modelling in both credit and interest rate dimensions, in order to relax the assumption of perfect correlation between survival probabilities of different tenors. We also assume that short interest and hazard rates evolve as correlated stochastic processes and apply simulation methods for pricing interest rate and credit default swaps with counterparty risk. Analytical CDS pricing formulas that consider the filtration of the simulated variables are also derived to significantly improve computational efficiency in the calibration and pricing procedures. Our numerical experiments indicate that the volatility of interest and hazard rates are significant parameters for the value of counterparty risk adjustment, while the correlation between survival probabilities with different time horizons are found to be far from perfect. These results strongly support the use of two-factor dynamic models.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114322067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Corporate Governance, Financing Pattern and Cost of Capital: Evidence from New Zealand Companies 公司治理、融资模式与资本成本:来自新西兰公司的证据
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-08-24 DOI: 10.2139/ssrn.1460316
Hardjo Koerniadi, A. Tourani-Rad
{"title":"Corporate Governance, Financing Pattern and Cost of Capital: Evidence from New Zealand Companies","authors":"Hardjo Koerniadi, A. Tourani-Rad","doi":"10.2139/ssrn.1460316","DOIUrl":"https://doi.org/10.2139/ssrn.1460316","url":null,"abstract":"In this paper, we examine the effects of corporate governance mechanisms on the financing policies of New Zealand firms for the period 2004-2008. Using a unique self-constructed corporate governance index and employing the Fama and French (1999) financing model of firms, we find that firms with weak corporate governance mechanisms have more leverage than do firms with strong governance mechanisms. After controlling for the effects among corporate governance components, we observe that firms with different levels of corporate governance quality use different corporate governance mechanisms in relation to their financing policies. We report that firms can dynamically adjust their leverage as a governance mechanism through compensation policy and shareholder rights. Boards are observed to affect firm leverage only when other corporate governance mechanisms are ineffective.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126925583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe 股市和汇市波动溢出效应:来自新兴东欧的证据
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-08-24 DOI: 10.2139/ssrn.1460645
E. Fedorova, K. Saleem
{"title":"Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe","authors":"E. Fedorova, K. Saleem","doi":"10.2139/ssrn.1460645","DOIUrl":"https://doi.org/10.2139/ssrn.1460645","url":null,"abstract":"The purpose of this study is threefold. First, we look at the linkages between Eastern European emerging equity markets and Russia. Second, we investigate the relationships between the currency markets of Poland, Hungary, Russia, and the Czech Republic. Finally, we examine the interdependence between Emerging Eastern European and Russian equity and currency markets. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995) using weekly returns. We find evidence of direct linkages between the equity markets in terms of both returns and volatility, as well as in the currency markets. When analyzing the relationships between currency and stock markets we find unidirectional volatility spillovers from currency to stock markets. The results show clear evidence of integration of Eastern European markets within the region and with Russia as well.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131921475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 71
The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads 次贷危机对LIBOR-OIS利差跨币种联动的影响
22nd Australasian Finance & Banking Conference 2009 (Archive) Pub Date : 2009-05-21 DOI: 10.2139/ssrn.1407925
P. Ji, F. In
{"title":"The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads","authors":"P. Ji, F. In","doi":"10.2139/ssrn.1407925","DOIUrl":"https://doi.org/10.2139/ssrn.1407925","url":null,"abstract":"This paper examines the cross-currency linkage of LIBOR-OIS spreads. We consider daily spread data in five major currencies for the period of March 1, 2006 to Nov 11, 2008. The impulse response analysis is conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. The overall evidence suggests that the crisis has substantially changed the nature of the cross-country interactions in liquidity premium. Global money markets fail to contain the US dollar term funding shocks and the role of Japanese yen in terms of liquidity source appears to be significant. Also the US dollar and yen spreads drive the cross-currency system of liquidity premium, whereas the premium in the euro, pound and Australian dollar funding equilibrate to errors in long-run relation of liquidity premium.","PeriodicalId":292108,"journal":{"name":"22nd Australasian Finance & Banking Conference 2009 (Archive)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125361065","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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