发布求助
文献互助 智能选刊 最新文献

Australasian Finance & Banking Conferences最新文献

筛选
英文 中文
Determinants of Foreign Direct Investment Inflows in Nigeria: An Empirical Analysis (1970-2011) 尼日利亚外国直接投资流入的决定因素:一个实证分析(1970-2011)
Australasian Finance & Banking Conferences Pub Date : 2016-03-31 DOI: 10.2139/ssrn.2756975
E. Okereke, Nelson Okheshimi Ebulison
{"title":"Determinants of Foreign Direct Investment Inflows in Nigeria: An Empirical Analysis (1970-2011)","authors":"E. Okereke, Nelson Okheshimi Ebulison","doi":"10.2139/ssrn.2756975","DOIUrl":"https://doi.org/10.2139/ssrn.2756975","url":null,"abstract":"The study empirically identified the determinants of Foreign Direct Investment (FDI) inflow to Nigeria. Secondary sources were used to source annual time series data on FDI inflow into Nigeria, Degree of trade openness, Gross Domestic Product (GDP), Interest rate, Exchange rate of the naira against the US Dollar (N/$),over the period, 1970-2011. These variables were analyzed using Ordinary least Square (OLS), Unit Root test, Co-integration and Error Correction Mechanism (ECM). It was found that there is a significant relationship between FDI and GDP, exchange rate and degree of openness but no significant relationship between FDI and interest rate in Nigeria. The study recommends among others, that Government should continuously formulate and implement policies that would increase productive base, embark on moderate devaluation of the national currency to attract more FDI inflow into Nigeria and encourage liberalization with some policy caution.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131735861","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: 2
Do Microfinance Lenders Easily Reach an Optimal Welfare? Evidence from a Maximization Lenders' Utility Function 小额贷款机构容易获得最优福利吗?来自最大化出借人效用函数的证据
Australasian Finance & Banking Conferences Pub Date : 2016-03-04 DOI: 10.2139/ssrn.2742086
Sandra Kendo
{"title":"Do Microfinance Lenders Easily Reach an Optimal Welfare? Evidence from a Maximization Lenders' Utility Function","authors":"Sandra Kendo","doi":"10.2139/ssrn.2742086","DOIUrl":"https://doi.org/10.2139/ssrn.2742086","url":null,"abstract":"Market segmentation characterized by price heterogeneity appears as a failure of classical view of market equilibrium. We suppose that an existence of specific asset pricing determines the wealth level of lenders. In microfinance, we look at the linkages between the welfare of lenders and market segmentation degree. For that, we used a maximization program where a lender utility function is defined. One of the results is that high number of lenders determines their portfolio diversification capacity. In a context of price inelasticity and price discrimination of financial demand for microfinance products, the microfinance market appears as highly segmented but not highly efficient if we consider lenders’ returns. Moreover, an increase of average yield and average amount of initial loans positively improve the utility level of lenders. So, the improvement of microfinance lenders welfare is probable, but highly constrained by the behavior of some important financial factors.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116061135","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
Intra-Day Revelation of Counterparty Identity in the World's Best-Lit Market 在全球光照最好的市场中，交易对手身份的日内揭露
Australasian Finance & Banking Conferences Pub Date : 2016-02-11 DOI: 10.2139/ssrn.2644149
Thu Phuong Pham, P. Swan, P. Westerholm
{"title":"Intra-Day Revelation of Counterparty Identity in the World's Best-Lit Market","authors":"Thu Phuong Pham, P. Swan, P. Westerholm","doi":"10.2139/ssrn.2644149","DOIUrl":"https://doi.org/10.2139/ssrn.2644149","url":null,"abstract":"We study the impact of post-trade disclosure of broker IDs on market efficiency, trading volume and bid-ask spreads in a unique South Korean experiment. We find that simply revealing the ex-post order flow of the major brokers to the entire market improves market efficiency to the level of a random walk and increases trade volume by facilitating the rapid removal of asymmetric information. The least volatile and largest stocks experience a remarkable 59% rise in volume during the afternoon session. Realized spreads fall, indicating greater competition between liquidity suppliers, whereas market impact increases because of more rapid price discovery.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124929656","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
Multiple Markets, Algorithmic Trading, and Market Liquidity 多重市场、算法交易和市场流动性
Australasian Finance & Banking Conferences Pub Date : 2016-02-10 DOI: 10.2139/ssrn.2389922
James E. Upson, R. Van Ness
{"title":"Multiple Markets, Algorithmic Trading, and Market Liquidity","authors":"James E. Upson, R. Van Ness","doi":"10.2139/ssrn.2389922","DOIUrl":"https://doi.org/10.2139/ssrn.2389922","url":null,"abstract":"Using a sample of NYSE firms from the first quarter of 2012, we show that the National Best Bid and Offer (NBBO) depth is negatively affected by quote competition between exchanges and by excess algorithmic trading (AT) activity, but positively impacted by volume fragmentation. Trade execution quality also decreases with higher quote competition and AT activity but is better with higher volume fragmentation. In addition, we find that the U-shaped pattern of spreads is an S-shape, with higher spreads at the open and lower spreads at the close. NBBO depth has an inverse pattern to that of spreads.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123516602","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: 33
Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector 资产多元化与效率:来自中国银行业的证据
Australasian Finance & Banking Conferences Pub Date : 2015-12-01 DOI: 10.2139/ssrn.2825787
Kai Du, A. Worthington, V. Zelenyuk
{"title":"Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector","authors":"Kai Du, A. Worthington, V. Zelenyuk","doi":"10.2139/ssrn.2825787","DOIUrl":"https://doi.org/10.2139/ssrn.2825787","url":null,"abstract":"We investigate the impact of earning asset diversification on Chinese bank efficiency from 2006 to 2011. To do so, we adapt the Simar and Wilson (2007) (Journal of Econometrics) approach to panel data context so that approach allows for technology change over time. Regression results reveal that increasing the asset share of other earning assets (including securities and derivatives) is positively associated with bank efficiency. Decreasing the share of nonearning assets in total assets or increasing total equity has a similar impact. Our results also suggest that financial reforms currently being undertaken in China, including removing the regulatory requirement concerning the ratio of loans to deposits (a new draft amendment to the existing commercial banking law) and interest rate liberalization (a proposed draft amendment), are likely to induce a significant positive effect on bank efficiency in China.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131499797","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: 2
Stress Test of Islamic Banks: A Model Example 伊斯兰银行的压力测试:一个范例
Australasian Finance & Banking Conferences Pub Date : 2015-11-25 DOI: 10.2139/ssrn.2695386
Magomet Yandiev
{"title":"Stress Test of Islamic Banks: A Model Example","authors":"Magomet Yandiev","doi":"10.2139/ssrn.2695386","DOIUrl":"https://doi.org/10.2139/ssrn.2695386","url":null,"abstract":"A stress test of a nominal Islamic bank demonstrated that the liabilities structure which ensures the maximal bank resilience to shocks is the one featuring prevalence of debt financing. On the other hand, the assets structure which ensures the maximal bank resilience to shocks is either the structure featuring prevalence of debt financing or the structure where all the asset items have approximately equal shares.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116487472","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
Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns 流动性风险与股票和货币收益的时变相关性
Australasian Finance & Banking Conferences Pub Date : 2015-10-01 DOI: 10.2139/ssrn.2784102
K. Jung
{"title":"Liquidity Risk and Time-Varying Correlation between Equity and Currency Returns","authors":"K. Jung","doi":"10.2139/ssrn.2784102","DOIUrl":"https://doi.org/10.2139/ssrn.2784102","url":null,"abstract":"Using data on twenty major OECD countries over time, this paper documents a new evidence on real equity and real currency prices: higher real returns in the home equity market relative to foreign counterparts are generally associated with real home currency depreciation at a monthly frequency, but this negative correlation breaks down or even reverses during times of relatively higher aggregate economic uncertainty or volatility. This paper also proposes one plausible explanation for this time-varying correlation structure. The suggested model is based on a long-run risks type model, combined with time-varying liquidity risks in stock markets. With recursive preference for the early resolution of uncertainty and a negative link between the level of short-run economic growth and equity market liquidity volatility, the model demonstrates that severe short-run economic uncertainty overturns the otherwise negative link between the real currency and real relative equity returns.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"546 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133633885","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
Indian Derivatives Market: A Study of Impact on Volatility and Investor Perception 印度衍生品市场:波动性与投资者认知的影响研究
Australasian Finance & Banking Conferences Pub Date : 2015-09-11 DOI: 10.2139/ssrn.2659398
D. Gakhar
{"title":"Indian Derivatives Market: A Study of Impact on Volatility and Investor Perception","authors":"D. Gakhar","doi":"10.2139/ssrn.2659398","DOIUrl":"https://doi.org/10.2139/ssrn.2659398","url":null,"abstract":"Derivatives Market has an important role to play in the economic development of a country. The objective of the study is to examine the impact of financial derivatives (futures and options) on the underlying market volatility. The paper also analyses the perception of investor about objectives of investment, investment pattern, risk, derivatives awareness level, future of derivatives market in India. Data has been collected for a period of 18 years from January 1, 1996 to February 5, 2014. Data has been collected for various indexes like CNX S&P Nifty index daily closing prices (from January 1, 1996 to February 5, 2014), Nifty Junior Index (from January 1, 1996 to February 5, 2014), Index Futures near month contracts daily closing prices from (June 12, 2000 to February 5, 2014) and S&P 500 Index (from January 1, 1996 to February 5, 2014).The questionnaire was distributed to 1000 respondents but 522 filled questionnaires were received and have been analyzed in this study. The questionnaire was subjected to reliability and expert validity.The final AR (1)-GARCH (1,1) model show that overall volatility has reduced in the spot market after the introduction of derivatives. In the model all variables are highly significant. Awareness about financial markets, experience in derivatives trading, workplace activity and return expectation are significantly associated with derivative awareness level (DAL) of respondents at 5 percent level of significance. The results of Structural Equation Modelling reveals perception of investors about future of derivatives market in India include having an investor grievance redressal mechanism which is approachable under trading hours, steps to be taken by regulators to increase investments, conducting investor training and awareness programmes, global integration will happen, derivatives market will affect growth of the economy and consolidation of exchanges is required.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"208 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122618286","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: 5
Impact of Truncation on Model-Free Implied Moment Estimator 截断对无模型隐含矩估计量的影响
Australasian Finance & Banking Conferences Pub Date : 2015-08-31 DOI: 10.2139/ssrn.2485513
Geul Lee, Li Yang
{"title":"Impact of Truncation on Model-Free Implied Moment Estimator","authors":"Geul Lee, Li Yang","doi":"10.2139/ssrn.2485513","DOIUrl":"https://doi.org/10.2139/ssrn.2485513","url":null,"abstract":"This study examines the impact of truncation, i.e., the unavailability of extremely deep-out-of-the-money option quotes, on the model-free implied moment estimators of Bakshi et al. (2003) and suggests how truncation should be controlled for implied higher moment estimation. We show that truncation has a significantly larger impact on the implied skewness and kurtosis estimators than on the implied volatility estimator and that the impact is not completely removed by linear extrapolation (LE) suggested by Jiang and Tian (2005) or domain symmetrization (DSym) proposed by Dennis and Mayhew (2002). As an alternative method, we suggest domain stabilization (DStab) which makes the truncation error less volatile.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"71 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130709052","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: 4
Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets 利用高频数据估计亚洲股市的长记忆波动率
Australasian Finance & Banking Conferences Pub Date : 2015-08-20 DOI: 10.2139/ssrn.2648937
G. Duppati, Anoop S. Kumar, F. Scrimgeour
{"title":"Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets","authors":"G. Duppati, Anoop S. Kumar, F. Scrimgeour","doi":"10.2139/ssrn.2648937","DOIUrl":"https://doi.org/10.2139/ssrn.2648937","url":null,"abstract":"This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared them with GARCH (1,1) model and APARACH(1,1) in terms of in-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In terms of forecast measures, the long-memory GARCH models were found to be performing better compared to the short-memory GARCH models.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"353 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124469685","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书