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Tesis sobre el tema "Stocks Australia Econometric models"

Autor: Grafiati

Publicado: 4 de junio de 2021

Última modificación: 12 de febrero de 2022

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1

Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.

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2

Weier, Annette 1960. "Demutualisation in the Australian life insurance industry." Monash University, Dept. of Economics, 2000. http://arrow.monash.edu.au/hdl/1959.1/8371.

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3

Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

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4

Oliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.

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Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, th

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5

Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

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6

Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.

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7

Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.

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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option

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8

Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.

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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are

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9

Kummerow, Max F. "A paradigm of inquiry for applied real estate research : integrating econometric and simulation methods in time and space specific forecasting models : Australian office market case study." Curtin University of Technology, School of Economics and Finance, 1997. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=11274.

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Office space oversupply cost Australia billions of dollars during the 1990-92 recession. Australia, the United States, Japan, the U.K., South Africa, China, Thailand, and many other countries have suffered office oversupply cycles. Illiquid untenanted office buildings impair investors capital and cash flows, with adverse effects on macroeconomics, financial institutions, and individuals. This study aims to develop improved methods for medium term forecasting of office market adjustments to inform individual project development decisions and thereby to mitigate office oversupply cycles. Methods

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10

Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.

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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not,

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11

King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.

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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate po

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12

Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE

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13

Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.

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The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence

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14

Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.

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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.<br>Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.

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15

Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.

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16

Fratus, Brian J. "Rational asset pricing : book-to-market equity as a proxy for risk in utility stocks /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/.

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17

Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.

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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domes

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18

Duong, Lien Thi Hong. "Australian takeover waves : a re-examination of patterns, causes and consequences." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0201.

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This thesis provides more precise characterisation of patterns, causes and consequences of takeover activity in Australia over three decades spanning from 1972 to 2004. The first contribution of the thesis is to characterise the time series behaviour of takeover activity. It is found that linear models do not adequately capture the structure of merger activity; a non-linear two-state Markov switching model works better. A key contribution of the thesis is, therefore, to propose an approach of combining a State-Space model with the Markov switching regime model in describing takeover activity.

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19

Nyasha, Sheilla. "Financial development and economic growth : new evidence from six countries." Thesis, 2014. http://hdl.handle.net/10500/18576.

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Using 1980 - 2012 annual data, the study empirically investigates the dynamic relationship between financial development and economic growth in three developing countries (South Africa, Brazil and Kenya) and three developed countries (United States of America, United Kingdom and Australia). The study was motivated by the current debate regarding the role of financial development in the economic growth process, and their causal relationship. The debate centres on whether financial development impacts positively or negatively on economic growth and whether it Granger-causes economic growt

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20

Chandrashekar, Satyajit. "Three new perspectives for testing stock market efficiency." Thesis, 2006. http://hdl.handle.net/2152/3757.

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21

"Essays in monetary theory and finance." 2004. http://library.cuhk.edu.hk/record=b5891997.

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Cheung Ho Sang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 185-187).<br>Abstracts in English and Chinese.<br>Curriculum Vitae --- p.ii<br>Acknowledgments --- p.iii<br>Abstract --- p.v<br>Table of Contents --- p.viii<br>Chapter Chapter 1. --- Introduction --- p.1<br>Chapter Chapter 2. --- The behavior of income velocity of money --- p.3<br>Chapter 2.1 --- Introduction --- p.3<br>Chapter 2.2 --- Literature Review --- p.4<br>Chapter 2.3 --- Data Description --- p.9<br>Chapter 2.4 --- Methodology --- p.9<br>Chapter 2.5 --- E

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22

"Threshold autoregressive model with multiple threshold variables." 2005. http://library.cuhk.edu.hk/record=b5892601.

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Chen Haiqiang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.<br>Includes bibliographical references (leaves 33-35).<br>Abstracts in English and Chinese.<br>Chapter 1. --- Introduction --- p.1<br>Chapter 2. --- The Model --- p.4<br>Chapter 3. --- Least Squares Estimations --- p.6<br>Chapter 4. --- Inference --- p.7<br>Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7<br>Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13<br>Chapter 5. --- Modeling --- p.16<br>Chapter 5.1 --- Generic Consistency of the Thresh

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23

Jones, Timothy Gordon 1978. "Essays on money, inflation and asset prices." 2008. http://hdl.handle.net/2152/17968.

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This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint.

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24

"Exploit market abnormal return using data mining with application to optimal portfolio selection." 2004. http://library.cuhk.edu.hk/record=b5892005.

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Tsui Chuk Wah.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 69-70).<br>Abstracts in English and Chinese.<br>Abstract --- p.iv<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Data --- p.8<br>Chapter 3 --- Methodology --- p.23<br>Chapter 4 --- Results --- p.45<br>Chapter 5 --- Conclusion and Further Development --- p.59<br>Appendix --- p.63<br>Reference --- p.69

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25

Ogotseng, Onthatile Tiny. "Stock returns behaviour and the pricing of volatility in Africa's equity markets." Thesis, 2017. http://hdl.handle.net/10539/23050.

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This Paper empirically investigates the behavior of Africa’s stock price volatility over time in ten African equity markets. It also attempts to establish the existence of a relationship between volatility and expected returns in the chosen equity markets. The effect of volatility on the stock prices is also investigated, together with establishing variations in the stock return volatility risk premia. Lastly, an investigation of whether volatility is transmitted from international markets to African markets is also undertaken. The sample period starts from November 1998 until December 2016.

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26

"Determining the contributions to price discovery of China cross-listed stocks." 2005. http://library.cuhk.edu.hk/record=b5892498.

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Su Qian.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.<br>Includes bibliographical references (leaves 66-70).<br>Abstracts in English and Chinese.<br>Abstract --- p."i,ii"<br>Acknowledgements --- p.iii<br>Table of Content --- p.iv<br>List of Tables and Figures --- p.v<br>List of Abbreviation --- p.vi<br>Chapter Chapter 1. --- Introduction --- p.1<br>Chapter Chapter 2. --- Literature Review --- p.4<br>Chapter 2.1 --- Benefits of Cross-listing --- p.4<br>Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8<br>Chapter 2.3 --- Previous studies on Chines

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27

"Stock return volatility of emerging markets." 1998. http://library.cuhk.edu.hk/record=b5896256.

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by Poon Yeuk Wan, Tsang Fei.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 54-55).<br>Acknowledgements --- p.i<br>Abstract --- p.iii<br>Table of Contents --- p.iv<br>List of Tables --- p.vi<br>List of Appendix --- p.vii<br>Chapter Chapter1 --- Introduction --- p.1<br>Chapter 1.1 --- Project Objective --- p.1<br>Chapter 1.2 --- Project Structure --- p.2<br>Chapter 1.3 --- Data --- p.3<br>Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5<br>Chapter 2.1 --- Latin America --- p.5<br>Argentina --- p.5<br>Brazil ---

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28

"Market effects of changes in the composition of the Hang Seng Index." 1998. http://library.cuhk.edu.hk/record=b5889419.

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by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaf 52).<br>ABSTRACT --- p.ii<br>TABLE OF CONTENT --- p.iii<br>LIST OF ILLUSTRATIONS --- p.iv<br>LIST OF TABLES --- p.v<br>ACKNOWLEGEMENTS --- p.vi<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- OBJECTIVES --- p.3<br>Chapter III. --- LITERATURE REVIEW --- p.4<br>Chapter IV. --- THE SAMPLE --- p.9<br>Chapter V. --- METHODOLOGY --- p.14<br>The Market Model --- p.15<br>Methods to Estimate the Excess Returns --- p.16

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