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1
Winn, Roland. "Trading halts and the quality of exchange traded markets". Thesis, The University of Sydney, 2000. https://hdl.handle.net/2123/27742.
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This thesis investigates the effects of intraday halts in trading on the market quality of
the Australian Stock Exchange and the Sydney Futures Exchange. This is the first
such examination of halts on the Australian marketplace. This thesis contributes to
earlier research in two ways. Firstly, more refined measurement of different
characteristics of halts is undertaken in order to better control for factors which have
confounded prior research. Secondly, the thesis examines changes in halt practices in
Australia. Analysis of these changes provides a more direct and natural examination
of halts. Earlier studies have used various proxies to estimate what normal trading
behaviour would be if halts were removed. The evidence presented here indicates that
trading around halts is characterised by excess volatility and increased bid—ask
spreads, both of which are indicative of greater uncertainty. It is concluded that halts
are detrimental to the quality of a market due to a loss of price discovery. This
conclusion is robust to the presence of information, whether halts are anticipated, the
trading environment, and the use of particular reopening mechanisms.
2
Hovey, Delia. "Idiosyncratic Risk and Corporate Governance: An Empirical Analysis of Australian Listed Firms". Thesis, Griffith University, 2015. http://hdl.handle.net/10072/366089.
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The primary focus of this study is on the relationship between idiosyncratic risk and corporate governance, and the first research question is based on this. A secondary focus of the study is on the relationship between firm performance and corporate governance, and the second research question is based on this. Then, a potential corporate governance-to-idiosyncratic volatility-to-firm performance link is considered.
In this study, corporate governance is approached in the context of internal governance controls, based on board structure and composition, and also ownership and ownership structure. These are essential elements of corporate governance, and relevant for studies pertaining to a market with internal-governance-control characteristics, such as the Australian market.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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3
Chen, Gary. "Behavioural heterogeneity in ASX 200 a dissertation submitted to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business (MBus), 2009 /". Click here to access this resource online, 2009. http://hdl.handle.net/10292/758.
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Coffey, Josephine Margaret. "Continuous Disclosure for Australian Listed Companies". Thesis, The University of Sydney, 2002. http://hdl.handle.net/2123/510.
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ABSTRACT This thesis investigates the legal and theoretical basis of continuous disclosure regulation in Australia as it applies to listed companies. An empirical study is undertaken to further investigate the operation of the legislation. As part of the Enhanced Disclosure regime, the continuous disclosure provision was effective from 5 September 1994 as s1001A of the Corporations Law, now the Corporations Act 2001 (Cth). This statutory provision is replaced by s674, inserted by Schedule 2 to the Financial Services Reform Act 2001 (Cth), and effective from 11 March 2002. The provision reinforces Australian Stock Exchange (ASX) listing rule 3.1. The rule requires a listed disclosing entity to notify ASX immediately of information that would be expected to have a �material effect� on the share price of the company. However, the disclosure requirement is weakened by a number of specific exemptions or �carve-outs� to listing rule 3.1. If a reasonable person would not expect the information to be disclosed, and if the confidentiality of the information is maintained, then disclosure is not mandatory in special circumstances. This study analyses 427 query notices, issued by ASX to listed companies from July 1995 to April 1996. The queries request information concerning unexplained movements in a company�s share price or a failure to comply with the listing rules. An analysis of the companies� replies to these notices provides a profile of the type of company that is likely to be queried. The study also attempts to evaluate the extent to which these companies have relied on the �carve-outs� as an exemption to the regulation.
5
Coffey, Josephine Margaret. "Continuous Disclosure for Australian Listed Companies". University of Sydney. School of Business, 2002. http://hdl.handle.net/2123/510.
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ABSTRACT This thesis investigates the legal and theoretical basis of continuous disclosure regulation in Australia as it applies to listed companies. An empirical study is undertaken to further investigate the operation of the legislation. As part of the Enhanced Disclosure regime, the continuous disclosure provision was effective from 5 September 1994 as s1001A of the Corporations Law, now the Corporations Act 2001 (Cth). This statutory provision is replaced by s674, inserted by Schedule 2 to the Financial Services Reform Act 2001 (Cth), and effective from 11 March 2002. The provision reinforces Australian Stock Exchange (ASX) listing rule 3.1. The rule requires a listed disclosing entity to notify ASX immediately of information that would be expected to have a �material effect� on the share price of the company. However, the disclosure requirement is weakened by a number of specific exemptions or �carve-outs� to listing rule 3.1. If a reasonable person would not expect the information to be disclosed, and if the confidentiality of the information is maintained, then disclosure is not mandatory in special circumstances. This study analyses 427 query notices, issued by ASX to listed companies from July 1995 to April 1996. The queries request information concerning unexplained movements in a company�s share price or a failure to comply with the listing rules. An analysis of the companies� replies to these notices provides a profile of the type of company that is likely to be queried. The study also attempts to evaluate the extent to which these companies have relied on the �carve-outs� as an exemption to the regulation.
6
Loh, Elaine Y. L. "A comparative study of technical trading rules, time-series trading rules and combined technical and time-series trading strategies in the Australian Stock Exchange". University of Western Australia. Dept. of Economics, 2005. http://theses.library.uwa.edu.au/adt-WU2006.0001.
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[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.
7
Avila, Kristoffer Kevin. "Does market depth concentration matter? Evidence from the Australian Stock Exchange". Thesis, Discipline of Finance, 2009. http://hdl.handle.net/2123/4074.
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In considering the behaviour of market participants, this paper introduces a new variable into the model for the determinants of institutional trading costs. By using an ex-ante measure of the concentration in the opposite-side of the market, this study suggests that traders on the opposite-side of the market herd against an incoming trader looking to trade a series of orders. The new variable measures the level of broker competition prevailing on the opposite-side of the market and is found to be negatively related with price impact.
8
Loh, Elaine. "A comparative study of technical trading rules, time-series trading rules and combined technical and time-series trading strategies in the Australian Stock Exchange /". Connect to this title, 2005. http://theses.library.uwa.edu.au/adt-WU2006.0001.
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9
Lecce, Steven. "The Impact of Trading Halts on the Australian Equities Markets". Thesis, Finance, 2008. http://hdl.handle.net/2123/2213.
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This dissertation examines the impact of trading halts on the trading behaviour for a sample of halted stocks listed on the Australian Stock Exchange (ASX). A detailed analysis of returns, liquidity and volatility around trading halts for a sample of 18,245 halted stocks captured over the period 1 January 2005 to 26 September, 2006 allows this study to extend the literature in three main ways. First, this study re-examines the impact of ASX trading halts in a tighter regulatory environment, where companies were obliged to comply with stricter continuous disclosure requirements. Second, the availability of the largest database of trading halts in Australia, permits an investigation of the benefits of trading halts in a more rigorous manner. Finally, regression analysis is used to identify factors associated with aberrant stock volatility immediately after a trading halt. This will provide a better understanding of the trading behaviour surrounding trading halts and allow ASX exchange officials to fine-tune the market surveillance discipline. This study finds that trading halts result in abnormally high levels of trading volume and volatility in the period immediately following a trading halt. Additionally, wider bid-ask spreads and lower order depth immediately after a trading halt, suggest that information asymmetry is high during this period. Halted stock returns are persistently high for up to a full trading day after a trading halt. This suggests that trading halts do not fully allow for an efficient dissemination of new information. The impact of trading halts on stock volatility is found to be a function of firm size, and trading halt duration, but not for the announced reason for the trading halt. Overall, this study concludes that trading halts have an immediate negative impact on market quality.
10
Jayawardena, Nirodha Imali. "Essays on Stock Market Volatility using High-Frequency Data: The Role of Overnight Information". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/367621.
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“Does overnight information play an important role in predicting daytime volatility in the financial markets?” This is an unresolved question in the literature on financial volatility. Due to the global integration of financial markets, the need for market efficiency is becoming more pronounced. More specifically, the need to account for information on the overnight or non-trading period is even more pertinent in contexts such as the Australian Stock Exchange (ASX) and the Tokyo Stock Exchange (TSE), because their geographical proximity means that they are outside the trading hours of major global markets such as the New York Stock Exchange (NYSE) and the London Stock Exchange (LSE). Thus, when a new business day dawns, much pertinent information is waiting to impact price developments.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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11
Janari, Emile. "The behaviour of style anomalies on the Australian Stock Exchange : a univariate and multivariate analysis". Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/15905.
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Includes bibliographical references.Recent attempts to empirically verify the Sharpe (1964), Lintner (1965), Moss in (1966), and Black (1972) Capital Asset Pricing Model (CAPM) have identified numerous inconsistencies with the model's predictions. A number of variables have displayed evidence of the ability to explain the cross-sectional variation in share returns beyond that explained by data. These anomalous effect have become known as "style effects " or "style characteristics". This thesis sets out to examine the existence and behaviour of these style-characteristics over the period June 1994 to May 2004. A data set of 207 firm-specific attributes is created for all Australian Stock Exchange (ASX) All Ordinaries stocks listed on 1 September 2004. The data are adjusted for both thin trading and look-ahead bias. The study largely follows the tests of van Rensburg and Robertson (2003) who adopt the characteristic-based approach of Fama and Macbeth (1973). Attributes are tested for the ability to explain the cross-sectional variation in ASX share returns beyond that explained by the CAPM and a principal-components-derived APT model. Similar significant characteristics are found when unadjusted and both risk-adjusted returns sets are examined. The set of significant characteristics d e rived from the unadjusted returns test is then simplified using correlation analysis and an agglomerative hierarchical clustering algorithm, resulting in a list of 27 variables that are not highly correlated with each other. These characteristics are divided into nine interpretation groups or combinations thereof, namely: (1) Liquidity; (2) Momentum; (3) Performance; (4) Size; (5) Value; (6) Change in Liquidity; (7) Change in Performance; (8) Change in Size; and (9) Change in Value. While the existence of the anomalies found in prior Australian literature (size, price-per-share, M/B, cashflow-to-price, and short- to medium-term momentum) is confirmed, the PIE effect is not found to be significant in this study. As these previously documented anomalies only cover five of the final 27 characteristics, this paper identifies 2 2 new Australian anomalies. Six style-timing models are evaluated for the ability to forecast the monthly payoffs to the 27 characteristics. A twelve-lag autoregressive model convincingly displays the best performance against moving average and historic mean models. Parametric and nonparametric tests find inconclusive evidence of seasonality in the monthly payoffs to the attributes. The 27 significant style characteristics are then used to construct a multifactor style-characteristics model which comprises a set of factors that are significant when simultaneously cross-sectionally regressed on share returns. The employed construction method yields a five-factor style model for the ASX and comprises: (1) prior twelve-month momentum; (2) book-to-market value; (3) two-year percentage change in dividends paid; (4) cashflow-to-price; and (5) two-year percentage change in market-to-book value. Finally, a step wise procedure is performed using six style-timing models. Five dynamic multifactor expected return models are created and contrast with a static multifactor expected return model similar to that used in van Rensburg and Robertson (2003). The derived expected return models have between three and thirteen factors. While all six models display good forecasting ability, the dynamic (trailing moving average) models all perform better than the static (historic mean) model. This is convincing evidence that the asset pricing relationship follows a dynamic model.
12
Murgulov, Zoltan, i n/a. "New Economy Initial and Seasoned Equity Offers in Australia". Griffith University. Griffith Business School, 2006. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20070717.160534.
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Public media and previous research have focused mainly on listing day returns of initial public offers (IPOs) by new economy companies in specific periods such as before April 2000, without examining any subsequent equity offers by new economy companies. This study addresses the issue of multiple equity offers and provides additional understanding of new economy initial and seasoned equity offers (SEOs). Without, a priori, favouring any existing explanation of initial and long-term share returns, this research tests a wide range of theories in order to provide insight into share returns of equity offerings by new economy companies listed on the Australian Stock Exchange between 1994 and 2004. In general, this thesis documents the ability of publicly available information (obtained from offer documents and company announcements to the market) to explain the returns of equity-issuing new economy companies in Australia. In other words, how useful is public information in the valuation of initial and seasoned equity offers of new economy stocks? Specifically, the thesis seeks to examine the ability of public information to explain (a) listing day and long-term returns subsequent to initial public offers by new economy companies, and the probability of IPO withdrawal, (b) announcement period and long-term returns of seasoned equity offers by new economy companies, and (c) the relationships between the initial and any subsequent equity offers by new economy companies (within three years of listing) in terms of probability of seasoned equity offer, duration between the IPO and the first SEO, and frequency of seasoned equity offers within the first three years of IPO. First, the thesis finds that public information is used by investors to value new economy stocks on listing day and in the long run. The negative effect of withdrawal probability on listing day returns of successful IPOs is confirmed in this thesis in the context of the fixed-price offer process in the new economy sector in Australia. While new economy equity-issuing companies have inferior long-term returns compared to the market index and the small capitalisation stock index, they do not underperform relative to their respective industry index returns. Second, this study also finds that public information can explain new economy stock returns around the announcements of seasoned offers and in the long run. Third, the results reveal that publicly available information can be used to explain the incidence and to estimate the probability of seasoned equity offers by recent new economy IPOs. Furthermore, it is found that public information has the ability to explain the duration between the IPO and the first seasoned offer, as well as the frequency of seasoned offers in the first three years after listing. The results of the study support the theoretical predictions about the effects of public information (representing IPO characteristics) and the incidence of a seasoned equity offer. In particular, IPO quality signalling by retained ownership and by underpricing, and the market feedback effect of post-IPO returns have been confirmed for new economy equity offers in Australia. Underpriced new economy IPOs and those with greater proportion of ownership retained after the offer are significantly more likely to have a seasoned equity offer within three years of listing. Likewise, new economy IPOs with superior aftermarket returns are significantly more likely to have a seasoned equity offer. The implication of this research is that public information contained in offer documents and in company announcements is important to valuation of the Australian Stock Exchange listed new economy companies. Thus, the regulators and the Stock Exchange should continue to insist on a high level of information disclosure prior to equity offers in order to enable investors to properly value companies within the new economy sector.
13
Murgulov, Zoltan. "New Economy Initial and Seasoned Equity Offers in Australia". Thesis, Griffith University, 2006. http://hdl.handle.net/10072/366884.
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Public media and previous research have focused mainly on listing day returns of initial public offers (IPOs) by new economy companies in specific periods such as before April 2000, without examining any subsequent equity offers by new economy companies. This study addresses the issue of multiple equity offers and provides additional understanding of new economy initial and seasoned equity offers (SEOs). Without, a priori, favouring any existing explanation of initial and long-term share returns, this research tests a wide range of theories in order to provide insight into share returns of equity offerings by new economy companies listed on the Australian Stock Exchange between 1994 and 2004. In general, this thesis documents the ability of publicly available information (obtained from offer documents and company announcements to the market) to explain the returns of equity-issuing new economy companies in Australia. In other words, how useful is public information in the valuation of initial and seasoned equity offers of new economy stocks? Specifically, the thesis seeks to examine the ability of public information to explain (a) listing day and long-term returns subsequent to initial public offers by new economy companies, and the probability of IPO withdrawal, (b) announcement period and long-term returns of seasoned equity offers by new economy companies, and (c) the relationships between the initial and any subsequent equity offers by new economy companies (within three years of listing) in terms of probability of seasoned equity offer, duration between the IPO and the first SEO, and frequency of seasoned equity offers within the first three years of IPO. First, the thesis finds that public information is used by investors to value new economy stocks on listing day and in the long run. The negative effect of withdrawal probability on listing day returns of successful IPOs is confirmed in this thesis in the context of the fixed-price offer process in the new economy sector in Australia. While new economy equity-issuing companies have inferior long-term returns compared to the market index and the small capitalisation stock index, they do not underperform relative to their respective industry index returns. Second, this study also finds that public information can explain new economy stock returns around the announcements of seasoned offers and in the long run. Third, the results reveal that publicly available information can be used to explain the incidence and to estimate the probability of seasoned equity offers by recent new economy IPOs. Furthermore, it is found that public information has the ability to explain the duration between the IPO and the first seasoned offer, as well as the frequency of seasoned offers in the first three years after listing. The results of the study support the theoretical predictions about the effects of public information (representing IPO characteristics) and the incidence of a seasoned equity offer. In particular, IPO quality signalling by retained ownership and by underpricing, and the market feedback effect of post-IPO returns have been confirmed for new economy equity offers in Australia. Underpriced new economy IPOs and those with greater proportion of ownership retained after the offer are significantly more likely to have a seasoned equity offer within three years of listing. Likewise, new economy IPOs with superior aftermarket returns are significantly more likely to have a seasoned equity offer. The implication of this research is that public information contained in offer documents and in company announcements is important to valuation of the Australian Stock Exchange listed new economy companies. Thus, the regulators and the Stock Exchange should continue to insist on a high level of information disclosure prior to equity offers in order to enable investors to properly value companies within the new economy sector.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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Diemont-Ebes, Anja, i adiemont51@hotmail com. "From second board to angels : an analysis of government support for new ventures, 1984-1994". Swinburne University of Technology, 1996. http://adt.lib.swin.edu.au./public/adt-VSWT20060317.113350.
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During the past decade (1984-1994), Australia experienced its worst recession since the depression of the 30's, followed by a no-growth period and an unemployment rate hovering around nine per cent.
The awareness of Commonwealth and State Governments of the need for specific policies to stimulate new ventures and support small and medium enterprises (SME's), was increased by a range of reviews which resulted in a variety of initiatives.
However, two key national initiatives, licensed Management and Investment Companies (MIC's) and the Second Board Stock Market, which aimed at making access to funds easier for new ventures, failed to provide sustained financial support to new innovative firms.
Small businesses in Australia account for some 80 per cent of all businesses and 50 per cent of employment in the private sector. While many factors contribute to the successful establishment and growth of new businesses, a key factor is the availability of and access to affordable finance.
The major objective of this study was to identify key success/failure factors in new venture creation and to review in detail the rise and fall of the Second Board Stock Market (1984-1992) - arguably one of the most significant Government initiatives during the 80's to provide access to equity funds.
A survey of Melbourne companies listed on the Second Board was to provide valuable information on the success/failure of the Second Board Stock Market and to illuminate desirable Government initiatives meeting SME's survival needs.
15
Ali, Searat. "Corporate Governance and Firm Risk in Australia". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/368178.
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This thesis, structured around three interrelated empirical essays, investigates the relationship of corporate governance with firm risks—default, stock liquidity, downside and upside—for a large sample of Australian listed firms (more than 1,000) over the period from 2001 to 2013. Seven reasons were found that make it imperative to empirically investigate such relationships: (i) a series of corporate collapses in early 2000s (such as HIH and OneTel) due to improper governance structures, (ii) a massive economic and social default cost to the stakeholders, (iii) a proliferated attention of regulators (Australian Securities Exchange [ASX] and related bodies) towards the development of a sound corporate governance environment, (iv) an increased concern of firms to comply with the ASX corporate governance recommendations, (v) an emphasis of the ASX on ‘risk’ while defining good corporate governance, (vi) a small amount of literature relating corporate governance to these risk factors in Australia, and (vii) a different corporate governance environment in Australia (i.e., ‘comply or explain’).
The first empirical essay examines: Does corporate governance affect default risk? And does the relationship between corporate governance and default risk depend on growth opportunities and stock liquidity? This study extends the prior literature on the governance–default linkage as this is the first to show that composite corporate governance score is significantly relevant to the reduction of default risk in the Australian context.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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Wee, Marvin. "Institutional versus retail traders : a comparison of their order flow and impact on trading on the Australian Stock Exchange". UWA Business School, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0026.
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The objective of the thesis is to examine the trading behaviour and characteristics of retail and institutional traders on the Australian Stock Exchange. There are three aspects of these traders that are of particular interest to this study: (1) the information content of their trades, (2) their order placement strategies, and (3) the impact of their trading on share price volatility. Trades made on the basis of private information such as those by institutional traders are found to be associated with larger permanent price changes while trades by uninformed traders such as retail traders are found to be associated with smaller changes. In addition, institutional trades are found to have smaller total price effect compared to retail trades suggesting retail traders incur higher market impact costs. In order to profit from potentially short-lived information advantage, informed traders are expected to place more aggressive orders. The analysis of the order price aggressiveness showed institutions are more aggressive than other traders. In addition, retail traders are found to be less aware of the state of the market when placing aggressive orders. The analysis of the limit order book found significant differences between the contributions of institutional and retail traders to the depth of the limit-order book, with retail standing limit orders further from the market. This is consistent with the conjecture that uninformed traders such as retail traders have greater expected adverse selection costs. The effect of trading by retail and institutional traders on price volatility are also investigated. There is some evidence that retail traders are more active and institutional traders are proportionally less active after periods of high volatility. Also, the effect of the order activity from different trader types on volatility differs depending on the measure of order activity used.
17
Tilakaratne, Chandima University of Ballarat. "Stock market predictions based on quantified intermarket influences". University of Ballarat, 2007. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/12798.
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This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Doctor of Philosophy
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Tilakaratne, Chandima. "Stock market predictions based on quantified intermarket influences". Thesis, University of Ballarat, 2007. http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/58733.
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This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Doctor of Philosophy
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Tilakaratne, Chandima. "Stock market predictions based on quantified intermarket influences". University of Ballarat, 2007. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/15394.
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This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Doctor of Philosophy
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Tilakaratne, Chandima University of Ballarat. "A neural network approach for predicting the direction of the Australian stock market index". University of Ballarat, 2004. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/12804.
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This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Master of Information Technology by Research
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Tilakaratne, Chandima. "A neural network approach for predicting the direction of the Australian stock market index". Thesis, University of Ballarat, 2004. http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/66591.
Pełny tekst źródłaStreszczenie:
This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Master of Information Technology by Research
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Tilakaratne, Chandima. "A neural network approach for predicting the direction of the Australian stock market index". University of Ballarat, 2004. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/15397.
Pełny tekst źródłaStreszczenie:
This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.Master of Information Technology by Research
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Bellamy, David Ewan. "An analysis of ex-dividend day abnormal trading volumes and share price changes in the Australian equity market /". [St. Lucia, Qld. : s.n.], 2002. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe16648.pdf.
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Pham, Hai Yen. "Essays on Corporate Governance and Stock Returns in Australia". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/367909.
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This thesis examines the impact of corporate governance-related factors, particularly CEO incentive compensation, discretionary accruals and firm technical efficiency improvement, on stock returns in Australia. The motivation to investigate these impacts was the increasing importance of the equity-based compensation component in CEO remuneration packages, the numerous financial reporting scandals at high profile companies such as Enron, WorldCom and HIH Insurance, and an urgent call from the government on improvement in productivity. Among various corporate governance mechanisms, CEO compensation is viewed as an efficient incentive to align the interests of managers with those of shareholders. According to agency theory, effective compensation policies, particularly incentive-based pay, induce managers to make more effort, and to undertake risky and shareholder-wealth-increasing
investments to increase their firms' value. However, in practice, some argue that too close a link between CEO compensation and firm performance may cause CEOs to become either too conservative or too aggressive, which may lead to suboptimal investments and lower firm value.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
Full Text
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Cooney, Mary Rose. "Seasoned equity offerings in Australia : the market performance of rights issuing firms /". [St. Lucia, Qld.], 2001. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe16203.pdf.
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Simon, Marta. "The two bears : how down markets get you down". University of Western Australia. Financial Studies Discipline Group, 2004. http://theses.library.uwa.edu.au/adt-WU2005.0022.
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In this study, we address two research questions: 1) Can we identify bear market episodes in Australia in the past 20 years? 2) How do investors’ moods change as stock market conditions enter into a bear phase. To address the first question, we use a pattern recognition algorithm, called the penalised LSE approach. By defining bear markets as those stock market regimes where the average returns are statistically significantly negative or below the risk free rate, we are able to detect two bear market periods in Australia in the past 20 years. These are the November 1987 to February 1988 and the April 2000 to May 2000 periods. To address the second question, we study the change in investors’ attitudes to varieties of systematic risk and the aggregate number and dollar value of shares traded in portfolios as a result of the regime switch from pre-bear to bear period. Out of the 7 categories of risk considered in this study, the transition from pre-bear to bear regime in both sample periods had a significant impact mainly on investors’ attitude toward the size risk factor. Investors systematically became more sensitive to firm size as stock market conditions entered into the 1987⁄1988 bear market. In the later sample period, investors’ reaction to firm size was more selective as it depended on the characteristics of the stocks that made up their portfolios. We also find that the regime switches resulted in lower portfolio trading volumes. Based on these results we infer that the November 1987-February 1988 bear market evoked a general sad mood, while the April 2000-May 2000 bear market stirred up both angry and sad feelings in market participants depending on the composition of stocks in their portfolios.
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O'Grady, Thomas A. "The profitability of technical analysis and stock returns from a traditional and bootstrap perspective : evidence from Australia, Hong Kong, Malaysia and Thailand". Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2012. https://ro.ecu.edu.au/theses/506.
Pełny tekst źródłaStreszczenie:
This research questions whether technical trading rules can help predict stock price movements for a sample of stocks selected from four equity markets from the Asia-Pacific region: Australia, Malaysia, Hong Kong and Thailand for the period 1989-2008. The research is split into two stages. Stage-1 of the research tests the predictability of technical trading rules against a buyand- hold strategy. The variable moving average (VMA), fixed moving average (FMA) and the trading range break (TRB) trading rules are applied to this research. Economic predictability of these rules is examined by comparing returns conditional on a trading rule buy (sell) signal against an unconditional buy-and-hold return. Any existence of excess returns can thus be established. This follows with a statistical analysis of returns using a traditional t-test methodology. Traditional statistical tests assume normally distributed returns with independent observations and a non-changing distribution across time. In Stage-2 of this research a bootstrap checks whether features such as non-normality, time-varying moments and serial correlation bias test statistics. The bootstrap involves assumptions regarding the underlying returns generating process (RGP) and allows returns conditional on a trading rule buy (sell) signal from the original stock price series to be compared with conditional returns simulated from four common null models: RW, AR (1), GARCH-M and E-GARCH models. Simulated p-values are calculated in conjunction with simulated distributions and are applied in lieu of the theoretical normal distribution. Given this process it is possible to infer as to whether non-linear dependencies in returns can be captured by any of the three trading rules. Given the null model output standard t-test outcomes of predictability of technical trading rules may be diminished and/or eliminated. Conclusions are drawn as to the predictability and profitability of the VMA, FMA and TRB trading rules when applied to the chosen stock samples. Findings of this research indicate returns conditional on technical trading rules exceed unconditional buy-and-hold returns for all stocks. Thai sample output indicates strong support in favour of the predictability of standard test results supporting the use of technical trading rules. Output for Australia, Hong Kong and Malaysia indicates that previous standard t-test outcomes of predictability may be diminished and/or eliminated. This implies that the underlying RGP may be characterised by underlying features of some/all of the stochastic models.
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Kinuthia, Wanyee. "“Accumulation by Dispossession” by the Global Extractive Industry: The Case of Canada". Thèse, Université d'Ottawa / University of Ottawa, 2013. http://hdl.handle.net/10393/30170.
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This thesis draws on David Harvey’s concept of “accumulation by dispossession” and an international political economy (IPE) approach centred on the institutional arrangements and power structures that privilege certain actors and values, in order to critique current capitalist practices of primitive accumulation by the global corporate extractive industry. The thesis examines how accumulation by dispossession by the global extractive industry is facilitated by the “free entry” or “free mining” principle. It does so by focusing on Canada as a leader in the global extractive industry and the spread of this country’s mining laws to other countries – in other words, the transnationalisation of norms in the global extractive industry – so as to maintain a consistent and familiar operating environment for Canadian extractive companies. The transnationalisation of norms is further promoted by key international institutions such as the World Bank, which is also the world’s largest development lender and also plays a key role in shaping the regulations that govern natural resource extraction. The thesis briefly investigates some Canadian examples of resource extraction projects, in order to demonstrate the weaknesses of Canadian mining laws, particularly the lack of protection of landowners’ rights under the free entry system and the subsequent need for “free, prior and informed consent” (FPIC). The thesis also considers some of the challenges to the adoption and implementation of the right to FPIC. These challenges include embedded institutional structures like the free entry mining system, international political economy (IPE) as shaped by international institutions and powerful corporations, as well as concerns regarding ‘local’ power structures or the legitimacy of representatives of communities affected by extractive projects. The thesis concludes that in order for Canada to be truly recognized as a leader in the global extractive industry, it must establish legal norms domestically to ensure that Canadian mining companies and residents can be held accountable when there is evidence of environmental and/or human rights violations associated with the activities of Canadian mining companies abroad. The thesis also concludes that Canada needs to address underlying structural issues such as the free entry mining system and implement FPIC, in order to curb “accumulation by dispossession” by the extractive industry, both domestically and abroad.
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Thurecht, Linc. "Models of the bid-ask spread and informed trading on the Australian Stock Exchange". Phd thesis, 2005. http://hdl.handle.net/1885/151181.
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Pather, Devon Thavendran. "Derivatives use among non-financial firms listed on the Australian stock exchange". Thesis, 2014.
Znajdź pełny tekst źródłaStreszczenie:
The consideration of the appropriate use of derivatives by non-financial services firms has become increasingly important as numerous "derivative related disasters" have befallen corporations in the last decade. The purpose of this study was to examine aspects of derivatives use, with a focus on the appropriateness of derivatives use, by listed nonfinancial firms in Australia. The results were compared to benchmarks established by related studies undertaken in the United States. Overall the results seem to indicate that listed non-financial services firms in Australia tend to be more conservative in their management of derivatives and the associated risks than US firms and the appropriate internal controls appear to be enforced. Derivatives are primarily used for the management of financial price risk than for speculative activity.
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Bertram, William Karel. "Modelling asset dynamics via an empirical investigation of Australian Stock Exchange data". Thesis, 2005. http://hdl.handle.net/2123/1593.
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Jarnecic, Elvis. "Market microstructure of the Australian Stock Exchange Options Market and its relationship with the underlying equity market". Thesis, 1999. http://hdl.handle.net/2123/1144.
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Perera, Kotalawala Liyanage Wasantha. "Evaluation of Market Performance of Initial Public Offerings (IPOs) and Its Determinants: Evidence from Australian IPOs". Thesis, 2014. https://vuir.vu.edu.au/25676/.
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To determine whether Australian initial public offerings (IPOs) underprice in the short run and underperform in the long run, and to identify their determinants, this study investigated the short-run and the long-run stock market performance of 254 IPOs listed during 2006 to 2011 by industry and year (listing and issue). To measure their short-run performance, the first listing day returns were divided into the primary market, which was calculated based on the first-day beginning prices and issue prices; the secondary market, which was estimated based on the first-day closing and opening prices; and the total market, which was calculated based on the first-day closing prices and issue prices. The investigation was then extended to a post-day listing analysis that included returns of up to nine trading days. To measure their long-run market performance, the return measures were calculated under equally weighted and value-weighted schemes up to the three post-listing years using an event-time approach. To identify the determinants of short-run and long-run market performance, this study estimated binary and multiple regression models with offer, firm and market characteristics. Marginal probability analysis was also carried out to estimate the associated probability of each determinant that indicated a directional change in market performance.
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Alahakoon, Dona. "Factors Influencing the Business Acquisition Decision (the Deal Value) of Listed Companies in Australia". Thesis, 2021. https://vuir.vu.edu.au/42453/.
Pełny tekst źródłaStreszczenie:
Investments in business acquisitions have become a key part of corporate investment strategy. Business acquisitions are a vibrant investment decision which forms part of a firm’s growth strategy, that influences and determines firm value. Efficiency theory suggests that companies are motivated to invest in business acquisitions to realise synergy gains. Although there are previous studies undertaken to examine determinants of domestic business acquisitions in countries like the U.S and the U.K, determinants applicable in these countries may not have equal influence on business acquisition decisions of companies that are listed on the Australian Securities Exchange. Identification of factors influencing the business acquisition decision (the deal value) of companies listed on the Australian Securities Exchange provides a theroritical guidance on estimating the most possible purchase price consideration for acquirers and on formulating new policies to develop a more competitive capital market for regulators.
The study by Erel et al. (2012) shows Australia is having the largest number of domestic mergers and acquisitions recording 4,875 during the period from 1990 to 2007 compared to all mergers and acquisitions recorded in all other countries. The importance of identifying factors influencing business acquisition decisions motivates this study to examine the factors influencing the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange. This study examines the factors influencing the business acquisition decision of companies that are listed on the Australian Securities Exchange, from acquirer’s characteristics and macro-economic point of view. This study also investigates whether the determinants related to acquirer’s characteristics and the macro-economic environment are impacted by the industry classification and the time. Specifically, the study examines how the determinants, such as acquirer’s characteristics (profitability, leverage and liquidity), and macro-economic characteristics (interest rate, exchange rate and stock market index) affect the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange.
The Ordinary Least Squares (OLS) multiple regression assessment of the 160 completed business acquisitions representing 79.13 per cent of population in terms of total deal value of completed business acquisitions during 1997 to 2012 shows evidence that the acquirer’s profitability before considering the impact of the industry classification and the time, is statistically significantly positively associated with the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange. This finding lends support to previous empirical studies that greater profitability of an acquirer motivates them investing on business acquisitions. The study finds that the acquirer’s leverage before considering the impact of the industry classification and the time, is statistically positively associated with the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange. This finding contributes to previous empirical studies that greater leverage of an acquirer motivates them investing on business acquisitions. The study finds that the acquirer’s liquidity before considering the impact of the industry classification and the time, is statistically significantly negatively associated with their business acquisition decision (deal value) of acquirers that are listed on the Australian Securities Exchange. This finding is not consistent with the findings from prior studies.
When acquirer’s business acquisition decision is influenced by their industry classification, this study support that the acquirer’s profitability and leverage have a statistically significant positive impact on the business acquisition decision (the deal value) of acquirers listed on the Australian Securities Exchange whilst the acquirer’s liquidity has a statistically negative impact on their business acquisition decision.
When acquirer’s business acquisition decision is influenced by the time in terms of when the business acquisition occurs, this study support that the acquirer’s profitability and leverage have a statistically significant positive impact on the business acquisition decision (the deal value) of acquirers listed on the Australian Securities Exchange whilst the acquirer’s liquidity has a statistically negative impact on their business acquisition decision.
This study finds that the macro-economic variables of interest rate and exchange rate are statistically significantly positively associated with the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange. This finding supports to previous empirical studies that higher interest rate and higher exchange rate motivate investments in business acquisitions. The study supports that the macro-economic variable, stock market index is statistically negatively associated with the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange. This finding supports to previous empirical studies that the lower stock market index motivates investments in business acquisitions.
When acquirer’s business acquisition decision is influenced by their industry classification, this study support that the macro-economic variables of interest rate and exchange rate have a statistically significant positive impact on the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange whilst the macro-economic variable stock market index is statistically negatively associated with the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange.
When acquirer’s business acquisition decision is influenced by the time in terms of when the business acquisition occurs, the study supports that the macro-economic variable stock market index has a statistically positive impact on the business acquisition decision (the deal value) of acquirers that are listed on the Australian Securities Exchange.
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Borromeo, John. "Stock Market Anomalies for Companies Listed on the National Stock Exchange of Australia". Thesis, 2018. https://vuir.vu.edu.au/38627/.
Pełny tekst źródłaStreszczenie:
Purpose – Many theoretical financial theories attempt to explain the behaviour of stocks
and the structure of their returns, namely the Portfolio Theory, the Capital Asset Pricing
Model (CAPM), the Efficient Market Hypothesis (EMH), and Behavioural Finance.
These theories, however, have provided incomplete and contradictory explanations
regarding stock market anomalies. The aim of this research is to analyse the theory of
anomalies and develop a comprehensive theoretical model based on the extant financial
theories to develop an improved explanation about stock market anomalies.
The principal aim of the current research is to examine the presence of several
anomalies, covering macroeconomic, calendar and event variables, in a secondary stock
market within Australia, namely the National Stock Exchange of Australia (NSXA),
and a number of the sub-indices contained within this stock market.
Design/methodology/approach – This research empirically tests the efficiency of the
NSXA. The role played by each of the following independent variables is examined by
applying specific statistical techniques: long and short-term interest rates; exchange
rates; day of the week; weekends; months of the year; turn of the calendar year, January,
turns of the month; Australian end of financial year; Australian federal election, US
presidential election and sporting events
Findings – The results are interesting and contradict with the existing research. Though
the empirical analyse yields statistically significant results for some hypothesis and not
for others, the research finds that: a clear interest rate effect for both short and longterm
interest rates; an observable and strong monthly effect and suggestive relationship
between the NSX Resources sub-indices and Australian federal elections.
Research limitations/implications – the main limitations of the research related to: 1)
the particularity of investors in the NSXA falls out of the scope of this study, they may
provide further insight as to why the anomalous behaviour was observed; 2) difficulty
quantifying the physical location of the companies listed on the exchange as knowledge
of this may have been supportive in explaining trading patterns and anomalous
behaviour and 3) the impact of market capitalization and firm size was not considered due to a lack of available data. Future research may want to incorporate firm size when
undertaking analysis to determine if a relationship exists between company size and
anomalies.
The main implication of the research is that there is only partial confirmation for the
validity of the EMH. While the EMH is not rejected in each of the tests undertaken,
the fact that some anomalies are observed implies that the EMH cannot be seen as an
all-encompassing theory of how stock markets operate or behave. The current research
raises the concept of segmented market efficiency.
Practical implications – This research indicates that the NSXA does exhibit several
specific anomalies. The presence of such anomalies provides investors with greater
knowledge which can be used to maximise financial returns, in both the medium and
long term, by improving decisions relating to the timing of stock investment.
Originality/value – To the researcher’s best knowledge the focus of stock market
anomalies in an Australian context has been exclusively to examine the Australian
Stock Exchange (ASX). This is the first study to focus on a "secondary" smaller, less
well recognised stock market, the NSXA. Additionally, this is the first study to consider
economic, calendar and event variables in an integrated model to provide an improved
explanation of stock anomalies.
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"A study of merger and acquisition activities in Australia and Singapore". 2001. http://library.cuhk.edu.hk/record=b5890579.
Pełny tekst źródłaStreszczenie:
by Sek Ngo Chi, Tam Kin Sang Samson.Thesis (M.B.A.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaf 38).
Acknowledgment --- p.5
Chapter I. --- Introduction --- p.6
Chapter II. --- Long-term objectives for Mergers and Acquisitions --- p.15
Chapter III. --- Data Source and Terms --- p.21
Chapter IV. --- Statistical Summary and Characteristics of Deals --- p.22
Chapter V. --- Literature Review on Stock Market Reactions --- p.29
Chapter VI. --- Stock Market Reactions --- p.30
Chapter VII. --- Effects of Payment methods on M&A transactions --- p.33
Conclusion --- p.37
References --- p.38
Appendices --- p.39
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Prasad, Mason. "Analysing the effect of private and public information on sectoral return volatility : a case study of the Australian stock market". Thesis, 2018. http://hdl.handle.net/1959.7/uws:50568.
Pełny tekst źródłaStreszczenie:
This research is motivated by the continued push in challenging the validity of the efficient market hypothesis (EMH). The current thesis contributes to the discussion by addressing the gap in the literature regarding the informational efficiency of ASX 200 sectors. The research was carried out by examining the determinants of return volatility of various sectors in the Australian market by testing the strong form EMH. This was achieved by examining the impact of two new private information proxies (i.e. analyst price targets and Morningstar stock star ratings) and scheduled and unscheduled public information (ASX announcements) on sectoral return volatility. Data for each proxy spanning from 2013 to 2017 were used for stocks listed on the ASX 200 index. Results from the study brings insight into how the volatility of each sector responds to private and public information disclosures. Stock return volatility was empirically estimated using three asymmetric generalised autoregressive conditional heteroskedasticity (GARCH) models: E-GARCH, GJR-GARCH and APGARCH. These models were chosen to ensure robust results and that the best model was chosen to represent the data for each stock. The stock return volatility was employed as the dependant variable to ascertain how analyst price targets, Morningstar stock star ratings and ASX announcements impact sectoral return volatility using panel regression analysis. The findings suggest that analyst price targets play an important role in sectoral return volatility, indicating that investors place heavy reliance on this information when undertaking investment decisions. Morningstar stock star ratings indicate a minor impact on sectoral return volatility due to the lower degree of informational content. Furthermore, the results highlight the fact that the degree of reliance on private information varies significantly between each sector, indicating varying levels of informational efficiency. The impact of public information, proxied by ASX announcements, on sectoral return volatility is found to be of minor effect. Hence the results are mixed, indicating that the strong form EMH holds true in some sectors but not in others. This research provides valuable information for investors who are looking to generate excess returns as well as hedge against future losses, by utilising private information proxies.
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Hodgson, Allan Clement. "Information transfer, microstructures and arbitrage in related stock and futures markets". Phd thesis, 1995. http://hdl.handle.net/1885/128733.
Pełny tekst źródłaStreszczenie:
A general result from theoretical and empirical research in financial market is that
information, market microstructure and trading clientele affect prices and trading
patterns. Previous research, however, concentrated mainly on larger well traded security
markets. This thesis extend this research to the thinly traded and informationally
dependent Australian All Ordinaries Index (AOI), the Share Price Index (SPI) future
contract and the arbitrage pricing series between these two markets. Time series and
transfer function techniques are applied to intraday and interday data to examine the
impact of information flow and trading structures on trading and price patterns and the
spillover effect across markets.
The empirical evidence from this the is thesis is consistent with a number of complex and
dynamic relationship which vary across trading times and market place. Reults
indicate that in individual AOI and SPI markets, structural trading halts, price setting
mechanism, and the arrival of information at market opening are associated with price
overreaction and higher volatility, but this is not the case in the arbitrage price series. At
the close of trading there are significant average price deviations in the individual and
arbitrage erie, but without any excess price volatility. Unexpected intraday trading
activity in the futures market preceded price exchange in the stock and future markets; the
arrival of information has a greater impact on future price and the short term volatility
in the futures markets is significantly higher than in the stock market. These influence
in the future market, however, did not lead to any spillover effect which increased the
long term volatility of the stock market. However, there is evidence of sustained and
predictable mispricing in the SPI index futures arbitrage series with mean reversion in the
arbitrage series being a function of different time of the day and possible market
psychology. On the other hand, significant mean reversion is associated with increased
trading volume and efficient transaction cost bound argument.
Overall, the research in this thesis indicate that market are affected by a mixture of
information, trading micro structure and subtle market reaction, which are both rational
and irrational. The major conclusion is that price and volume reaction are complex and
flexible theories are required to explain the intricate working of the marketplace. These
are important consideration to be borne in mind by policy makers, regulator and market
traders.
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Almutairi, Abdullah Mushkus. "Protecting the Rights of Local Shareholders under the Saudi rules for Qualified Foreign Financial Institutions Investments in Listed Shares". Thesis, 2017. https://vuir.vu.edu.au/35975/.
Pełny tekst źródłaStreszczenie:
Recently, the Saudi Capital Market Authority (CMA) opened the door for foreign investors to invest directly in the stock exchange market (Tadawul) to gain more welfare from their investments. Along with this step, the CMA released a set of Rules for Qualified Foreign Financial Institutions Investments (RQFFII) in Listed Shares 2015 that aimed to attract and protect the shareholders' rights.
In this research project, the RQFFII have been examined to discover the level of attraction that these Saudi rules offer to foreign investment. The project also aimed to highlight strengths and weaknesses in the rules with regard to the protection shareholders' rights. This thesis explored the possible influence of foreign investments in the Saudi stock exchange. The research project aimed to increase the CMA and shareholders' awareness and knowledge in regard to these rules which lead to more protection of the local stock exchange.
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Nyasha, Sheilla. "Financial development and economic growth : new evidence from six countries". Thesis, 2014. http://hdl.handle.net/10500/18576.
Pełny tekst źródłaStreszczenie:
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 growth or vice versa. To this end, two models
have been used. In Model 1 the impact of bank- and market-based financial
development on economic growth is examined, while in Model 2 it is the causality
between the two that is explored. Using the autoregressive distributed lag (ARDL)
bounds testing approach to cointegration and error-correction based causality test,
the results were found to differ from country to country and over time. These results
were also found to be sensitive to the financial development proxy used. Based on
Model 1, the study found that the impact of bank-based financial development on
economic growth is positive in South Africa and the USA, but negative in the U.K –
and neither positive nor negative in Kenya. Elsewhere the results were inconclusive.
Market-based financial development was found to impact positively in Kenya, USA
and the UK but not in the remaining countries. Based on Model 2, the study found
that bank-based financial development Granger-causes economic growth in the UK,
while in Brazil they Granger-cause each other. However, in South Africa, Kenya and
USA no causal relationship was found. In Australia the results were inconclusive.
The study also found that in the short run, market-based financial development
Granger-causes economic growth in the USA but that in South Africa and Brazil, the
reverse applies. On the other hand bidirectional causality was found to prevail in
Kenya in the same period.Economics
DCOM (Economics)