Browsing Open Theses & Dissertations by Thesis Supervisor "Frijns, Bart"
Now showing items 1-19 of 19
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Behavioural heterogeneity in ASX 200
(Auckland University of Technology, 2009)This dissertation works on dynamic asset pricing with heterogeneous agents. The heterogeneous agent model assumes that public information is available to all investors and agents. However, the agents or the investors form ... -
A Comprehensive Assessment of the Efficiency of the New Zealand Stock Market
(Auckland University of Technology, 2018)An efficient market is one in which the market price, at any point in time, reflects all relevant information available at that time. The three forms of efficiency are: weak form, which says that past prices are fully ... -
The Cross-section of Stock Returns: Out of Sample Evidence From the Early New Zealand Stock Market
(Auckland University of Technology, 2017)In this thesis, I analyse the pricing ability of major asset pricing models using an out of sample data set from the New Zealand stock market in 1899-1929. Previous literature argues that the observed predictive ability ... -
Daily analysis of institutional and individual trading and stock returns: evidence from China
(Auckland University of Technology, 2010)This dissertation examines the impact of institutional (and individual) trading on stock prices in China. Previous literature suggests three alternative hypotheses for this impact: price pressure, informed trading, and ... -
Daily Value-at-Risk models at financial crisis period: evidence in Australia
(Auckland University of Technology, 2010)Over the past decades portfolio and risk management techniques had adapted to increasingly complex financial instrument. Within the different forms of financial risk measurement tools, Value at Risk (VAR) which provides ... -
Debt sources: Empirical determinants and their impact on corporate financial policies
(Auckland University of Technology, 2018)Different debt sources have different characteristics, which can have different impact on various corporate financial policies. Understanding a firm’s choice of debt sources and how this choice affects the firm’s value ... -
Determinants of Idiosyncratic Volatility for Internet Companies: Evidence from China
(Auckland University of Technology, 2018)Internet companies are developing rapidly and are harder to value due to a greater uncertainty regarding their future growth. This study is using a group of listed Chinese internet companies to investigate whether the ... -
An empirical analysis of asset pricing models in Australia
(Auckland University of Technology, 2015)Fama and French (2015) develop a five-factor model with the market risk, size, book-to-market, profitability and investment factors, and find that this model has stronger explanatory power than the three-factor model of ... -
The financial impact of cultural diversity on multinational firms
(Auckland University of Technology, 2018)This thesis investigates the influence of cultural diversity within U.S. multinational firms on their performance, capital structure, and dividend policy. While existing literature has documented that formal institutions ... -
Financial Innovation in Derivatives: Understanding the Use and Properties of Volatility and Dairy Derivatives
(Auckland University of Technology, 2019)Derivative products are undoubtedly among the most important financial innovations in modern history. Since the beginning of the 1970s, derivative markets have seen an expansion in the variety and complexity of products. ... -
Idiosyncratic volatility and expected return in the Australian market
(Auckland University of Technology, 2010)After Ang, Hodrick, Xing and Zhang (2006) found a negative relationship between idiosyncratic volatility and return, researchers have extensively debated the relationship between the two. Previous literature however has ... -
Impact of foreign bank entry on the credit stability of host countries
(Auckland University of Technology, 2011)This study investigates lending sensitivity of foreign and domestic banks to crises and business cycles in South Asia. It also studies the credit behaviour of banks in reaction to financial liberalization and deposit ... -
The impact of minimum tick size on the liquidity of the New Zealand stock market
(Auckland University of Technology, 2014)This study consider the impact of minimum tick size (MTS) on the liquidity of the New Zealand stock market, where the MTS reduce from $0.01 to $0.005 for 17 stocks in 2011. I analyse stock market liquidity (i.e., spreads ... -
Interest rate pass-through and monetary policy transmission in Thailand
(Auckland University of Technology, 2014)This dissertation examines the degree and speed of key retail interest rates in response to prime rate changes in Thailand. By using five deposit rates and three lending rates from 46 domestic and foreign banks between ... -
An investigation into the dynamic relationship between gold, silver and oil: an intra-day analysis
(Auckland University of Technology, 2013)In this research, the long-run relationships between gold, silver and oil were studied using cointegration analysis. Their dynamic cointegration was also examined. Despite economic recession and crises, cointegration did ... -
A market microstructure perspective on the price formation of cross-listed stocks
(Auckland University of Technology, 2015)Over the past two decades, globalization in capital markets has led to the growth of equity listings in more than one market. Such growth has heightened the levels of competition among stock exchanges, especially in terms ... -
A Microstructure Perspective on the Effect of Uncertainty and Information Opacity on Equity Market Quality
(Auckland University of Technology, 2022)As Paulos (2003, para. 1) notes, “uncertainty is the only certainty there is, and knowing how to live with insecurity is the only security.” This statement cannot be more pertinent in the context of equity markets. Uncertainty ... -
Performance of New Zealand Exchange Traded Funds
(Auckland University of Technology, 2015)This study examines the performance of the New Zealand Exchange Traded Funds (hereafter ETFs), especially focusing on how well the ETFs’ returns can replicate those of their underlying stock indexes. The results show that, ... -
Volatility and Return Spillovers in International Financial Markets
(Auckland University of Technology, 2016)Globalization of financial markets has led to stronger relations among different markets and asset classes. As a result, information across financial markets is transmitted almost instantaneously with potential implications ...