Centre for Financial EconometricsThe 4th Applied Financial Modelling Conference

1-2 February 2018

Burwood Corporate Centre

Level 2, Building BC, Melbourne Burwood Campus, 221 Burwood HighwayBurwood, Victoria 3125

Conference program

Day one: Thursday 1 February 2018

8.00-8.25am Registration and morning tea

8.25-8.30am Conference welcome: Professor Barry Cooper, Associate Dean (Regional Engagement)

8.30-9.15am Professor Russell SmythKeynote Address: Legally Irrelevant Factors in Judicial Decision Making: Battle Deaths and the Imposition of the Death Penalty in Nazi Germany

9.15-11.15am Presentation session one

11.15-11.30am Tea break

11.30am-1.30pm Presentation session two

1.30-2.30pm Conference lunch

2.30-4.00pm Presentation session three

4.00-4.15pm Tea break

4.15-5.15pm Presentation session four

5.15-6.00pm Professor Joakim WesterlundKeynote Address: A Modified Principal Components Approach for Panels with a Fixed Number of Time Periods

6.00-8.00pm Conference dinner

Day two: Friday 2 February 2018

8.00-8.30am Morning tea

8.30-10.30am Presentation session five

10.30-10.45am Tea break

10.45am-12.15pm Presentation session six

12.15-12.30pm Conference conclusion

2 3

Conference location

Presentation session three | Chair: Tom Smith

2.30-3.00pm Syed Aun R. Rizvi, Lahore University of Management Sciences Are oil prices efficient? A time-varying analysis on the weak-form efficiency of crude oil prices Discussant: Tom Smith

3.00-3.30pm Tom Smith, Macquarie University How markets will drive the transition to a low carbon economy Discussant: Jean-Pierre Fenech

3.30-4.00pm Jean-Pierre Fenech, Monash University Oil price and Gulf Corporation Council stock indices: New evidence from correlation and forecasting measures Discussant: Ruipeng Liu

Presentation session four | Chair: Aziz Hayat

4.15-4.45pm Yushi Yoshida, Shiga University Central bank interventions and limit order behavior in the foreign exchange market Discussant: K.P Prabheesh

4.45-5.15pm Tiantian Zhang, Nottingham University Assessing the Degree of Financial Integration in ASEAN– A Perspective of Banking Competitiveness Discussant: Yushi Yoshida

Conference sessions: Day one

Presentation session one | Chair: Russell Smyth

9.15-9.45am Enrique Batiz-Zuk, Banco de México Monetary policy and default risk analysis using survival model with frailties Discussant: Hao Wang

9.45-10.15am Hao Wang, Huazhong University of Science and Technology Monetary regulation and liquidity distribution mechanism between the real economy and capital marketDiscussant: Luis Sastre

10.15-10.45am Luis Sastre, National Distance Education University Marshall Lerner condition and the balance of payments constrained growth: The Spanish case Discussant: Badri Narayan Rath

10.45-11.15am Huson Joher Ali Ahmed, Deakin University What determine household indebtedness? The role of housing wealth gain and future economic outlook Discussant: Enrique Batiz-Zuk

Presentation session two | Chair: Sohel Azad

11.30am-12.00pm Wolfgang Bessler, Justus-Liebig University GiessenFundamental factor models and macroeconomic risks - An orthogonal decomposition Discussant: Jijo Lukose P.J

12.00-12.30pm Jijo Lukose P.J, Indian Institute of Management Kozhikode The impact of realized jumps and continuous variance on variance risk premium Discussant: Son Tran

12.30-1.00pm Son Tran, Massey University Cluster analysis and firm patterns: A new approach Discussant: Nader Mahmoudi

1.00-1.30pm Nader Mahmoudi, University of Newcastle Deep neural networks understand investors better Discussant: Wolfgang Bessler

4 5

Conference sessions: Day two

Presentation session five | Chair: Susan Sharma

8.30-9.00am Jiaming Chen, Dayeh UniversityHedging performance of stock index futures and the heterogeneity among market participants Discussant: Praveen Bhagawan

9.00-9.30am Praveen Bhagawan, Institute for Financial Management and Research Corporate derivatives use, leverage, and the cost of equity: New insights from Indian non-financial firmsDiscussant: Suraj Kumar

9.30-10.00am Suraj Kumar, Indian Institute of Technology Madras Liquidity in Asian markets: Intensity of regional and global linkagesDiscussant: Hideaki Hirata

10.00-10.30am Hideaki Hirata, Hosei University Emerging stock market comovements and third-country effectsDiscussant: Jiaming Chen

Presentation session six | Chair: Kannan Thuraisamy

10.45-11.15am Salman Khan, Lahore University of Management Sciences Debt externality in equity markets: leveraged portfolios and Islamic indicesDiscussant: Nien-Tzu Yang

11.15-11.45am Nien-Tzu Yang, National United University Continuing overreaction and momentum in a market with price limits Discussant: Radeef Chundakkadan

11.45am-12.15pm Radeef Chundakkadan, Indian Institute of Technology Liquidity pull-back and predictability of bond yield volatility Discussant: Aziz Hayat

6 7

deakin.edu.auDeakin University CRICOS Provider Code 00113B.