:: Introduction
:: Schedule
:: Papers

New Zealand Finance Colloquium


Friday 30th January 2004

12:00 pm – 1:00 pm Colloquium Registration – MSB1 Foyer
1:00 pm – 2:30 pm Session 1: Corporate Finance MSB1.01
Chair: Alireza Tourani-Rad Session
Session 2: Emerging Markets
Chair: Abeyratna Gunasekarage
  The Source of Insiders Trading Profits: New Zealand Evidence.

Tourani-Rad A and Gilbert A

Macro-Economic Influence on the Stock Market: Evidence from an Emerging Market in South Asia.

Gunasekarage, A, Pisetasalasai, A and Power, D


Insiders Market Timing and Real Activity: Evidence from an Emerging Market.

Wisniewski, T

Assessing Asian Emerging Market Risks: An Application of the GEV and GDP Methods.

Xu, Q and Li, X

Costs of Financial Distress: The German Evidence


Reimund, C, Schwetzler, B and Zainhofer, F

Gramm-Leach-Bliley Act and Insurance Industries of Developed Countries.


Hassan, M and Mamun, A

2:30 pm – 3:00 pm
Afternoon Tea
3:00 pm – 4:00 pm
Guest Speaker – Annabel Cotton
  Member of the Securities Commission to speak on Changes in Corporate Governance in New Zealand
4:00 pm – 5:30 pm Session 3: Anomalies
Chair: Ahmad Etebari
Session 4: Banking
Chair: Kurt Hess
  Analyst Forecast Trends in Pacific Rim Countries.

Ciccone, S and Etebari, A
Credit Loss and Provisioning in New Zealand.

Kurt Hess

Solving the Halloween Indicator Puzzle: Market Efficiency Still Reigns.


Maberly, E and Pierce, R

NZ Depositors Banking on a Free Ride or Blissfully Unaware.


Wilson, W, Rose, L and
Pinfold, J

  Political Cycles and the Stock Market Down-Under: Additional Evidence on the Presidential Puzzle.

Bhabra, H, Cahan, J, Malone, C Powell, J and Wongchoti, J
The Efficiency of NZ Retail Banks
Vedula, P and

Tripe, D

6:30 pm

Colloquium Dinner aboard the MV Waipa Delta

Saturday 31st January 2004

9:00 am – 10:30 am

Session 5: Cost of Capital
Chair: Bernhard Schwetzler

Session 6: Market Microstructure
Chair: Daniel Choi


Conglomerate Discount and Cash Distortion: New Evidence from Germany.


Schwetzler, B and Reimund, C

Cross-autocorrelation in the New Zealand Stock Market.

Choi, D and Zhao, X

  Modelling Beta Risk for New Zealand Industry Portfolios.

Li, X
Analysis of the Limit Order Book and Order Flow

Visaltanachoti, N, Charoenwong, C and Ding, D
  Estimating the Market Risk Premium in New Zealand through the Siegel Methodology.

Lally, M
and Marsden, A
Price Effects Associate with Changes in the S&P500’s Composition: The Removal and Replacement of Seven Non-US Companies.

Maberly, E and Peterson, A
10:30 am – 11:00 am Morning Tea
11:00 am – 12:30 pm Session 7: Australasian Market
Chair: Ed Vos
Session 8: International Finance
Chair: Dimitri Margaritis
  Small Business Failure Rates and the New Zealand Retail Sector.

Cox, C and Vos, E
Uncovered Interest Rate Parity: The puzzle of the US dollar

Razzak, W and Margaritis, D

Ethical Investing in Australia: Is there a Financial Penalty.

Bauer, R, Otten, R and Tourani-Rad, A

Implied, Forecasted and Realised Volatility of Australian T-Bond Futures Overnight Options.

Zou, L, Rose, L and Pinfold, J


The New Zealand Banking System and the Balance of Payments.

Tripe, D

Optimising Fixed Interest Portfolios with an Intertemporally Consistent model of the Yield Curve.

Krippner, L

12:30 pm – 1:00 pm Lunch
1:00pm - ??? Business Meeting