Preliminary Programme for the 14th New Zealand Finance Colloquium
All sessions are held at the University of Auckland Business School, Owen G. Glenn Building, Auckland University City Campus.
On every floor there are floor maps near the elevators.
Thursday 11th February | Friday 12th February
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11th - 12th February, 2010 |
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Thursday 11th February 2010 |
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11:00am - 12:30pm |
SIRCA Session |
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12:30pm -1:30pm |
Lunch |
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1:30pm - 3:00pm |
Session 1A: Microstructure |
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Warwick Anderson |
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The impact of the introduction of broker anonymity on the New Zealand Exchange Alastair Marsden, Russell Poskitt and Jingfei Shen |
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Dispersion of Opinions, Limits to Arbitrage and Overnight Returns. Henk Berkman, Paul Koch, Laura Tuttle |
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1:30pm - 3:00pm |
Session 1B: Volatility |
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Graphical models of multivariate volatility. Althea Rea, William Rea, Marco Reale, Carl Scarrott and Giuseppe Storti |
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A Volatility Targeting GARCH Model with Time-Varying Coefficients. Bart Frijns, Thorsten Lehnert, and Remco C.J. Zwinkels |
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Volatility Spillovers on Sectoral Equity Indices in New Zealand Faruk Balli |
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3:00pm - 3:30pm |
Afternoon Tea |
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3:30pm - 5:00pm |
Session 2A: Corporate Governance |
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The Effectiveness of Board Ownership Structures in New Zealand Zak Darby and Helen Roberts |
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Investing and Financing Cash Flow Disclosure Requirements—Value Relevant? Chris Malone, Udomsak Wongchoti, and Alan J. Mitchell |
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Corporate governance, financing pattern and cost of capital: Evidence from New Zealand companies Hardjo Koerniadi |
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3:30pm - 5:00pm |
Session 2B: Asset Returns |
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Kartick Gupta, Stuart Locke, and Frank Scrimgeour |
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Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk? Faruk Balli and Hatice Ozer-Balli |
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The Relationship between Stock Prices and Exchange Rate Fluctuations: New Zealand Evidence. Shuzhen Deng and Philip O'Connor |
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6:30pm - |
Dinner |
Friday 12th February 2010To Top |
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8:30am - 9:00am |
Coffee |
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9:00am - 10:30am |
Session 3A: Options |
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Lattice methods for no-arbitrage pricing of interest rate securities Toby Daglish |
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Daniel Choi |
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The Informational Role of Options Trading Volume in the Australian Index Options Market Klaus Buhr, Xiaoming Li, and Lawrence C. Rose |
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9:00am - 10:30am |
Session 3B: Corporate Finance |
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Beta, Leverage and Debt Policy. Martin Lally |
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Determinants of Different Modes of FDI: Firm-Level Evidence from Japanese FDI into the US. Peiming Wang, Donghyun Park, and Joseph D. Alba |
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Default Option and Optimal Capital Structure in Real Estate Investment. Jyh-Bang Jou and Tan (Charlene) Lee |
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10:30am - 11:00am |
Morning Tea |
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11:00am - 12:30pm |
Session 4A: Banking |
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Contagion Risk in the Australian Banking and Property Sectors. Amelia Pais and Philip A. Stork |
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Asymmetric Information and Price Competition in Small Business Lending. Ming-Hua Liu, Dimitris Margaritis and Alireza Tourani-Rad |
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Report of the (New Zealand) Parliamentary Inquiry into Banking – a rejoinder and a commentary. David Tripe |
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Switching Costs in Banking: The Regulatory Response. Claire Matthews |
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11:00am - 12:30pm |
Session 4B: Behavioural Finance |
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Investor Sentiment, Stock Returns, and Volatility: An Investigation of the US, European, and Asia-Pacific Markets. David G. Barr, Chienwei Ho, and Chi-Hsiou Hung |
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Piety and Profits: Stock Market Anomaly during the Muslim Holy Month. Jedrzej Bialkowski, Ahmad Etebari, and Tomasz Wisniewski |
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Ben Marshall, Nuttawat Visaltanachoti, and Genevieve Cooper |
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12:30pm - |
Lunch and Prize Giving |
