Research

Date: Friday, 24/08/2018
Time: 10:00 – 11:00
Venue: FoB Meeting Room
Speaker: Changyong Zhang

Title: Hawkes-Based Models for High Frequency Financial Data

Abstract: Compared with low frequency data, high frequency financial data exhibits different empirical properties, for instance, essentially discontinuous evolution paths, time-varying intensities, and self-exciting features. This makes it a challenge to model appropriately the dynamics associated with high frequency financial data such as order arrival and price formation. To capture the microscopic structures and properties pertaining to limit order books, this talk focuses on modeling high frequency data using Hawkes processes. Two Hawkes-based models, one with exponential kernels and the other with power-law kernels, are discussed, implemented, and compared from different perspectives including the goodness of fit to the empirical data and the computational time in searching for the maximum likelihood estimator, with search algorithm being considered as well. To measure goodness of fit, a number of quantities are proposed. Studies based on both multiple-trading-day data of one stock and multiple-stock data on one trading day show that Hawkes processes with slowly-decaying kernels are able to reproduce the intensity of jumps in the price processes more accurately. The results suggest that Hawkes processes with power-law kernels and their implied long memory nature of self-excitation phenomena could, on the level of microstructure, serve as a realistic model for high frequency data.

Bio: Changyong Zhang obtained a Bachelor of Engineering in Mechanical Engineering and Automation from South China University of Technology, a Master of Science in High Performance Computation for Engineered Systems from National University of Singapore (Singapore-MIT Alliance), a Master of Philosophy in Network Planning and Optimisation from Imperial College London, and a Doctor of Philosophy in Applied Mathematics from the University of Southern California.

Prior to joining Curtin University Malaysia in 2015 as an associate professor in the Department of Finance and Banking, Changyong Zhang had been affiliated with Xi’an Jiaotong-Liverpool University as a lecturer in the Department of Mathematical Sciences, the University of Leoben as a postdoctoral researcher in the Department of Mathematics and Information Technology, and Uppsala University as a postdoctoral researcher in the Department of Mathematics.

Along with teaching experience in mathematics and finance related courses, Changyong Zhang’s research interests lie in interdisciplinary fields, including Operations Research, Stochastic Analysis, and Financial Mathematics, with papers being published in a number of WoS-indexed and ABDC-ranked journals.

Date: Friday, 17/08/2018
Time: 10:00 – 11:00
Venue: FoB Meeting Room
Chair: Changyong Zhang
Speaker: Kenneth R. Szulczyk

Title: The economic costs of biological threats and recovery of the Malaysian paddy fields

Abstract: We determine the economic impact of biological threats, whether intentional or unintentional, on Malaysia paddy fields and also estimate the effect on social welfare, agricultural prices, and employment. Consequently, we modify a partial equilibrium model to handle a pathogen’s impact on paddy. The model includes the vital commodities of Malaysia’s agriculture and predicts agricultural prices, domestic consumption, exports, imports, production, and land use between 2020 and 2065 in five-year increments. The results indicate that a pathogen’s slow spread rate of 50,000 hectares per five years can completely devastate Malaysia’s paddy fields by 2045. Although paddy is Malaysia’s third largest grown commodity, social welfare falls only by 1.3%. Meanwhile, agricultural prices rise 35.6% while employment drops 17.4% in 2065. Therefore, the loss of the paddy fields would adversely impact the agricultural sector. Furthermore, if the landowners convert paddy fields into oil palm plantations, the land conversion increases social welfare slightly while agricultural prices and employment losses remain high. Finally, Malaysia can partially regain its productive paddy fields if a one-time rehabilitation cost ranging between RM12,500 and RM100,000 per hectare is incurred. The social welfare, agricultural prices, and agricultural employment partially recover as compared to the base scenario without a pathogen.

Bio: Kenneth R. Szulczyk, a senior lecturer, teaches and conducts research at Curtin University – Malaysia. He earned a PhD in agricultural economics specializing in environmental and natural resource economics from Texas A&M University, a Masters in economics from Oklahoma State University, and a B.S. in economics, magna cum laude, from Northern Michigan University. He researches issues in behavioral finance, energy economics, and partial equilibrium models.

 

Date: Friday, 03/11/2017
Time: 11:00 – 12:00
Venue: FoB Meeting Room
Chair: Ramez Badeeb
Speaker: Abey P Philip

Title: Do Students Really Read Unit Outline? A Study from Curtin University Malaysia

Abstract: Education is a demonstration of confidence in the future. To attain this, students need to go through different stages of learning process and procedures. The first and most important of these stages is to read and understand the unit outlines of the units in which they are currently enrolled.  The unit outline enlightens the students on the particulars of the unit they are enrolled. The unit outlines also explains the graduates attributes and different policies which are essential for students. The important question that arises now is, while we know that reading unit outline is essential for the students, whether students read and understand the unit outline? Do they consider this to be important enough? The survey was carried out among 205 engineering and business students, selected from all years of study to determine students’ perspective towards unit outline. Although the students are acquainted with the fact that the unit outline does contain learning outcome, but half of them irrespective of gender and faculty, do not bother to read it at all. Majority of the students, irrespective of stream of study and gender, understand that unit outlines contain the learning outcomes. Results indicate that even though the majority of students read the information about the unit, half of the students do not read information about lecturer. Absolute majority of the students across gender and faculty do not give importance to graduate attributes which is explained in the unit outline. Almost all students give importance to program schedule and calendar. The independent t test was used to understand different aspects of unit outline and how they conceived it, and whether there is any difference between gender and faculty to understand the different aspect towards unit outline.

Bio: Abey P Philip, a senior lecturer, teaches and conducts research at Curtin University Malaysia. He earned his PhD in Economics from Hyderabad Central University, MPhil and Masters in economics from Pondicherry University. His research interests include aspects of micro economics and monetary economics and economics of education.

 

Date: Friday, 27/10/2017
Time: 11:00 – 12:00
Venue: FoB Meeting Room
Chair: Tanusree Chakravarty Mukherjee
Speaker: Ramez Badeeb

Title: Oil Price and Islamic Stock Markets Revisited: Fresh Evidence from Sectoral and Asymmetric Perspectives

Abstract: This paper extends the literature of nonlinearity in oil-stock relationships by putting forward a new paradigm of sectoral and Islamic elements. We explore the asymmetric impact of oil price on Islamic stocks from a sectoral perspective with non-linear Autoregressive Distributed Lag (NARDL) cointegration methodology. The main advantage of this methodology relies on its ability to simultaneously capture the short- and long-run asymmetries through positive and negative oil price shocks. Our results show weak linkages between oil price changes and Islamic composite index. However, the nature and sensitivity of the reaction of stocks prices to oil price shocks vary considerably across sectors. In the longer horizon, the relationships between oil price and many Islamic sectoral stocks tend to follow a nonlinear pattern. Furthermore, the behavior of real sectors indices reflected on the performance of the composite index that was oil price-resistant. During the turbulent period after 2008, the response of sectoral indexes to oil price movement witnessed notable changes where the sectoral gains from oil price drops that have been noticed during the period of study have diminished after 2008. Our finding goes in line with the argument that Islamic composite index is grounded more on the real sectors. These findings are robust when considering different oil proxies and different data time-frequency.

Bio: Ramez A. Badeeb, a lecturer in faculty of business –Curtin University Malaysia. He earned a PhD in Financial economics from Universiti Sains Malaysia. His research interests are in financial economics, development economics and energy economics. He published several articles in reputed international journals such as Energy Economics (A*), Resources Policy (B) and Studies in Economics and Finance (B). His previous experience that has been extended for more than 12 years was as an economic researcher and consultant in Universiti Sains Malaysia (USM) and United Nation Development Programme (UNDP).

 

Date: Friday, 20/10/2017
Time: 11:00 – 12:00
Venue: LTCL 8
Chair: Abey P. Philip
Speaker: Tanusree Chakravarty Mukherjee

Title: Patent Protection and Technical efficiency of Indian Manufacturing Industries – Empirical study on Selected Industries

Abstract: Over the past few decades, the effect of patent protection on firm-level technical efficiency has become a contentious issue. One school of thought proclaims the efficacy of patent institution accomplish through stimulation of innovations, while the other school of thought underpins the advent of loss of social welfare through the creation of a monopoly. In accordance to this domain, the current study evaluates the technical efficiency with employing firm-level panel data of Pre-TRIPs (Trade Related Aspects of Intellectual Property Rights) implementation periods (before 2005) and Post-Trips implementation periods (2005 onwards), of the Indian manufacturing sector. Customarily, the intrinsic impact of patent protection variable on technical efficiency will be determined by the Stochastic Frontier Analysis (SFA), developed by Aigner, Lovell, and Schmidt (1977). Transcendental logarithmic stochastic production frontier and associated inefficiency model are used to measure the technical efficiency. One stage stochastic production frontier model proposed by Battese & Coelli (1995) is adopted to estimate the effects of patent protection on a firm-level technical efficiency. The panel dataset has constructed from the Centre for Monitoring Indian Economy (CMIE) database and the Annual Reports of Controller General of Design, Trademark, and Patent (CGDTP). The parameters of the stochastic production frontier and the technical inefficiency effects are simultaneously estimated with FRONTIER 4.1 computer program using a maximum likelihood method (Coelli, 1996).

Bio: Tanusree Chakravarty Mukherjee, a lecturer in Finance & Banking Department, Faculty of Business, Curtin University Malaysia. She is currently pursuing her Ph.D. in Economics at Curtin University, Australia under the Curtin Offshore Partner Research Scholarship (COPRS). Her research interests are in Microeconomics, Econometrics and Labour Economics.

 

Date: Friday, 13/10/2017
Time: 13:00 – 14:00
Venue: LTCL 9
Chair: Nafiu Olaniyi Oladokun
Speaker: Kenneth R. Szulczyk

Title: Cointegration and Rational Bubble Tests

Abstract: This talk focuses on how to write programming code in R for statistical analysis. We will demonstrate this based on some past projects, including

  • Survey
    • To estimate willingness to pay to protect an endangered species by using a payment card
    • To estimate an interval regression along with the standard heteroscedasticity tests
      • Goldfeld-Quandt
      • Spearman Rank Correlation
      • Breusch-Pagan
      • White Tests
    • To identify & filter outliers and to convert all tourist’s incomes into real Malaysian ringgit equivalent
  • Unit Root Tests
    • Augmented Dickey-Fuller
    • Phillips–Perron (PP)
    • Kwiatkowski-Phillips-Schmidt-Shin (KPSS)
  • Cointegration Test
    • Engle and Granger (1987) cointegration test
    • Johansen (1991) trace and eigenvalue tests
    • Momentum Threshold Autoregression (MTAR)

The talk will be particularly interesting to those who have done literature review and data collection, while are looking for the follow-up statistical analysis.

Bio: Kenneth R. Szulczyk, a senior lecturer, teaches and conducts research at Curtin University – Malaysia, He earned a PhD in agricultural economics specializing in environmental and natural resource economics from Texas A&M University, a Masters in economics from Oklahoma State University, and a B.S. in economics, magna cum laude, from Northern Michigan University. He researches issues in behavioral finance, energy economics, and partial equilibrium models.

 

Date: Friday, 06/10/2017
Time: 15:00 – 16:00
Venue: LTCL 8
Chair: Changyong Zhang
Speaker: Nafiu Olaniyi Oladokun

Title: Determinant of Criminal Activities by Some Nigerians Residing In Malaysia: A Socio-Economic Perspective

Abstract: Even when statistics from various international institutions indicate a relatively higher prevalence of crimes among the locals, the increasing trend of a spike in crime rates among immigrants especially of African descent in Malaysia is also bothersome. Given the rise in the number of reported criminal activities involving, specifically, Nigerians in Malaysia, it becomes necessary to understand the underlying motives for such behaviour as part of the attempt to arrest this trend. The current study explores the factors contributing to criminal behaviour among some Nigerians residing in Malaysia. In view of the prominence of socio-economic factors in explaining criminal behaviour, this study explores this rising phenomenon from a socio-economic perspective. In addressing this objective, this study employs the Analytical Hierarchy Process (AHP), whereby the socio-economic factors are ranked according to their contribution to the crime rate. It is expected that the findings of this study will shed light on the root causes of this menace, thereby offering policy makers greater information and insight with which to more effectively curb such criminal activities.

Bio: Oladokun Nafiu obtained his PhD in Business Administration (finance major) from International Islamic university Malaysia (IIUM) in 2015. Prior to joining Curtin, he has worked as both teaching and research assistant between 2010 and 2015 at IIUM. The title of his PhD thesis is “An empirical examination of securitization activities by Malaysia Banks”. His research areas include: financial innovation, banks efficiency and Islamic finance.

 

Date: Friday, 29/09/2017
Time: 11:00 – 12:00
Venue: FoB Meeting Room
Chair: Changyong Zhang
Speaker: Alpha Anak Ngadan

Title: Momentum and Herding in Emerging Asian Markets

Abstract: Investors continually search for consistent profits by developing easy-to-apply trading strategies, such as momentum returns (or momentum trading) and herding. For example, it has been shown that investors could earn a nearly riskless profit of 12% per annum by using momentum and earn substantial profits by trading against the herd. Apparently, these two strategies contradict the efficient market hypothesis (EMH), which states that investors cannot earn long-term profits from the markets as stock prices quickly incorporate all available information. In the finance literature, momentum returns are divided into two categories, cross-sectional and time-series. While cross-section momentum has been extensively studied, time-series momentum is relatively new, in particular for the emerging Asian markets. Since in past years emerging markets have experienced strong economic growth that lead to rapidly rising stock and real estate prices, this study exams both equity markets and real estate investment trusts (REITs). To answer key questions including whether emerging Asian markets experience time-series momentum in the stock markets and REITs, whether time-series momentum consistently exceeds cross-section momentum, and whether market states such as bull and bear markets influence momentum returns, this study employs different methodologies to measure cross-sectional momentum and time-series momentum. Another focus of this study is on herding behaviour in the stock prices and REITs on emerging Asian markets, which hasn’t been sufficiently addressed in the literature. It is further investigated whether momentum returns are connected to herding behaviour.

Bio: Alpha Ngadan, a finance lecturer in faculty of business –Curtin University Malaysia. He is currently pursuing his PhD in behavioural finance here in Curtin University Malaysia. His research interests are in behavioural finance and personal finance.

 

Date: Friday, 15/09/2017
Time: 11:00 – 12:00
Venue: FoB Meeting Room
Speaker: Changyong Zhang

Title: Switching-Regime Regression for Deciphering Investors’ Behavior

Abstract: It has been observed that certain financial variables commonly exhibit switching behavior that depends on their magnitude, the phenomenon of which in general cannot be naturally captured by the ordinary least squares (OLS) regression. To incorporate this observation and to decipher investors’ behavior more appropriately, a switching-regime regression is proposed and applied to the S&P 500 market returns with respect to seven explanatory variables. It is shown that, compared with OLS, the new regression results in a significantly-improved adjusted R2, increasing from 6% to over 50%. Also, thirteen out of fourteen parameter estimates, two thresholds for each of the seven explanatory variables, are statistically significant, while only two out of seven are for OLS. In addition, the fitted values from the new regression even resemble the dip during the 2008 global financial crisis, while those from OLS do not. The study thus indicates that switching-regime regression improves significantly the goodness of fit as well as conforms more to investor behavior theory. This is joint work with Kenneth R. Szulczyk.

Bio: Changyong Zhang obtained a Bachelor of Engineering in Mechanical Engineering and Automation from South China University of Technology, a Master of Science in High Performance Computation for Engineered Systems from National University of Singapore (Singapore-MIT Alliance), a Master of Philosophy in Network Planning and Optimisation from Imperial College London, and a Doctor of Philosophy in Applied Mathematics from the University of Southern California. Before joining Curtin University Malaysia in 2015 as an associate professor in the Department of Finance and Banking, Changyong Zhang had been with Xi’an Jiaotong-Liverpool University as a lecturer in the Department of Mathematical Sciences, the University of Leoben as a postdoctoral researcher in the Department of Mathematics and Information Technology, and Uppsala University as a postdoctoral researcher in the Department of Mathematics. Changyong Zhang’s research interests lie in interdisciplinary fields, including Operations Research, Stochastic Analysis, and Financial Mathematics, with papers being published in a number of journals that are WoS-indexed and well-ranked by ABDC.

 

Date: Friday, 25/08/2017
Time: 11:00 – 12:00
Venue: LTCL 8
Chair: Changyong Zhang
Speaker: Ramez Badeeb

Title: Oil Curse and Finance-Growth Nexus in Malaysia: The Role of Investment

Abstract: This research empirically examines the existence of an oil curse in the finance-growth nexus in Malaysia. It provides new insights into the oil curse phenomenon in Malaysia that challenges the conventional argument that Malaysia is a counter-example of an oil curse country. Although we are not able to find statistical evidence of the direct negative impact of oil rent on economic growth, our result reveals that the symptoms of an oil curse exist. Oil rent has a weakening indirect impact on the finance-growth nexus through the quantitative channel or investment quantity. Hence, the research urges that policymakers maintain the degree of oil dependence at a low level and enhance economic diversification activities. Moreover, the financial sector should be more involved in productive investment activities that can strengthen its role in economic growth.

Bio: Ramez A. Badeeb, a lecturer in faculty of business –Curtin University Malaysia. He earned a PhD in Financial economics from Universiti Sains Malaysia. His research interests are in financial economics, development economics and energy economics. He published several articles in reputed international journals such as Energy Economics (A), Resources Policy (B) and Studies in Economics and Finance (B). His previous experience that has been extended for more than 12 years was as an economic researcher and consultant in Universiti Sains Malaysia (USM) and United Nation Development Programme (UNDP).

 

Date: Friday, 18/08/2017
Time: 13:00 – 14:00
Venue: LTCL 6
Chair: Changyong Zhang
Speaker: Kenneth R. Szulczyk

Title: The Malaysian Agricultural and Plantation Greenhouse Gas Equilibrium Model

Abstract: As Malaysia develops, the high food production coupled with urbanization and industrialization give rise to environmental threats as more greenhouse gases are emitted. Hence, Malaysia can utilize renewable energy to reduce its carbon footprint. This study develops the Malaysian Agricultural and Plantation General Equilibrium Model (MAPGEM) to examine renewable energy. MAPGEM forecasts land use, resources, prices, production, domestic consumption, imports, exports, and greenhouse gases between 2020 and 2065. It includes banana, cocoa, coconut, durian, kenaf, mango, oil palm, papaya, pepper, pineapple, rambutan, rubber, rice, and agricultural wastes. MAPGEM predicts that producers sell biodiesel to the diesel fuel market for RM3 per liter for all years. Furthermore, biorefineries supply ethanol for petrol fuel for RM2 per liter although ethanol diverts biomass from bioelectricity. Moreover, producers do not supply butanol to the petrol market. Finally, producers generate bioelectricity from biomass at RM0.40 per kWh and methane at RM0.60 per kWh.

Bio: Kenneth R. Szulczyk, a senior lecturer, teaches and conducts research at Curtin University – Malaysia. He earned a PhD in agricultural economics specializing in environmental and natural resource economics from Texas A&M University, a Masters in economics from Oklahoma State University, and a B.S. in economics, magna cum laude, from Northern Michigan University. He researches issues in behavioral finance, energy economics, and partial equilibrium models.

Share this