Centre for Financial EconometricsThe 7th Applied Financial Modelling Conference

Thursday 7 February 2019

Burwood Corporate Centre

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

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221 Burwood Highway, Burwood, Victoria

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Presentation session one | Chair: Aziz Hayat

11.00 – 11.30am Wolfgang Bessler, University of Giessen, GermanyOptimal Asset Allocation Strategies for International Equity Portfolios: A Comparison of Country versus Industry Optimization Discussant: Sohel Azad

11.30am – 12.00pm Syed Aun R. Rizvi, Lahore University of Management Sciences, Pakistan Are Oil Prices Efficient?Discussant: Dinh Phan

12.00 – 12.30pm Chen Tong, Peking University, ChinaWhich Model for Option Valuation in China? Empirical Evidence from SSE 50 ETF OptionsDiscussant: Ruipeng Liu

Conference program9.00 – 9.30am Registration & morning tea

9.30 – 9.45am Conference introduction

9.45 – 10.45am Professor Joakim Westerlund Keynote address: estimating the speed of adjustment of leverage in the presence of interactive effects

10.45 – 11.00am Tea break

11.00am – 12.30pm Presentation session one

12.30 – 1.30pm Conference lunch

1.30 – 3.00pm Presentation session two

3.00 – 3.15pm Tea break

3.15 – 4.45pm Presentation session three

4.45 – 5.00pm Conference conclusion

6.00 – 8.00pm Conference dinner

Presentation session two | Chair: Joakim Westerlund

1.30 – 2.00pm Adam Zaremba, University of Dubai, United Arab EmiratesHerding for Profits: Market Breadth and the Cross-Section of Global Equity ReturnsDiscussant: Krishna Reddy

2.00 – 2.30pm Ghulam Abbas, Sukkur IBA University, Pakistan and University of Chinese Academy of Sciences, ChinaRevisiting the Nexus Between Stock Markets in a Macroeconomic Fundamentals: A Comparative Study on China and USADiscussant: Badrinarayan Rath

2.00 – 2.30pm Yi-Hao Lai, Da-Yeh University, TaiwanForecasting Stock Returns during Non-trading and Trading Sessions via Periodic Regime Switching ModelDiscussant: Aziz Hayat

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Presentation session three | Chair: Kannan Thuraisamy

3.15 – 3.45pm Krishna Reddy, Toi Ohomai Institute of Technology, New ZealandDoes Board Gender Diversity Influence Firm Profitability? A Control Function ApproachDiscussant: Jonathan Batten

3.45 – 4.15pm Badri Narayan Rath, Indian Institute of Technology Hyderabad, India A Reassessment of Productivity Convergence: Evidence from Cross Country AnalysisDiscussant: Joakim Westerlund

4.15 – 4.45pm Osman Bin Saif, Bahria University Islamabad, PakistanIndicators of Insurance Development in Pakistan Discussant: Chung-Ping Chang

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