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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SC
Parking Permit
Machine
Student Central
Health and Wellbeing
Centre
Security Public Bus Stop
Road WaterArea
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Carpark Entrance
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Conference loca�on
PathwayBicycle Hub
CP 12 Multilevel CP 13
CP 11
CP 6 Multilevel
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Subway to tram stop
To Melbourne
CROPLEY COURT
FLETCHER PARADE
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Pedestrian Bridge
The Cube
221 Burwood Highway, Burwood, Victoria
CP 7
BURWOOD HWY
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Basement parking
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Boom gate
Visitor Parking
Building 1
Building 2
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Conference location
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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.
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