Browsing by Author "Brooks R"

Now showing 1 - 3 of 3
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    Asset allocation of Australian superannuation funds: a markov regime switching approach
    (Springer Nature, 2023-11-01) Bissoondoyal-Bheenick E; Brooks R; Do H
    We extend an observable Markov Regime Switching framework to assess the switching behaviour of asset classes of Australian superannuation funds across different fund sizes. We identify the most prominent asset class which contributes to the performance of the investment options and what factors trigger funds’ decisions on rebalancing their portfolio. We find that smaller funds tend to be more active in switching to aggressive options and the larger funds are more conservative. However, in periods of volatility, the large funds are the risk seekers and tend to switch their asset classes and hence their investment strategies. The asset classes whose values add to the performance of the investment options are equity markets and bond markets with the domestic equity market having better performance than international equity market. The switch for the larger funds is driven by volatility of the equity market.
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    Common volatility in clean energy stocks
    (Elsevier B V, 2025-08-01) Pham L; Pham S; Do H; Bissoondoyal-Bheenick E; Brooks R
    This study investigates common volatility (COVOL) within the clean energy sector, motivated by the sector's growing importance and its susceptibility to external shocks. For this purpose, we use the COVOL measure developed by Engle and Campos-Martins (2023) to explore sector-wide and sub-sector common volatility, in a range of sub-sectors including renewable energy, energy storage, energy conversion, power conservation, and greener utilities. Our analysis highlights the major events that significantly impact the volatility of clean energy stocks. These include global economic disruptions, geopolitical tension, policy changes and climate-related events. Other key findings reveal the heterogeneous association of sub-sectors’ COVOL to different economic and financial factors, alongside superior explanatory power of COVOL on clean energy risk and return compared to alternative news-based uncertainty measures. These insights emphasize the importance for investors to integrate thorough risk management strategies and for policymakers to create a stable, supportive environment for the clean energy market. The study's implications extend to enhancing sector resilience and informing strategic investment and policy decisions, contributing to the sustainable growth of clean energy amidst global economic and environmental uncertainties.
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    Risk Analysis of Pension Fund Investment Choices
    (John Wiley and Sons, Inc., 2023-09-01) Bissoondoyal‐Bheenick E; Brooks R; Do X
    We provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balanced fund does not impact the long-term risk measurement. We equally find that the risk-return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama-French five-factor model provides greater sensitivity.