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    Essays on financial risk modelling : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, School of Economics and Finance, Massey University, Auckland, New Zealand
    (Massey University, 2024-08-08) Nguyen, Thao Thac Thanh
    In today’s highly interconnected financial landscape, the risk of shock spillover is a critical factor contributing to increased systemic risk and impacting the global financial stability. Research on spillover effects has gained significant attention from both academics and practitioners. This thesis aims to contribute to this strand of the literature by conducting three studies that employ a variety of connectedness methods to investigate several underexplored issues within the field of financial risk management. These essays delve further into the evolution of these spillover effects during times of extreme financial uncertainty and aim to identify the key drivers of these spillovers. Essay One investigates the high-frequency spillover of volatility shocks across major oil-dependent foreign exchange markets, considering the impact of the oil market’s volatility regime. Essay Two examines the return shock spillover between European sectoral credit default swap and the natural gas markets. This investigation is conducted across different quantiles of return distributions, with a special focus on understanding the effects of the ongoing Russian-Ukrainian war on this spillover. Essay Three scrutinizes spillover effects of inflation shocks under normal economic conditions and extreme inflationary conditions between the U.S. and emerging markets. The essay further unveils the determinants of the inflation spillovers among the sample markets.
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    Essays on international market liquidity : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
    (Massey University, 2018) Ma, Rui
    Liquidity, or the ease to trade an asset in a timely, low-cost manner, is an important dimension of financial markets for investors, regulators, and academics. This thesis contributes to the literature on liquidity issues in international stock markets. The first essay surveys prior research on international stock market liquidity. The essay concludes by pointing out that while trading environments and techniques continue to evolve, the manner in which market-specific characteristics affect empirical findings on liquidity issues remains an important area for future research. The next two essays examine market- and stock-level liquidity from a global perspective. Essay Two finds that investors’ risk perceptions are an important determinant of stock market liquidity internationally, and the impact of risk perceptions is stronger in more developed markets with better country governance, greater trade openness, and no short-selling constraints. It is also stronger in countries with a more individualistic culture. Based on an international setting, Essay Three finds that stock liquidity is an important channel through which market volatility affects stock returns, and shows this is distinct from the direct volatility-return relation. The influence of the liquidity channel in determining stocks returns is more pronounced in markets with higher levels of market volatility, lower trading volume, better governance, and no short-selling constraints. It is also stronger when high-frequency trading is more active and during financial crisis periods. Both essays are consistent with prior literature suggesting that more developed markets with less market friction are able to impound information in stock markets more efficiently. The final essay in the thesis examines the trading activity and market liquidity in China. Given China’s unique institutional and regulatory features, liquidity and trading activity evidence may deviate from that of other markets, such as the United States. The essay documents anomalous trading behaviour in China, and shows the findings can be partially explained by the overrepresentation of retail investors’ trading.
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    Essays on international risk sharing : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Economics at Massey University, Palmerston North, New Zealand
    (Massey University, 2013) Rana, Faisal
    One of the most important benefits of financial integration in theory is the international risk sharing opportunity it provides by insuring income and consumption against domestic output fluctuations. Since sharing risk among countries can yield large potential gains, it is crucial to have a deeper understanding of the channels through which risk sharing takes place at the county level. This thesis attempts to deepen the understanding of the channels of risk sharing in the existing body of knowledge. The first empirical study examines the potentially important role of migrants’ remittances in income risk sharing. Using a large sample of 86 developing countries for the period 1990 2010 the results suggest that remittance inflows serve as an effective channel through which output fluctuations are being absorbed. The diversification of migrants turns out to be the leading explanation of the cross-country differences in the extent of risk sharing: the more diverse the migration destinations of a country, the greater the amount of risk shared. The second empirical study contributes to the literature by simultaneously examining the cross-sectional and intertemporal channels of risk sharing among states of Australia and regions of New Zealand. In doing so, it investigates the viability of a currency union between Australia and New Zealand from a risk sharing perspective. The results show that the extent of intertemporal smoothing is negligible in both countries. The study also finds a virtual absence of risk sharing when Australia and New Zealand face negative aggregate fluctuations, raising doubts about the feasibility of the union, particularly during economic downturns. From the methodological viewpoint, the study shows that it is possible to examine both interstate risk sharing and intertemporal smoothing mechanisms in a single framework; besides, distinguishing and measuring the extent of different types of shocks. Motivated by the concerns that the volatility of returns adversely affects the degree of risk sharing through international financial markets’ channel the third study explores the underlying factors that affect the volatility of returns on cross-border asset (equity and debt) holdings in a sample of 28 industrialized countries. Using aggregate portfolio data, it presents the first cross-country evidence on the leading determinants of the volatility of returns. The main findings are that greater portfolio concentration and an increase in asset holding in emerging markets lead to an elevation in the return volatility, whereas more financial integration and greater household share cause a reduction in the return volatility. The results indicate several possible ways to reap large potential gains from international risk sharing.