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(2007)ThesisThe professional profile of researchers is established through communication of scientific work practices, leading to the establishment of a scholarly identity. Understanding scholarly identities is currently addressed through a conceptualisation of research narrative mechanisms. Citation and citing practices are a central component of scientific communication work practices. Therefore understanding these formal communication practices of researchers through their citing behaviours may contribute to the building of scholarly identity. This study is undertaken to understand whether scholarly identity could be informed through the use of citation identities. Studies on the citation identities of individuals were conducted, using authors working in the area of Consciousness, which provided a diverse field of participants for the testing of citation analysis techniques. This is accomplished through methodological development and further examined using a combination of field-level and individual-level analyses. A new methodology was developed for the generation of citing identities, based on the calculation of the Gini coefficient and the citee-citation ratio of authors' citing profiles. The resulting relationship was found to have high levels of consistency across a heterogenous set of researchers. An exploration of identification of author characteristics was subsequently undertaken using the new methodology and existing citation analysis techniques. The techniques were successful in identifying departures from conventional citation practice, highlighting idiosyncrasies well, but otherwise understanding of scholarly identity through citation analysis was only marginally successful. A portion of the difficulty of achieving clarity was the complexity of the Consciousness author set, which was useful for establishing broad applicability of a new methodology, but poor for judging its successful application. In summary, definition of citing identity type offers possibilities for improving the understanding of scholarly identity, but will require further methodology development to reach its full potential.
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(2007)ThesisThe commissariat was the main economic drivers in the colonial economy between 1788 and 1835. It is not frequently discussed in the literature and it was Professor N. G. Butlin who challenged economic historians to write the story of the commissariat in operation. This thesis relates the story of the role and operations of the commissariat in colonial NSW. The commissariat filled many roles, ranging from government store, to financial services provider and a quasi-treasury. It was the main purchaser of local production from local settlers, and offered a novel and creative 'barter system' by exchanging store receipts for goods and services received from local settlers
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(2007)ThesisMajor problems are identified with the use of survey methodology to examine the relationship between market orientation (MO) and firm performance. The research, as it is argued, tells us more about managers' sense-making processes and causal attributions than whether and under what conditions MO drives performance, yet one way causal interpretations are still prevalent in the literature. The psychological mechanisms underlying managers' perceptions are identified and alternative causal paths specified for interpreting prior research results are proposed that also account for otherwise troublesome results. An exploratory experiment is designed to calibrate the extent of managers' attribution biases which is the most important part of the sensemaking framework. Different levels of performance, MO and environmental turbulence are manipulated in case scenarios. The results confirm a culture-centered view of MO and a strong psychological impact of performance on perceived environment turbulence. A multi-method view of studying the MO-performance link is proposed in the final part of the paper.
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(2007)ThesisThe Efficient Market Hypothesis (EMH) has had significant impact on the theory and practice of investments. However technical trading rules have continued to be used by practioners and have been the focus of many academic studies which have focused on equity, foreign exchange and futures markets. The scarcity of research into technical trading models for fixed income markets is astonishing considering the significant size and consequent investor importance of fixed income markets relative to other financial markets and the extensive application of technical trading models by market participants. This is one of the few studies that develops a technical trading model applicable to fixed income markets. Black (1986) defined Efficient Markets as a market where deviations from fundamental values were short lived and small in magnitude. Fundamental asset values are hard to calculate, but we are able to identify fundamental values for a set of Government Bonds on the principle that yield relativities between such bonds are quite stable except for 'deliberate' changes in trading behaviour. We find that the deviations from fundamental value are short lived and small in magnitude. We exploit deviations from fundamental value by Butterfly Trading strategies; Normal Butterfly trades earning returns from movements in yield curve slope and curvature and Arbitrage Butterfly trades earning returns from yield curve curvature only. After considering transaction costs, we achieve annualised returns of 120bps from our Normal Butterfly trades and 72 bps from our Arbitrage Butterfly trades. Consistent with the risk-return relationship for financial instruments, we find that the returns and the volatility of returns for Normal Butterfly trades are higher than the returns and volatility of returns for Arbitrage Butterfly trades. Normal Butterfly trades are exposed to yield curve slope changes whereas Arbitrage Butterfly trades are not, resulting in higher risk and higher returns for Normal Butterfly trades. This finding is consistent with the results obtained by Fabozzi, Martellini and Priaulet (2005).
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(2007)ThesisThis thesis introduces the application of discrete Principal Component Analysis (PCA) to corporate governance research. Given the presence of many discrete variables in typical governance studies, I argue that this method is superior to standard PCA that has been employed by others working in the area. Using a dataset of 244 companies listed on the London Stock Exchange in the year 2002-2003, I find that Pearson's correlations underestimate the strength of association between two variables, when at least one of them is discrete. Accordingly, standard PCA performed on the Pearson correlation matrix results in biased estimates. Applying discrete PCA on the polychoric correlation matrix, I extract from 28 corporate governance variables 10 significant factors. These factors represent 8 main aspects of the governance system, namely auditor reputation, large shareholder influence, size of board committees, social responsibility, risk optimisation, director independence level, female representation and institutional ownership. Finally, I investigate the relationship between corporate governance and a firm's long-run share market performance, with the former being the factors extracted. Consistent with Demsetz' (1983) argument, I document limited explanatory power for these governance factors.
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(2008)ThesisThe Basel Committee has released a consultative document (Basel (2003)) on the management and supervision of interest rate risk (IRR). This document outlines a standardised model to calculate a duration-based proxy for IRR in depository institution balance sheets. We utilise this methodology to define an IRR measure which we denote BIRRM (Basel Interest Rate Risk Measure). It is the change in the value of a financial institution produced by a 200 basis-point increase in interest rates at all maturities, relative to Tier I and Tier II capital. This study has three primary objectives. Firstly, we utilise BIRRM to provide an overview of IRR exposure of Australian Credit Unions and Building Societies (CUBS) over the period September 1997 to September 2007. Secondly, we seek an understanding of the relationship between BIRRM and measures of CUBS' interest rate sensitivity over a period of rising interest rates (December 1998 to September 2000) and another period of falling rates (September 2000 to December 2001). Finally, we seek an understanding of the economic factors that influence IRR exposure decisions of CUBS by modelling the determinants of CUBS' IRR exposure. We find that IRR exposure of CUBS is relatively low and, on average, CUBS are exposed to falling interest rates. We also find significant relationships between BIRRM and measures of CUBS' interest rates sensitivity consistent with a priori expectations, supporting the use of the Basel Committee's measure of IRR in identifying CUBS with large IRR exposures. The models examining the determinants of CUBS' IRR have relatively low explanatory power. There are however significant relationships between a number of factors and CUBS' exposure to changing rates.
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(2007)ThesisConsumer satisfaction is a central topic in marketing. In the literature, a variety of conceptual models have been developed to capture the satisfaction formation process, with the dominant framework being the disconfirmation paradigm. However, despite its widespread acceptance and support, there is still a lack of clarity, especially regarding the role and relative importance of perceived performance in determining satisfaction. It has been suggested that satisfaction research has advanced into a stage where potential moderator variables need to be examined in order to explain previous mixed findings. The current research proposes a contingency model of the satisfaction formation process, which posits that the nature of the relationships between satisfaction and its two key antecedents (i.e., perceived performance and disconfirmation) is contingent on one situational moderator (ambiguity) and two individual moderators (experience and involvement). Empirical testing of the model is in the form of a cross-sectional survey in China's mobile phone services industry using a convenience student sample obtained from one Chinese university. The results show that both disconfirmation and perceived performance have a direct impact on satisfaction under conditions of low experience or high involvement, whereas satisfaction is solely determined by perceived performance in situations of high experience or low involvement. In addition, the results also support a joint moderator influence of ambiguity and experience on the relationships between satisfaction and its antecedents, which is especially true in the case of high ambiguity and low experience.
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(2007)ThesisThis thesis examines and explains multinational employers' experiences of localized shortages of skilled process workers in Suzhou Industrial Park (SIP), China. It explains three challenges facing SIP employers in accessing sufficient skilled process workers and their responses within HRM to such challenges. These three challenges are employers' experiences with vocational education and training (VET) deficiencies in students' skill development, employers' experiences of poaching of skilled process workers by other companies, and employers' experiences of provision of workplace training for skilled process workers in their own companies. In response to these challenges, SIP employers have adopted various HRM measures that include differing combination of recruitment and selection, employee retention, training and development, and employment relations management. These policies and practices represent the different ways that SIP employers have attempted to meet the challenges of localized skill shortages in the context of their own business strategies.
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(2007)ThesisWe utilise several asset pricing models that allow for discontinuities in the returns and volatility time series in order to obtain estimates of Value-at-Risk (VaR). The first class of model that we use mixes a continuous diffusion process with discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuous model that does not contain any continuous component at all in the underlying distribution (Variance Gamma Model). These models have been shown to have some success in capturing certain characteristics of return distributions, a few being leptokurtosis and skewness. Calibrating these models onto the returns of an index of Australian stocks (All Ordinaries Index), we then use the resulting parameters to obtain daily estimates of VaR. In order to obtain the VaR estimates for the Poisson Jump Diffusion Model and the Variance Gamma Model, we introduce the use of an innovation from option pricing techniques, which concentrates on the more tractable characteristic functions of the models. Having then obtained a series of VaR estimates, we then apply a variety of criteria to assess how each model performs and also evaluate these models against the traditional approaches to calculating VaR, such as that suggested by J.P. Morgan s RiskMetrics. Our results show that whilst the Poisson Jump Diffusion model proved the most accurate at the 95% VaR level, neither the Poisson Jump Diffusion or Variance Gamma models were dominant in the other performance criteria examined. Overall, no model was clearly superior according to all the performance criteria analysed, and it seems that the extra computational time required to calibrate the Poisson Jump Diffusion and Variance Gamma models for the purposes of VaR estimation do not provide sufficient reward for the additional effort than that currently employed by Riskmetrics.
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(2008)ThesisWriters on the business cycle often emphasize that non-linear models are needed to account for certain of its features. Thus it is often said that either the asymmetry of the duration of business cycle expansions and contractions or the variability of these quantities demand a non-linear model. Such comments are rarely made precise however and mostly consist of references to such assertions from the past. Thus the asymmetry in the cycle is mostly accompanied by references to Keynes (1936) and Burns and Mitchell (1946). But these authors were looking at what we call today the classical cycle i.e. movements in the level of GDP, and so the fact that there are long expansions and short contractions can arise simply due to the presence of long-run growth in the economy, and it is not obvious that it has much to do with non-linearity. This thesis aims to introduce various statistics that can be used to characterise the specific shape of the non-linearity observed in macroeconomic time series. Chapter 2 introduces a range of statistics and presents the dating algorithm used in this thesis, which is based on the BBQ algorithm of Harding and Pagan (2002). Chapter 3 tests the adequacy of linear models versus the SETAR model of van Dijk and Franses(2003) and the bounceback model of Kim, Morley and Piger (2005) in capturing observed non-linear features of the data. Chapter 4 extends this work by examining the three state Markov model of Hamilton (1989), again using the “bounce-back” model of Kim C., Morley, J. and J. Piger, (2005), and the more complicated “tension” model of DeJong, D., Dharmarajan, H., Liesenfeld, R. and Richard, J., (2005). Chapter 4 also extends Chapter 3 by estimating the above mentioned models on US GDP, Australian non-farm GDP, US investment and Australian dwellings investment. They are then simulated in order to gauge the cycle properties. Chapter 5 analyses the business cycle implications of two related multivariate dynamic factor models presented in papers by Kim and Piger (2001, 2002). Finally Chapter 6 concludes.