FEMARC - Finance, Economics, Markets and Accounting Research Centre

The Finance, Economics, Markets and Accounting Research Centre (FEMARC) is based within the School of Accounting, Finance and Economics in the Faculty of Business and Law at Edith Cowan University in Perth, Western Australia.

FEMARC was established in 1997 to support and encourage research into Finance and Capital Markets in Australia and within the Asia-Pacific Region.

The projects have so far generated a large amount of research output, resulting in numerous publications in international refereed journals. The findings from the various projects have been presented at national and major international conferences. Papers have received various awards including "best paper prizes" and a succession of ANBAR Citations of Excellence.

The research in the Finance and Capital Markets area is led by Professor D.E. Allen and supported by a number of international academic staff, local researchers and a very strong group of visiting scholars. Numerous collaborative research projects have involved work with university researchers at UWA, Curtin University, ANU, Griffith, Monash, Southhampton, Cambridge, RMIT and industry research personnel at Goldman Sachs, Salomon Smith Barney, SIRCA and Assirt.

FEMARC has an association with the Securities Industry Research Centre of the Asia-Pacific (SIRCA),to undertake research within its Funds Management Research Centre. Professor Dave Allen was involved in the initial establishment of the centre as its Director. More information can be found at SIRCA's home page.

FEMARC news:

Modelling and Managing Ultra High Frequency Data: an International Conference

MMUHFDIC 2008 will be held in Perth, 13th–14th February, 2008.

Time Series Econometrics conference

FEMARC, the School and the Faculty together with the ARC Finance Network FIRN (Financial Integrity Research Network) and the University of Western Australia are involved in sponsoring and organising a conference on Time Series Econometrics, Finance and Risk,TSEFAR, to be held at UWA FRom June 29th to July 1st 2006. Keynote speakers include Yacine Ait-Sahalia, Princeton University, Torben Andersen, Northwestern University, Jianqing Fan, Princeton University, Peter Robinson, London School of Economics, and a further 22 very prestigious 'invited speakers'. Full details can be seen at the website http://www.tsefarperth.org/index.html

ARC Linkage Grant Successes in 2004 and in 2005 for FIMARC:

2004 ARC LP0455281 Modelling stock market liquidity in Australia and the Asia Pacific Region. Linkage Grant with SIRCA Other developments include securing an ARC Linkage Grant to study market impact (the impact of securities trading on price movements) with SIRCA as the industry partner and a research team whose chief investigators are Professor Allen, Professor M. McAleer of UWA and Dr Shelton Peiris of the University of Sydney. This team comprises a fine balance of skills in that in addition to Professor Allen's research focus on applied finance, Professor McAleer is one of the foremost econometricians in Australia whilst Dr Peiris is an accomplished statistician. Dr Felix Chan is the Postdoctoral Fellow on this project.The project, which will be based at Edith Cowan University is titled: ’Modelling stock market liquidity in Australia and the Asia Pacific Region’ and it received funding for 2004 of $52,500, 2005 -$100,000, 2006 - $95,000, and 2007 - $47,500. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.

ARC Linkage GrantLP0562305 Prof M McAleer; Prof DE Allen; Dr S Hoti

Title: Forecasting Risk Thresholds for Portfolio Management and Regulation. Funding 2005 : $54,000 2006 : $104,500, 2007 : $101,000 2008 : $50,500. The industry partner is SIRCA. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.

Financial Integrity Research Network seed funding success:

Professor Dave Allen (ECU)and FEMARC are participating in a Financial Integrity Research Network (FIRN) which received $40k of seedfunding from the ARC at the end of 2003. FIRN involves a multidisciplinary research network of 14 Australian Universities. about FIRN.

FIRN is directed towards innovation in the integrity and efficiency of Australia's financial system. It addresses pressing problems and threats associated with this key component of Australia‘s infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information systems, Corporate finance, Corporate governance, Funds management. FIRN is supported by SIRCA‘s world-class financial research infrastructure and industry network. It will deliver a range of innovative research and applied outcomes. FIRN will achieve its larger aims by pursuing the following research and industry/end user initiatives:A collaborative research program into theoretical and applied issues related to financial markets, instruments and applications to relevant end users. A national and international distinguished visitor program. A regional seminar and conference program with a multi-disciplinary focus. A web based national research paper series along the lines of the NBER in the US and CEPR in the UK. Securing industry support to fund scholarships, industry/academic exchanges and postdoctoral appointments. A young researcher development program. Creating a distinguished lecture program with regular public forums hosted by network participants as well as invited international speakers. Development of a range of online ressources for academic and practitioner end-users. Cultivate industry sponsors for application oriented aspects of the Network's research. FIRN will be submitting a bid for full funding from the ARC in 2004. To find out more about FIRN's activities and membership see Network.

FIRN received ARC Research Network Funding in 2005.

RN0460246 Financial Integrity Research Network received ARC funding of $1.75m for 2005-2010. FIRN is directed towards innovation in the integrity and efficiency of Australia's financial system. It addresses pressing problems and threats associated with this key component of Australia's infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information systems, Corporate finance, Corporate governance, Funds management. FIRN is supported by SIRCAs (the Securities Industry Research Centre of the Asia Pacific) world-class financial research infrastructure and industry network. It will deliver a range of innovative research and applied outcomes. FIRN will achieve its larger aims by pursuing the following research and industry/end user initiatives:A collaborative research program into theoretical and applied issues related to financial markets, instruments and applications to relevant end users. Professor Allen was appointed National Seminar Director for FIRN at the beginning of 2005 and is a member of the FIRN Executive Committee.

Industry goverment and regulatory bodies associated with FIRN

Securities Industry Research Centre of Asia-Pacific (SIRCA) http://www.sirca.org.au Capital Markets Co-operative Research Centre (CMCRC) http://www.cmcrc.com Axiss Australia http://www.axiss.com.au/ Australian Stock Exchange (ASX) http://www.asx.com.au Sydney Futures Exchange (SFE) http://www.sfe.com.au Australian Financial Markets Association (AFMA) http://www.afma.com.au Investment & Financial Services Association Limited (IFSA) http://www.ifsa.com.au National Electricity Market Management Company (NEMMCO) http://www.nemmco.com.au/ Australian Bankers Association (ABA) http://www.bankers.asn.au Australian Securities & Investment Commission (ASIC http://www.asic.gov.au) Australian Prudential Regulation Authority (APRA) http://www.apra.gov.au/ Reserve Bank of Australia (RBA) http://www.rba.gov.au Australian Transaction Reports and Analysis Centre (AUSTRAC) http://www.austrac.gov.au Queensland Investment Corporation (QIC) http://www.qic.com.au Queensland Treasury Corporation http://www.qtc.qld.gov.au/internet/pub.nsf/content/LaunchPage_Public

Strategic Infrastructure Research Grant:

lodged by the University of NSW on behalf of SIRCA. This provided AUD5.3 million over the next three years and will support the provision of national finance databases. FEMARC and ECU became full members of SIRCA on the securing of this grant.

New ARC Research Infrastructure Grant Awarded to SIRCA in 2005.

Australia has established an international hub for financial research and innovation, which promises to improve world-wide financial market efficiency and integrity. The unique database technology allows researchers access to information regarding hundreds of millions of trades and quotes from every market worldwide. The Securities Industry Research Centre of Asia-Pacific (SIRCA), an alliance of researchers from 27 Australian and New Zealand Universities, will further develop the database in partnership with Reuters, the Australian Stock Exchange and the National Electricity Market Management Company (NEMMCO). The initiative, which is led by a University of New South Wales (UNSW) academic from the Faculty of Commerce and Economics, has just received a grant of $1.583 million from the Federal Education Minister, Dr Brendan Nelson. This is the second round of funding for this project under the government's Systemic Infrastructure Initiative (SII). ’The technology is a world first in both its scale and impact,’ said the Chief Executive Officer of SIRCA, UNSW Associate Professor Mike Briers. ’We can see historical trades in 280 markets around the world. SIRCA's partnership with Reuters will mean we will also see the way news events impact upon them.’ Researchers will be able to analyse global trades, quotes and news items time stamped to the millisecond for the past nine years.

SIRCA scholarships:

Two former ECU Finance Ph.D. students, Dr Wen-Ling Yang and Dr Jerry Parwada were awarded Ph.D. scholarships by SIRCA. There were 15 nation-wide applicants and only 4 scholarships were awarded with ECU taking two of them. Wenling and Jerry were based in Sydney at SIRCA headquarters and worked with various industry sponsors. Jerry has submitted his Ph.D titled "Strategic and Institutional Influences on Fund Manager Investment Flows". He has been appointed to a senior lectureship in finance at the School of Banking and Finance at UNSW. Wenling has been appointed to a lectureship in finance at the University of Western Australia

These pages set out some of the research work, infrastructure, grants awarded and other achievements already accomplished within FEMARC. Follow the links on the left of the screen to find out more about FEMARC.

FIMARC REPORT 2003 (PDF 331kb)

FIMARC REVIEW PANEL's REPORT 2002 as presented by the Review Panel

FIMARC REPORT 2002 as presented to the Review Panel

FIMARC REPORT 2001

SIRCA CONFERENCE 2001 Funds Management Research Centre News 2001

FICAMREG REPORT 2000

FICAMREG REPORT 1999

Professor D.E. Allen ranked in the top 450 authors (measured by number of downloads) of the Social Sciences Research Network (SSRN). View

For further information regarding FEMARC's projects, please contact:

Professor D. E. Allen
Edith Cowan University
Joondalup Campus
100 Joondalup Drive
Western Australia 6027
Phone: +61 (0)8 6304 5471
Fax: +61 (0)8 6304 5894
E-mail: d.allen@ecu.edu.au

Accounting, Finance and Economics