Modelling dynamic financial linkages, spillover effects and volatility transmissions: empirical evidence from China and international financial markets

Over the last two decades, there has been a considerable change in the economic performance of China, making it the world’s most powerful emerging market and the second largest economy in the world. China’s stock market is now well developed and strongly influenced by global economic factors, regional financial development in Asia and local economic growth in China. Many crucial economic and financial reforms have been implemented, making the Chinese stock market more open to the world. Two well-established stock exchanges, based in Shanghai and Shenzhen are now operating with significant interdependence with other financial markets around the world. The degree of market co-movements is an essential factor for determining the diversification opportunities across different financial markets. International stock market linkages have been extensively examined by empirical literature, suggesting that financial market integration is able to influence market co-movements. Given the increased market integration between China and other financial markets, this thesis investigates the dynamic financial linkages, spillover effects and volatility transmissions among different financial markets within China and between China and global markets, as strong interdependence among financial markets could lead to higher exposure to contagious effects when one market experiences a serious crash. Furthermore, this study also provides important practical implications for investors, portfolio managers and policy-makers based on the empirical findings. The primary objective of this study is to investigate the nature and extent of market interdependence among the Chinese stock markets, the Chinese financial derivative markets and international stock markets. Various advanced econometrical models, including Vector Autoregression (VAR) models and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models, will be used to explore both return and volatility transmission mechanisms between different financial markets from China’s perspective. In order to achieve the key objective, this study conducts four inter-related research undertakings as follows: 1. An examination of spillover effect between the Shanghai and Hong Kong stock markets while evaluating the impact of the recently introduced Shanghai-Hong Kong Stock Connect; 2. An investigation of financial linkages, information transmission and market co-movement in the Asia-Pacific region; 3. The work further considers dynamic relationships between the Chinese stock market and its index futures market while evaluating the influence of Qualified Foreign Institutional Investors (QFII) scheme; and 4. An evaluation of dynamic spillovers among global oil price, equity and commodity markets in the Chinese region. The purpose of the first empirical focus is to investigate the impact of Shanghai-Hong Kong Stock Connect by analysing the dynamic interdependence between the Shanghai and Hong Kong stock markets. High-frequency data are used to deeply examine the price movement and volatility behaviours of the two markets. The newly introduced Stock Connect initiative contributes to the increasing importance of the Chinese mainland stock market. Particularly, the increased conditional variances in both stock markets together with a weak and unstable cointegration relationship are observed following the introduction of Stock Connect. The observed strengthened volatility spillover effect from Shanghai to Hong Kong indicates a leading role of the former over the latter after this financial liberalisation reform. Overall, the empirical results suggest that the opening of Chinese mainland stock market could enhance the leading power, influence the risk level and improve the market efficiency of the Shanghai stock market. The success of the Shanghai-Hong Kong Stock Connect initiative provides valuable operational experience for the forthcoming Shenzhen-Hong Kong Stock Connect. In this way, the Chinese government should continue liberalising its financial markets to improve their market efficiency. In the second empirical study, the price and volatility dynamics between China and major stock markets in the Asia-Pacific region around the Chinese stock market crash of 2015-2016 are analysed. Based on our estimation results of the Bayesian VAR and BEKK GARCH models, this study finds that price and volatility spillover behaviours are different during stable and stress periods. In particular, price spillovers from China to other regional markets are more significant during a bullish period, showing that ‘good news’ emanating from China has stronger impacts on its neighbours when China’s market increases. In the turbulent period, strong shock spillover effects from China to most Asia-Pacific stock markets and the enhanced volatility spillovers from China to the Asia-Pacific region are observed, implying an increasing degree of market interdependence across regional markets and the importance of China as a strategic financial centre in the region. The Asia-Pacific stock markets are also found to spill over their shocks to China during the crisis, showing that China is becoming more integrated with the regional financial markets. The impact of the Qualified Foreign Institutional Investors (QFII) reforms on the dynamic relationship between the Chinese stock index futures and spot markets is further examined. 5 minutes high-frequency data together with various dynamic methods including VECM, GJR, BEKK and DCC GARCH models are employed to investigate the price discovery role and volatility spillover effect. This study finds a bi-directional asymmetric lead-lag relationship between the Chinese stock index futures and its underlying markets, indicating the futures market leads the spot market significantly, but there is a weak lead from the spot market to the futures market from the perspectives of both magnitude and lasting time. It is observed that the introduction of the QFII has enhanced the price discovery role of the futures market and increased the predictive power of the futures market. In addition, the Chinese stock index futures market is found to become less volatile (risky) and probably more efficient after the introduction of QFII. The enhanced volatility spillover effect from the futures market to the spot market is evident after the participation of foreign institutional investors in trading stock index futures contracts, suggesting an improvement in information transmission running from the futures to the spot market. The dynamic conditional correlation between the futures and spot markets decreases and becomes more volatile after the introduction of QFII, implying that the futures and spot markets become less correlated after the QFII. Finally, the thesis provides a comprehensive analysis of dynamic spillover effects among the Chinese stock market, the Chinese commodity market and international oil market. Using a trivariate VAR-BEKK-GARCH model to estimate market volatility and its interactions, this study finds significant uni-directional return spillover effect from oil market to stock market, suggesting a strong dependence of the Chinese stock market on the oil market. The analysis results also indicate significant uni-directional return interaction from the Chinese stock market and global oil market to some key commodities in China. In particular, significant return contagions from the Chinese stock market to copper and aluminium futures and from oil market to silver, copper and aluminium markets are observed. The non-existence of return spillovers between gold and stock (oil) suggests the safe-haven role of the gold. In terms of the volatility spillovers, this study finds bi-directional shocks spillovers between oil and stock markets but uni-directional volatility spillovers from the oil market to the Chinese stock market. For commodities, the results show evidence of strong uni-directional shock and volatility spillovers from the stock market or oil market to some commodities. However, there are no spillover effects from all the commodity markets to either the stock market or oil market, meaning there are potential diversification benefits from the Chinese commodity markets. Finally, important implications for portfolio management and hedge strategy are provided. This research makes significant contributions to the empirical literature on the financial linkages and volatility transmissions by empirically examining the influence of several important Chinese financial liberalisation reforms and comprehensively analysing the dynamic interdependence between the Chinese stock market and its interrelated financial markets. Since understanding information transmission between financial markets is critical for both market participants and policy-makers, the results of this thesis will help to facilitate an enhanced understanding of information transmission mechanism and risk contagions. As volatility contagions greatly affect smooth functioning and economic viability of financial markets which are the major concerns of investors and policy-makers, therefore a better understanding of the drivers and origins of market volatility can assist them in the decision-making process. Policy-makers may also use this information to introduce new financial instruments, propose prudent financial regulations and implement policy tools in a timely manner. In addition, important practical implications can also be drawn from this thesis. As the findings of this thesis indicate more integration between the Chinese stock market and other markets, these markets have become more interdependent and improved their efficiency in terms of market information transmission. In addition, the increased level of financial integration also underpins cross-borders capital flow and international investment which are key drivers of local economic growth and fosters international risk management for portfolio optimisation. Consequently, it is suggested that investors and policy-makers actively monitor market movement and the degree to which China’s financial market is integrated. This will make it possible to predict future returns and volatility of other inter-related markets

On the functioning and dynamics of stock market indices and the interaction of international markets: an investigation of the London stock exchange

This thesis presents four empirical studies on the functioning and dynamics of stock market indices. The first issue investigates the relationship between market anomalies and the variance of non-trading and trading period index returns. The results reveal the existence of this relationship that the study concludes is indicative of the prominent role of private information as the driving force behind price changes. As a second issue, the thesis addresses the empirical question concerning volatility patterns of index returns at the beginning and end of trading and whether variance differentials are attributable to the way the market processes information. Unlike previous investigations that focus on the behaviour of prices under different market regimes, the study investigates and concludes that the dynamics surrounding the information processing of the market adequately explains this phenomenon. Third, the thesis re-examines the volume-volatility relationship by decomposing trading volume into expected and unexpected components. Despite observing a positive relationship between both variables, the use of volume itself as a means of forecasting changes in index values do not hold for UK data. Finally, the thesis investigates the extent to which asymmetries govern the transmission of volatility across national stock markets. The results confirm the existence of an asymmetric component induced by extreme uncommon shocks such as the October 1987 Crash and by an additional half day's trading in Tokyo. The overall consensus running through the thesis is that changes in index values is indicative of the arrival and utilisation of information as opposed to mispricing caused by the actions of uninformed noise traders

Smart Metering Technology and Services

Global energy context has become more and more complex in the last decades; the raising prices of fuels together with economic crisis, new international environmental and energy policies that are forcing companies. Nowadays, as we approach the problem of global warming and climate changes, smart metering technology has an effective use and is crucial for reaching the 2020 energy efficiency and renewable energy targets as a future for smart grids. The environmental targets are modifying the shape of the electricity sectors in the next century. The smart technologies and demand side management are the key features of the future of the electricity sectors. The target challenges are coupling the innovative smart metering services with the smart meters technologies, and the consumers' behaviour should interact with new technologies and polices. The book looks for the future of the electricity demand and the challenges posed by climate changes by using the smart meters technologies and smart meters services. The book is written by leaders from academia and industry experts who are handling the smart meters technologies, infrastructure, protocols, economics, policies and regulations. It provides a promising aspect of the future of the electricity demand. This book is intended for academics and engineers who are working in universities, research institutes, utilities and industry sectors wishing to enhance their idea and get new information about the smart meters

Competitive power control of distributed power plants

Joint Doctoral Programme in Electric Energy Systems : Universidad de Málaga, Universidad de Sevilla, Universidad del País Vasco y Universitat Politècnica de CatalunyaNowadays, the electrical energy sector is currently found in a dramatic changing paradigm, which moves towards an increasing trend in generating power at distribution levels, where electricity is typically consumed, by means of non-conventional/renewable based generation units. These new generation technologies, termed as distributed generation, not only offers a non-pollutant, cheap and efficient source of energy to cover increasing demand, but also enhance the reliability of supply to critical loads and reduce the need for additional grid reinforcements. Aside of the technical benefits provided, distributed generation will massively integrate renewable energy resources, with new type of loads and end-user actors, such as prosumers, demand responsive loads, or electric vehicles. Where these actors will actively participate in energy and auxiliary service markets, depending on their available or constrained energy needs. For this reason, the work presented in this Thesis deals with designing and implementing advanced hierarchical control solutions to renewable-based power plants with the purpose of achieving advanced grid conection performance while reaching maximum economic benefits from its optimum real-time operation. Initially, an extensive analysis on the main renewable-based power plant hierarchical control solutions currently on the shelf, is performed. This study not only covered the specific case of renewable-based power plants, but also advanced microgrid and smart grid control solutions. Once the main renewable-based power plant hierarchical solutions were analized, a novel Hierarchical Distributed Control Structure (HDCS) is proposed for increased management of renewable-based active distributed plants. This hierarchical control structure comprises all possible functional levels from the higher long-term economic scheduling layer, to the instantaneous supervisory control of the resource, emphasizing the entire operation and control functionalities needed for increasing the integration of active distributed power plants. In order to achieve real-time control capabilities in active distribution systems, the present thesis introduces a novel power sharing control strategy, based on the competitive operation of multiple active participating agents (distributed generators, demand response and energy storage systems) through the implementation of market rules. Such control capabilities are satisfied by applying a price control signal over the entire grid control architecture, being the final-end participating agent, the responsible entity in charge of deciding its own generation/demand involvement based on its marginal or affordable electricity costs. In addition, it reduces the information volume to be transmitted and processing requirements, as the higher control levels do not need to have knowledge on the detailed distribution system topology and contributing actors. In order to have a meaningful evaluation of the proposed competitive control capabilities, a wave power plant application has been selected, which constitutes a challenging scenario for the controller itself to achieve advanced real-time control capabilities in such an oscillating renewable energy resource. In order to suitably characterize the wave energy resource profile resulting from maximum energy absorption, this Thesis introduce a novel adaptive vector controller, which maximizes the energy extraction from the resource regardless of the dominant irregular wave frequency characteristics. For the specific wave power plant application considered, the competitive control does not only ensures real-time optimum resource allocation for satisfying a given production objective, but also provides optimum long term operation of the system. As a result, overall plant costs reductions can be achieved under the competitive operation, since the plant scheduled energy is satisfied by making use of the generation units with cheaper cumulative operation costsActualmente, el sector eléctrico se encuentra inmerso en un profundo proceso de restructuración, donde de cada vez más se tiende a generar energía a nivel de distribución, mediante el uso de generación no convencional/renovable. Estas nuevas tecnologías de generación, referidas como generación distribuida, no proporcionan unicamente una fuente de energía no-contaminante, barata y eficiente para cubrir el incremento de demanda, sinó que también pueden proporcionar seguridad de suministro a cargas críticas, así como reducir la necesidad de expansiones futuras de red. Además de las capacidades técnicas proporcionadas, la generación distribuida hará posible la integración masiva de sistemas de generación renovable, con nuevos tipos de cargas y usuarios finales, como prosumidores, cargas regulables, o vehiculos eléctricos, donde todos estos usuarios participaran activamente en mercados de energía y servicios auxiliares, dependiendo de sus requisitos de uso de energía. Por lo tanto, el trabajo realizado en esta tesis se centra en el diseño e implementación de soluciones jerárquicas de control avanzado en plantas de generación renovable, con el objetivo de obtener un comportamiento harmonioso de intercacción con la red, mientras la operación de la planta maximiza los beneficios derivados de su operación en tiempo real. Inicialmente, se ha llevado a cabo una revisión extensa sobre los sistemas de control jerárquico comunmente implementados en plantas de generación renovable, en microredes y en redes inteligentes. Una vez revisados los principales sistemas de control jerárquico en este tipo de aplicaciones, se propone un una novedosa estructura de control, que cubre todos los niveles de control posibles, desde el más alto nivel de gestión económica, hasta el control detallado del recurso de generación. Para lograr capacidades de control en tiempo real en sistemas activos de distribución, la presente tesis propone una nueva estrategia de control de reparto de potencia, basada en la operación competitiva de múltiples agentes participantes activos (generadores distribuidos, respuesta de demanda y sistemas de almacenamiento de energía) mediante la implementación de reglas del mercado. Dichas capacidades de control se satisfacen aplicando una señal de precio a lo largo de toda la arquitectura de control, siendo el agente de final, el ente responsable de decidir su propia participación en la generación/demanda en función de sus propios costes de electricidad marginales o asumibles. Además, reduce el volumen de información a transmitir y los requisitos de procesamiento de datos, ya que los niveles de control más altos no necesitan tener conocimiento sobre la topología del sistema de distribución detallado ni de la contribución de los actores adyacentes. Para llevar a cabo una evaluación significativa de las capacidades del controlador competitivo propuesto, se ha seleccionado una planta de generación undimotriz, como escenario más desfavorable, ya que el controlador debe asegurar un control estable de la potencia inyectada en un escenario altamente oscilante. Con el fin de caracterizar adecuadamente el perfil de recursos de energía de las olas resultante de la máxima absorción de energía, esta Tesis introduce un nuevo controlador de vector adaptativo, que maximiza la extracción de energía del recurso independientemente de las características dominantes de frecuencia de onda irregular. Para la aplicación de la planta de energía de onda específica considerada, el control competitivo no solo garantiza la asignación óptima de recursos en tiempo real para satisfacer un objetivo de producción dado, sino que también proporciona una operación óptima del sistema a largo plazo. Como resultado, se pueden lograr reducciones generales de los costos de la planta en el marco de la operación competitiva, ya que la energía programada de la planta se satisface haciendo uso de las unidadPostprint (published version

Oil price shocks, exchange rates and output performance in Africa's oil exporting countries.

Doctoral Degree. University of KwaZulu-Natal, Durban.This thesis examines oil price shocks, exchange rates and output performance in a sample of Africa’s Oil-Exporting Countries (AOECs) (Algeria, Egypt, Gabon, Libya, and Nigeria). Using quarterly data from 1980 to 2018, it is presented in three separate, but interrelated essays. The first essay presented in chapter three constructs a seven-variable Panel Structural Vector Autoregressive (PSVAR) model with the imposition of short-run restrictions to examine the oil price shocks transmission mechanism. In the same framework, trends in output growth and oil prices are examined and it is established that oil price shocks have statistically significant impacts on output and exchange rates in AOECs. The essay concludes that exchange rates is the channel through which oil price shocks are transmitted to the economy. It is thus recommended that stabilizing exchange rates is vital for sound economic performance in AOECs. The second essay which is presented in chapter four forecasts the AOECs’ exchange rates. Using quarterly data covering 1980 to 2018, it employs Autoregressive Distributed Lag (ARDL). The regression is estimated using data from 1980-2015 and forecasting data from 2016-2018. The forecasting model, which uses various forecasting evaluation criteria, supports the suitability of the model to forecast exchange rates. Furthermore, the results show that forecast combination methods may have a good predicting power on exchange rates. Combined forecasting is therefore recommended as a way to achieve predictive forecasting accuracy in AOECs. Employing a Panel VAR model, the third essay investigates the asymmetric relationship between oil price and output. Using quarterly data from 1980 to 2018, oil prices are decomposed into positive and negative components to examine how output responds. The findings reveal an asymmetric relationship between oil prices and output. They show that, on average, positive oil price shocks positively impact output and this effect remains significant in the long run. The reverse is observed in negative oil price shocks. In terms of magnitude, the study finds that negative oil price shocks impact output at more than double the rate of positive oil price shocks. The results also reveal that low output in AOECs is associated with uncertain variations in oil prices and that an increase in oil prices results in increased inflation, which could result in higher levels of unemployment. This finding is associated with the inadequacy of refining capacity in the AOECs, causing them to import refined fuel at a high cost. It is thus established that the economies of the AOECs are vulnerable to negative oil price shocks that negatively affect exchange rates, while positive oil price shocks positively affect the cost of production. It is on this basis that the study recommends that AOECs should build sufficient external reserves to minimize the impact of negative oil price shocks on exchange rates

Competitive power control of distributed power plants

Nowadays, the electrical energy sector is currently found in a dramatic changing paradigm, which moves towards an increasing trend in generating power at distribution levels, where electricity is typically consumed, by means of non-conventional/renewable based generation units. These new generation technologies, termed as distributed generation, not only offers a non-pollutant, cheap and efficient source of energy to cover increasing demand, but also enhance the reliability of supply to critical loads and reduce the need for additional grid reinforcements. Aside of the technical benefits provided, distributed generation will massively integrate renewable energy resources, with new type of loads and end-user actors, such as prosumers, demand responsive loads, or electric vehicles. Where these actors will actively participate in energy and auxiliary service markets, depending on their available or constrained energy needs. For this reason, the work presented in this Thesis deals with designing and implementing advanced hierarchical control solutions to renewable-based power plants with the purpose of achieving advanced grid conection performance while reaching maximum economic benefits from its optimum real-time operation. Initially, an extensive analysis on the main renewable-based power plant hierarchical control solutions currently on the shelf, is performed. This study not only covered the specific case of renewable-based power plants, but also advanced microgrid and smart grid control solutions. Once the main renewable-based power plant hierarchical solutions were analized, a novel Hierarchical Distributed Control Structure (HDCS) is proposed for increased management of renewable-based active distributed plants. This hierarchical control structure comprises all possible functional levels from the higher long-term economic scheduling layer, to the instantaneous supervisory control of the resource, emphasizing the entire operation and control functionalities needed for increasing the integration of active distributed power plants. In order to achieve real-time control capabilities in active distribution systems, the present thesis introduces a novel power sharing control strategy, based on the competitive operation of multiple active participating agents (distributed generators, demand response and energy storage systems) through the implementation of market rules. Such control capabilities are satisfied by applying a price control signal over the entire grid control architecture, being the final-end participating agent, the responsible entity in charge of deciding its own generation/demand involvement based on its marginal or affordable electricity costs. In addition, it reduces the information volume to be transmitted and processing requirements, as the higher control levels do not need to have knowledge on the detailed distribution system topology and contributing actors. In order to have a meaningful evaluation of the proposed competitive control capabilities, a wave power plant application has been selected, which constitutes a challenging scenario for the controller itself to achieve advanced real-time control capabilities in such an oscillating renewable energy resource. In order to suitably characterize the wave energy resource profile resulting from maximum energy absorption, this Thesis introduce a novel adaptive vector controller, which maximizes the energy extraction from the resource regardless of the dominant irregular wave frequency characteristics. For the specific wave power plant application considered, the competitive control does not only ensures real-time optimum resource allocation for satisfying a given production objective, but also provides optimum long term operation of the system. As a result, overall plant costs reductions can be achieved under the competitive operation, since the plant scheduled energy is satisfied by making use of the generation units with cheaper cumulative operation costsActualmente, el sector eléctrico se encuentra inmerso en un profundo proceso de restructuración, donde de cada vez más se tiende a generar energía a nivel de distribución, mediante el uso de generación no convencional/renovable. Estas nuevas tecnologías de generación, referidas como generación distribuida, no proporcionan unicamente una fuente de energía no-contaminante, barata y eficiente para cubrir el incremento de demanda, sinó que también pueden proporcionar seguridad de suministro a cargas críticas, así como reducir la necesidad de expansiones futuras de red. Además de las capacidades técnicas proporcionadas, la generación distribuida hará posible la integración masiva de sistemas de generación renovable, con nuevos tipos de cargas y usuarios finales, como prosumidores, cargas regulables, o vehiculos eléctricos, donde todos estos usuarios participaran activamente en mercados de energía y servicios auxiliares, dependiendo de sus requisitos de uso de energía. Por lo tanto, el trabajo realizado en esta tesis se centra en el diseño e implementación de soluciones jerárquicas de control avanzado en plantas de generación renovable, con el objetivo de obtener un comportamiento harmonioso de intercacción con la red, mientras la operación de la planta maximiza los beneficios derivados de su operación en tiempo real. Inicialmente, se ha llevado a cabo una revisión extensa sobre los sistemas de control jerárquico comunmente implementados en plantas de generación renovable, en microredes y en redes inteligentes. Una vez revisados los principales sistemas de control jerárquico en este tipo de aplicaciones, se propone un una novedosa estructura de control, que cubre todos los niveles de control posibles, desde el más alto nivel de gestión económica, hasta el control detallado del recurso de generación. Para lograr capacidades de control en tiempo real en sistemas activos de distribución, la presente tesis propone una nueva estrategia de control de reparto de potencia, basada en la operación competitiva de múltiples agentes participantes activos (generadores distribuidos, respuesta de demanda y sistemas de almacenamiento de energía) mediante la implementación de reglas del mercado. Dichas capacidades de control se satisfacen aplicando una señal de precio a lo largo de toda la arquitectura de control, siendo el agente de final, el ente responsable de decidir su propia participación en la generación/demanda en función de sus propios costes de electricidad marginales o asumibles. Además, reduce el volumen de información a transmitir y los requisitos de procesamiento de datos, ya que los niveles de control más altos no necesitan tener conocimiento sobre la topología del sistema de distribución detallado ni de la contribución de los actores adyacentes. Para llevar a cabo una evaluación significativa de las capacidades del controlador competitivo propuesto, se ha seleccionado una planta de generación undimotriz, como escenario más desfavorable, ya que el controlador debe asegurar un control estable de la potencia inyectada en un escenario altamente oscilante. Con el fin de caracterizar adecuadamente el perfil de recursos de energía de las olas resultante de la máxima absorción de energía, esta Tesis introduce un nuevo controlador de vector adaptativo, que maximiza la extracción de energía del recurso independientemente de las características dominantes de frecuencia de onda irregular. Para la aplicación de la planta de energía de onda específica considerada, el control competitivo no solo garantiza la asignación óptima de recursos en tiempo real para satisfacer un objetivo de producción dado, sino que también proporciona una operación óptima del sistema a largo plazo. Como resultado, se pueden lograr reducciones generales de los costos de la planta en el marco de la operación competitiva, ya que la energía programada de la planta se satisface haciendo uso de las unida

The Evolution of Smart Buildings: An Industrial Perspective of the Development of Smart Buildings in the 2010s

Over the course of the 2010s, specialist research bodies have failed to provide a holistic view of the changes in the prominent reason (as driven by industry) for creating a smart building. Over the 2010s, research tended to focus on remaining deeply involved in only single issues or value drivers. Through an analysis of the author’s peer reviewed and published works (book chapters, articles, essays and podcasts), supplemented with additional contextual academic literature, a model for how the key drivers for creating a smart building have evolved in industry during the 2010s is presented. The critical research commentary within this thesis, tracks the incremental advances of technology and their application to the built environment via academic movements, industrial shifts, or the author’s personal contributions. This thesis has found that it is demonstrable, through the chronology and publication dates of the included research papers, that as the financial cost and complexity of sensors and cloud computing reduced, smart buildings became increasingly prevalent. Initially, sustainability was the primary focus with the use of HVAC analytics and advanced metering in the early 2010s. The middle of the decade saw an economic transformation of the commercial office sector and the driver for creating a smart building was concerned with delivering flexible yet quantifiably used space. Driven by society’s emphasis on health, wellbeing and productivity, smart buildings pivoted their focus towards the end of the 2010s. Smart building technologies were required to demonstrate the impacts of architecture on the human. This research has evidenced that smart buildings use data to improve performance in sustainability, in space usage or for humancentric outcomes

A financial stress index to model and forecast financial stress in Australia

The series of financial crises that cascaded through and rocked much of the world over the past decade created opportunities to draw meaning from the pattern of countries succumbing to crisis and those who appear to be wholly or partially immune. This thesis examines the case of Australia, a developed country that has seldom experienced an endogenous crisis in the last few decades, but has experienced crisis by contagion. This study designs a financial stress index to measure and forecast the health of the Australian economy and proposes a custom-made stress index to: Gauge the potential for a crisis; and Signal when a timely intervention may minimise fear and contagion losses in the Australian financial market. Financial and economic data is used to design indicators for stress in the banking sector and equity, currency and bond markets. Further, this study explores how movements in equity markets of key trading partners of Australia can be used to predict movements in the Australian equity market. The variance-equal weights (VEW) and principal components approach (PCA) are used to subsume 22 stress indicators into a composite stress index. The VEW and PCA stress indexes were examined to determine monitoring and their forecasting capabilities. It was found that the VEW stress index performed better than the PCA stress index, because it provided more consistent estimates for the level of Australian financial stress. Although, both models show some promise, each model fell short of giving adequate forecasts in financial stress especially at the peak time of the 2007-2009 GFC. Thus, more research is needed to understand the complex nature of financial crisis, how crises develop and the techniques that can be used to predict the onset of financial crises.Doctor of Philosoph