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AN EXAMINATION OF IDIOSYNCRATIC VOLATILITY IN
AUSTRALIA
By
Bin Liu
A thesis submitted in fulfilment of the requirements for degree of
Doctor of Philosophy
School of Economics, Finance and Marketing
College of Business
RMIT University
Melbourne
Australia
February 2014
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DECLARATION OF ORIGINALITY
I certify that except where due acknowledgement has been made, this thesis is the original
work of the author alone. The thesis has not been submitted previously, in whole or in part,
to qualify for any other academic award. The content of thesis is the results of work which
has been carried out since the official commencement date of approved research program;
and any editorial work, paid or unpaid, carried out by a third party is acknowledged.
Signature:
Bin Liu
February 2014
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ACKNOWLEDGMENTS
Over my PhD candidature, I have experienced a lot. My father was in hospital in the second
year (we are very lucky, it is a benign), and my daughter was born in the third year. I went
off the track a couple of times and I experienced very difficult time in my life. However, the
good news for today is that I am finishing my PhD. The destination is just one step away.
I think it is a good time to look back and I realize that I am not walking alone along my
journey. There are many people who have encouraged me with the words from their hearts
and held my hand walking together with me along the journey. I thank them for their
continuous and priceless supports and I owe my gratitude to all of them. Without these
people, this thesis cannot be finished.
My deepest gratitude goes to my current supervisors, Professor Amalia Di Iorio and Dr
Ashton De Silva. They are not only PhD supervisors to me, they are mentors of my life.
Apart from PhD supervision, Amalia has taught me how to write, present and publish
research papers. I am thankful to her for so many reasons that I cannot express. I also owe
my thanks to Ashton. He is always very helpful and supportive to my study and work. I
have been very fortunate to have them standing by me until the end of my PhD journey.
I also would like to thank my ex-supervisors, Associate Professor Michael Graham,
Professor Heather Mitchell and Professor Terry Hallahan. Without Michael, my journey
won’t begin. Heather’s comments and feedback on the chapters of this thesis were very
helpful. Terry gave me very useful advices in the area of pension funds.
I also want to thank my senior colleagues at School of Economics, Finance and Marketing.
They also have given me a lot helps on my study and work at RMIT. I am grateful to Dr
Monica Tan and Dr Marie-Anne Cam. They have given me a lot of encouragements and
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supports. I thank Professor Michael Dempsey for his supports and inspirations in many
ways.
My appreciation also goes to my friends and other colleagues at RMIT. They are all special
to me. I will not be able to name them all but I would like to convey my warmest gratitude
to Peter Le, Obaid Awan, Guillaume Galanos, Weijiun Tan, Jianqun Xi and Ping Yu.
Appreciation goes to all staffs of School of Economics, Finance and Marketing at RMIT
University.
Special thanks to my father Zaiqin Liu and mother Xiuling Qiang. Thank them for giving
me excellent education opportunities.
Special thanks to my mother-in-law Xiaoying Zhang. She has helped me a lot in our family
since birth of my daughter.
Finally and most importantly, thanks to my wife Bushe Liu and my daughter Emma Liu.
Without you, I cannot live.
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LIST OF JOURNAL PUBLICATIONS RELEVANT OT THIS
THESIS
Liu, B., Di Iorio, A. 2014, ‘The pricing of idiosyncratic volatility: an Australian study’, the
Australian Journal of Management, forthcoming
LIST OF CONFERENCE PUBLICATIONS RELEVANT TO
THIS THESIS
Liu, B., Di Iorio, A., De Silva, A. 2014, ‘Do Stock Fundamentals Explain Idiosyncratic
Volatility’, European Financial Management Association (EFMA): Annual Meetings 2014,
forthcoming
Liu, B., Di Iorio, A. 2012, ‘Idiosyncratic Risk and Australian Pension Fund Returns’, 2012
Asia-Pacific Business Research Conference,
http://www.worldbusres.com/FINAL%20APBRC%20Feb%202012%20Prog.pdf
Liu, B., Di Iorio, A. 2012, ‘Idiosyncratic Volatility, Stock Returns and Economy Conditions:
The Role of Idiosyncratic Volatility in the Australian Stock Market’, European Financial
Management Association (EFMA): Annual Meetings 2012,
http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2012-
Barcelona/papers/EFMA2012_0374_fullpaper.pdf
Liu, B., Di Iorio, A. 2013, ‘Do the asset pricing factors predict future economy growth? An
Australian study’, European Financial Management Association (EFMA): Annual Meetings
2013, http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2012-
Barcelona/papers/EFMA2012_0374_fullpaper.pdf