This paper provides empirical evidence on the linkage between foreign exchange market volatility and daily 90-day covered interest rate parity conditions of the three major exchangerates against the US$. Markov regime shifting models were utilized to generate time series of volatility regime...

There is a huge literature on the existence of risk premia in the foreign exchange markets and its influence in explaining the divergence between the forward exchange rate and the subsequently realised spot exchange rate. In this paper, we seek to model directly the risk premium as a...

In this paper we report preliminary empirical results on the issue of the interaction of the investment and financing decisions in the Australian context. The investigation was implemented on a sample ranging from 144 to 221 firms for the period from 1980/85. Strong support for the hypothesis...

This study seeks to provide evidence on the importnace and significance of capital structure determinants in the Australian context. The analysis was implemented on a sample of 226 Australian companies from 1977 to 1985. The following results are obtained. Company non-debt tax shields display a...

In a Black Scholes world there exists a dynamic trading strategy that can replicate the payoff of an option. The technique of Portfolio Insurance is an application of this principle. This paper examines the ability of a futures based trading strategy to replicate the returns of a protective put...