Volatility in UK stock markets increased substantially during 1997-2000 relative to the past. This paper shows that much of that volatility can be attributed to a substantial increase in sector specific and sub-sector specific risk. Over this period the role of market risk as the driving force...

Utilities regulation attempts to attenuate the effects of market failure. Contemporary systems of regulation are generally either rate of return or price cap (RPI-X) systems. This paper addresses the issue of the levels of excess returns and risk inherent in investment in the equity of regulated...

This paper explores the scale and behaviour of abnormal returns observed in the equity of the 10 Water and Sewerage Companies (WASCs) in England and Wales that were formed at privatisation of the UK water industry in 1989. The paper uses the CAPM and employs techniques of the Kalman Filter to...

We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and...

We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and...

The publication of the Cadbury and Hampel Reports in the UK drew attention to the concern with the 'proper' governance of organisations; and in particular the governance of public, quoted companies. This paper uses UK IPOs in 1990-1994 to establish a pattern of corporate board structure and...

The publication of the Cadbury and Hampel Reports in the UK drew attention to the concern with the 'proper' governance of organisations; and in particular the governance of public, quoted companies. This paper uses UK IPOs in 1990-1994 to establish a pattern of corporate board structure and...

Using a novel multivariate microstructure model and time varying estimation framework we analyse the change in the information structure of the segmented Shanghai A and B share listed stocks after a significant set of regulatory reforms in 2001, nicknamed the 'year of regulation' by...

This paper specifies a two-variable system of house prices and income for N.Z., U.K. and the U.S., covering periods from 1973:4 through 2008:2. The analysis allows the identification of differences in house price-income relationships over sub-periods and, using an SVAR approach, compares the...