Recent studies have documented the growing economic and financial integration between countries. Among other things, this has led to the argument that greater integration results in higher bilateral correlations between returns on national stock markets. This study endeavours to link the two...

The paper presents an investigation of the equity beta risk of 23 Australian industry portfolios over the period 1974 to 1992. A comparison of domestic and international market model betas, favours the domestic risk measures, although the international counterparts are generally statistically...

This study investigates the nature of the relationship between volume, price variability and market depth for four futures contracts traded on the Sydney Futures Exchange. This study is not limited to the determination of the relationship between volatility and volume but also considers the...

On 23 September 1993 the International Olympic Committee announced that Sydney would host the 2000 Olympic Games. Given the keen competition between rival cities bidding for the Olympics it could be argued that the winning city anticipates economic benefits to accrue from hosting the games. To...

A growing literature exists analysing the impact of balance on current account announcements on bilateral exchange rates. This literature typically considers and reports results for a number of bilateral exchange rates. This paper investigates whether there are distinct effects across the range...

The finance literature is replete with studies using the market model (MM) and the quadratic market model (QMM) as the return generating model. An alternative model, using the quadratic market model framework, was adopted by Barone-Adesi (1985) to test a two factor APT model related to the Three...

The applicability is explored of using ARCH/GARCH models to investigate Australian financial futures data. The extent to which the parameters of the models change over time is examined through analysing the data contract by contract. The results do vary over time and simple models such as the...

This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign...

This paper explores variance ratio testing of the Australian forward foreign exchange market. Our results support autocorrelation in our first sample period (July 1985 to January 1990) but an absence of autocorrelation in our second sample period (February 1990 to September 1995). This is...

This paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.