This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in benchmark market rates in New Zealand during the period 1994 to 2004. We consider the effects of policy transparency and financial structure of the monetary transmission...

In this paper we develop and evaluate the information content of an implied volatility index for the Australian stock market. Using price data on Samp;P/ASX 200 index options and SFE SPI 200 index futures options, we develop implied volatility indices with a time to maturity of three months and...

This study provides new evidence on the performance and investment style of retail ethical funds in Australia. By applying a conditional multi-factor Carhart (1997) model, we solve the benchmark problem most prior ethical studies suffered from. After controlling for investment style,...

Stock returns series generally exhibit time-varying volatility. Therefore, one can cast doubt on the way abnormal returns are calculated and consequently interpreted in traditional event studies. In this paper we apply a market model which accounts for GARCH effects leading to more efficient...