Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance...

There are a number of studies that examine the purchasing power parity (PPP) hypothesis. The empirical findings from the extant literature for the PPP hypothesis are mixed. This article applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to...

This study investigates the relationship between inflation, inflation uncertainty and output in Tunisia using real and nominal data. GARCH-in-mean model with lagged variance equation is employed for the analysis. The result shows that inflation uncertainty has a positive and significant effect...

This study applies Granger causality tests within a multivariate error correction framework to examine the relationship between female participation rates, infant mortality rates and fertility rates for Australia using annual data from 1960 to 2000. Decomposition of variance and impulse response...

This study applies Granger causality tests within a multivariate error correction framework to examine the relationship between judicial caseload, real income and urbanization for Australia using annual data from 1904 to 2001. Decomposition of variance and impulse response functions are also...

This article applies Granger causality tests to examine the relationship between seven different categories of property crime and violent crime against the person, male youth unemployment and real male average weekly earnings in Australia from 1964 to 2001 within a cointegration and vector error...

This study applies Granger causality tests to examine the relationship between attendance, admission prices and real income at the Melbourne Cup, which is Australia's premier horseracing event and one of the world's leading handicap races. The motivation for the paper is that while market demand...

This article employs a Fractionally Integrated Vector Error Correction Model (FIVECM) to examine the return transmission between the Australian and New Zealand stock markets and the Australian and the United States stock markets. We augment the FIVECM with a multivariate GARCH model. In so...

Most extant research in the economics of crime literature has focused on explaining variations in crime rates. Public action to prevent crime, however, is often dependent on the level of concern about public safety that is expressed in public perceptions surveys. The economics of crime...