This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links....

We investigate the impact of the Morgan Stanley Capital International change in index calculation on Australian stocks. We are able to differentiate between a downward sloping demand curve hypothesis and the investor awareness hypothesis. Broadly speaking, the results are consistent with...

By selecting a globally representative dataset of airline indices, this study demonstrates that oil price or oil price regimes (delineated by the first gulf war and the 9/11 terror attacks) alone do not have any significant implications for airline stock prices. Overall, these findings are...

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...

In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach...

The issue of beta forecasting is explored using Australian stock returns data. A simple market model is fitted to individual stock data over the period 1983 to 1987 and the beta estimated from this sample is used to forecast the market model beta over the period 1988 to 1992. It is found that a...