We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...

Using a sample of monthly asset classes from January 1990 to December 2016, we provide a comprehensive and more consistent approach to analyse and compare the risk-return relationships of Australian superannuation investment options. In estimating the risk profiles of the investment options, we...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad...

Rational strategic planning has long been used as an instrument to improve financial performance. With the increasing complexity of the business environment, this positive impact has decreased. As a result, there have been several calls for more work focusing on investigating and understanding...

We assess the stock market volatility spillover between three closely related countries, United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is...