This note examines the holiday effect in Australian daily stock returns at the market and industry level and for small capitalization stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday...

This study examines the transmission of returns and volatility among eight major art markets. The art indices included in the analysis are Contemporary Masters (CM), 20th Century English (TE), 19th Century European (NE), French Impressionist (FI), Modern European (ME), Modern US Paintings (US),...

This article examines the weak-form market efficiency of the Australian stock market. Daily returns from 6 January 1958 to 12 April 2006 and monthly returns from February 1875 to December 2005 are examined for random walks using serial correlation coefficient and runs tests, augmented...