On 23 September 1993 the International Olympic Committee announced that Sydney would host the 2000 Olympic Games. Given the keen competition between rival cities bidding for the Olympics it could be argued that the winning city anticipates economic benefits to accrue from hosting the games. To...

A growing literature exists analysing the impact of balance on current account announcements on bilateral exchange rates. This literature typically considers and reports results for a number of bilateral exchange rates. This paper investigates whether there are distinct effects across the range...

This paper explores variance ratio testing of the Australian forward foreign exchange market. Our results support autocorrelation in our first sample period (July 1985 to January 1990) but an absence of autocorrelation in our second sample period (February 1990 to September 1995). This is...

This paper explores whether predictable autocorrelation structures exist in returns data on Australian financial futures. We explore the data using power transformations and find that for the bank accepted bills market there are potential gains from this strategy.

This paper explores the nature and extent of revisions to Australian macroeconomic data. Specifically, we analyse quarterly GDP and monthly balance on current account data. We find some impact of revisions. In addition, we also find that indirect measures of data quality, such as, statistical...

This paper explores whether predictable autocorrelation structures exist in returns data on Australian stock indices. We explore the data using the power transformations of Ding, Granger and Engle (1993) and Hentschel (1995). We find that for a large number of different market indices there...

This study has explored whether recipients of 2004 ARC grants have different citation track records across Discovery and Linkage grants. Consistent with track record having a higher weighting in the Discovery grants the results indicate that Discovery grant recipients have statistically...

One of the main benefits that has flowed from increasing capital markets liberalization has been the opportunities that this has provided to facilitate international diversification. This paper aims to determine the benefits of the asset allocation process undertaken by fund managers in 15...

A number of studies exist across a range of equity markets showing that a significant proportion of stocks in those markets have betas that vary over time. A research challenge posed by this body of evidence is to identify the factors that explain this time variation in individual stock betas....

In the context of highly liquid markets and intra-day data, Engle and Lange (2001) successfully develop a measure of market depth they call VNET. This article explores the applicability of a modified version of this measure in the case of the weekly market for seasonal water in rural Victoria....