Are the Australian and New Zealand stock prices nonlinear with a unit root?

Whether or not stock prices are characterized by a unit root has important implications for policy. For instance, by applying unit root tests one can deduce whether stock returns can be predicted from previous changes in prices. A finding of a unit root implies that stock returns cannot be predicted. This paper investigates whether or not stock prices for Australia and New Zealand can be characterized by a unit root process. An unrestricted two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that the stock prices of both countries are nonlinear processes that are characterized by a unit root process, consistent with the efficient market hypothesis.

The ripple effect in house price fluctuations in Australia

The differences in economy, society, demography and geography in different regions are main reasons which cause disparities in regional house prices. Three theories, namely ripple effect hypothesis, convergence and efficient market hypothesis, are used to examine price fluctuations in spatial dimension amongst eight housing markets in Australian state capital cities.

Speed of adjustment within currency markets

One measure of market efficiency is the speed at which prices adjust to fundamental value with the arrival of information. This paper examines this issue by estimating speed of adjustment coefficients using three  methodologies for eight currencies for the entire year of 1996 using half hourly non-overlapping return intervals. We find that the bulk of adjustment to fundamental value for all currencies occurs within the hour but then quickly deteriorates. Within the hour adjustment is sufficiently quick to be considered efficient but the lack of full adjustment to fundamental value is not what would be predicted within an efficient market. There is no evidence for any of the currencies studied of a tendency to over react. There is also little difference in the speeds of adjustment between actively and less actively traded  currencies. There is however a definite difference in the speed at which currencies adjustment depending on whether they are free floating or managed exchange rates. Free floating rates adjust much quicker. Government intervention slows adjustment to fundamental value.

The halloween effect and Japanese equity prices : myth or exploitable anomaly

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue that, in general, the Halloween strategy outperforms the buy and hold strategy thereby casting doubt on the validity of the efficient market paradigm. More recently, Maberly and Pierce (Econ Journal Watch 1(1), 29–46, 2004) re-examine the evidence for U.S. equity prices and conclude that Bouman and Jacobsen’s results are not robust to alternative model specifications. Extending prior research, this paper examines the robustness of the Halloween strategy to alternative model specifications for Japanese equity prices. The Halloween effect is concentrated in the period prior to the introduction of Nikkei 225 index futures in September 1986. After the internationalization of Japanese financial markets in the mid-1980s, the Halloween effect disappears.

The indigenous art market: a roadmap to a more equitable and efficient system

The Indigenous art market plays a significant role both in promoting appreciation for the accomplishments of Aboriginal culture and within broader concepts of the export of a national culture.[1] Despite the growth in status and impact of Indigenous art over the past decade, very little scholarship or resources exist to assist their development and analyse their impact on economic or social wellbeing. This paper canvasses new ways of operating the Indigenous art market to better support emerging and established artists in a globalised economy and suggests that there is a pressing need for future research to develop a new framework for its operation.

Neutrosophic information fusion applied to the options market

In this paper we basically make two propositions - firstly a non-linear process that is primarily fuelled by mass cognitive dissonance could generate systematic deviations between the theoretical and market prices of long-term options, and secondly such deviations are best reconciled in terms of neutrosophic rather than ruled-based reasoning, especially in the context of the users of automated trading systems designed to generate trading signals based on analysis of information  from conflicting sources.

Social intervention or market intervention? A problem for governments in promoting the value of the Arts

The research design for this paper is based on the critical need for greater emphasis by Australian arts organizations on relationship marketing as a means of achieving sustainability. Recent injections of government funds into the performing arts in Australia, to meet a "crisis" in financial viability and audience development, highlighted the dependence of arts organizations on government funds in building audiences. A hypothesis was developed through an analysis of the literature on relationship marketing, cultural economics and value measurement, and an analysis of the long-term outcomes of government strategies for the funding of arts marketing. The hypothesis is that while social intervention is acceptable (even desirable and necessary), and achieves the social goals of governments, market intervention reduces the benefits of relationship-building and the exchange of values between arts organizations and their audiences.

Analysis of government documents and primary research in audience development proved the hypothesis. Empirical research resulted in the development of a theory and model that describe the limits of market intervention and in the development of a definition of values in the continuum of government activity from social to market intervention. The model could be useful for governments in developing arts policy with regard to audiencebuilding. It could also be useful in demonstrating to arts managers that sustainability results not from government funding but rather from relationship-marketing strategies.

Do dot coms add value : a preliminary study of the market capitalisation of Australian and Indian telecoms and banking sectors

E-Business is increasingly reshaping the way businesses operate across the globe. Globally, businesses in the banking and telecoms sectors have been re-engineering their value chains by adopting e-Business presence by means of dot com launches. The second half of the 1990s, however, saw both the rise and subsequent collapse of dot com entities as a major focus of investment interest, with consequent speculation over the viability of this corporate vehicle. The perceived increase in market capitalisation by means of these ventures during the boom period is now not so certain. In this paper, we report the results of a preliminary study which investigated the impact of dot com launches on market capitalisation within the banking and telecoms sectors of Australia and India.

Revisiting capital structure theory : a test of pecking order and static order trade-of model from Malaysian capital market

This study revisits the capital structure theory and test Pecking Order Hypothesis (POH) and Static Order Trade-off theory (STOT) using Malaysian Listed firms over a period from 1999 to 2002. The evidence from pecking order model suggests that the internal fund deficiency is the most important determinant that possibly explains the issuance of new debt in Malaysian capital market despite the lower predicting power.  While static trade off-model is not fit to explain the issuance of new debt issue in Malaysian capital market. This is an interesting findings that confirm the fact that Malaysian firms do not too much care about tax-shield benefit derive from employ both debt and non-debt tax-shield. The finn's size, which is used to neutralize the size effect, appears to provide some explanation for the variation in its capital structure policy choice; however asset structure and growth no evidence of static-order-trade-off is observed in Malaysian capital market.

External monitoring, managerial ownership and form performance in Malaysian capital market: a GMM based panel data approach

This study re-examines whether the structure of share ownership by both directors and institutional ownership provides explanation for firm performances. These relationships are modelled and estimated using GMM based dynamic panel data over a period from 1997 to 2001 with a sample of 100 CI components companies listed on Main Board of Malaysia. The findings provide strong evidence of simultaneity between firm performance and managerial ownership. Although an insignificant relationship between firm performance and institutional ownership is~ observed, the institutional holdings provide strong substitute for managerial ownership with a strong negative relationship between managerial ownership and institutional ownership. This is in line with the managerial incentive hypothesis, which suggests that manager's share in the firm's ownership leads to better performance and the monitoring substitute hypothesis, which suggests that managerial ownership could be effectively replaced by institutional ownership.

Conducting event studies with Asia-Pacific security market data

We investigate the effectiveness of several well-known parametric and non-parametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric test statistics are prone to misspecification with Asia-Pacific returns data. Two non-parametric tests, a rank test [Corrado and Zivney (Corrado, C.J., Zivney, T.L., 1992, The specification and power of the sign test in event study hypothesis tests using daily stock returns, Journal of Financial and Quantitative Analysis 27(3), 465-478)] and a sign test [Cowan (Cowan, A.R., 1992, Non-parametric event study tests, Review of Quantitative Finance and Accounting 1(4), 343–358)] were the best performers overall with market model excess returns computed using an equal weight index.

Takeover deterrent effect of on-market share buyback

This study examines whether Australian firms use on-market share buybacks to deter unwanted takeover risk from the stock market. We found a statistically significant and positive relation between a firm’s ex-ante takeover probability and its on-market share buyback activities. The result is robust to alternative modelling techniques, namely TOBIT and Censored Quantile Regressions. This could be partly explained by Brown and O’day (2007) hypothesis on dividend payout, that in a non-classical taxation system like Australia, yield of share buyback is positively related to dividend payments. However on-market share buyback activity is closely related to temporary cash flows rather than permanent operating cash flows. This might indicate that besides dividend payments, Australian firms might take advantage of the financial flexibility of share buybacks to redistribute non-permanent cash flows to their shareholders.

Urban sustainability and market typologies : lessons from Tabriz Bazaar

The market is an essential component of urban form. Contemporary shopping malls can benefit from the inherent efficiencies of traditional markets. This paper addresses the development of sustainable models of market typologies based on a specific case study, the Bazaar of Tabriz in Iran.

As one of the biggest historical covered markets in the world (Moradi and Nassabi 2007), it remains an effective trading centre in the city. What are the lessons that make Tabriz a sustainable urban typology and what lessons can we draw from its spatial and operational structure?

To address this question, the paper presents two analytical studies of the urban and building morphology of Tabriz. First, the paper presents an analysis of the urban and social structure of the market based on Lynchian analysis. Second, it provides an analysis of the thermal, ventilation and lighting principles used in the buildings of the market and how they respond to the extreme climatic conditions of north-west Iran.

Rainfall and snow in one side and hot summers in the other, give the buildings in the city really critical performance in terms of life span during the years of operation.

The main target in this case study, is to illuminate the urban typological clarifications in the Bazaar of Tabriz, which wilt elucidate how parallel links between urban morphology (land cover) and urban typology (land use) in a defined urban planning can form a sustainable urban space. Moreover, how the case of this study can be an energy efficient complex with its own urban morphology.

The lessons of Tabriz for the development of contemporary markets are summarised in the paper and need to be addressed at two scales, namely the urban scale and the scale of the building.

Efficiency, cointegration and contagion in equity markets : evidence from China, Japan and South Korea

This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long-term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short-run portfolio diversification benefits from these two markets.