Cointegration of stock markets between New Zealand, Australia and the G7 Economies :searching for common trends under structural change

This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order to avoid some of the risk through international portfolio diversification there is potential for investors to purchase shares in the New Zealand market and either the Australian market or most of the world’s leading equity markets.

Volatility transmission between stock and bond markets : evidence from US and Australia

This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK – a matricular decomposition of the bivariate GARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market

The relationship between labour market conditions and welfare receipt in Australia: A stock-flow analysis

Understanding the determinants of changes in welfare caseloads is an important, but little studied, topic in Australia. This paper evaluates the role of labour market conditions in explaining the changes in the Australian welfare caseload since the late 1990s. The paper employs a stock-flow approach to better control for persistence in welfare receipt and includes different specifications to deal with measurement error in labour market data. The results suggest that the labour market is an important determinant of movements on and off welfare, accounting for the majority of the caseload decline during 1997-2005. The results also highlight the importance of robustness checks when data are measured with error.

Applying stock indicators for assessment of a recreational surf clam (Donax deltoides) fishery in Victoria, Australia

The aim of this study was to apply indicators for monitoring the impacts of harvest in a recreational surf clam fishery. We investigated trends in abundance, biomass and size structure and proportion of sexual maturity for the pipi (Donax deltoides) in Venus Bay, Australia. The surf clam stock was sampled during the peak harvesting season in the Australian summer (November to February) at four sites exposed to varying degrees of recreational harvest. Sampling was based on three transects at each site; with 0.027 m3 (0.3 m × 0.3 m × 0.3 m) quadrats stratified within transects by tidal position. Restricted maximum likelihood mixed model analyses were used to examine fixed effect combinations after including a priori random effect for transect within site. Results demonstrated that relative abundance varied significantly (P = 0.0090) among sampling months but not among sites. Relative abundance declined across the peak summer harvest season. The proportion of maturity varied significantly (P = 0.00026) among sites whereas relative biomass varied significantly (P = 0.0043) among months by sites. Relative biomass and the proportion of maturity were considerably higher at the site exposed to minimal harvest compared to other sites. This study demonstrates that a suite of indictors including biomass, size–frequency and proportion of maturity are likely to provide a more accurate assessment of stock status in recreationally fished surf clam populations, than relative abundance. This highlights the need to develop methods to estimate relative biomass in surf clam populations that are not exploited commercially.

The real impact of stock market mispricing — evidence from Australia

Using a large panel of Australian firms, we investigate if mispricing in the stock market has an impact on firm-level investment. A significantly positive relation is documented between investment and theproxies for mispricing, suggesting that overpriced (underpriced) firms tend to overinvest (underinvest). Furthermore, we find that equity-dependent firms display a more pronounced sensitivity of investment to stock misvaluation than do nonequity-dependent firms. Taken together, our findings evidence that mispricing in Australian capital markets may have significant influence on the real economy, and the influence works though an equity-financing channel.© 2007 Elsevier B.V. All rights reserved.

Financial constraints and stock returns — evidence from Australia

Using multiple discriminant analysis, we construct an index thatmeasures firms' external financial constraints in an Australian setting.We form portfolios of firms based on our financial constraints index andfind that financially constrained firms earn lower return than theirunconstrained counterparts. Moreover, stock returns of financiallyconstrained firms are found to move together, indicating the potentialexistence of a financial constraints factor. Neither the variation nor themean return of the constraints factor are well explained by existing assetpricing models, suggesting an independent role for our financialconstraints factor in affecting stock returns.

Low allozyme variation in snapper, Pagrus auratus, in Victoria, Australia

The population genetic structure of snapper, Pagrus auratus (Bloch and Schneider), in Victoria was investigated using six polymorphic allozyme loci. Fish were sampled from four sites in Victoria and single locations in South Australia, Western Australia and New Zealand. Although there were distinct genetic differences between the snapper populations from each of the Australian states and New Zealand, only minor and largely insignificant differences were detected among Victorian populations. The results are consistent with previous genetic and tagging studies that indicate no mixing between snapper stocks in Victoria and Spencer Gulf in South Australia. This justifies separate management of the snapper fisheries in these regions. The low levels of polymorphism and heterozygosity in Victorian snapper suggest an isolation by distance model of population structure rather than one of discrete subpopulations.

Information signalling of common stock repurchase announcements: Australian evidence

Stock repurchases (or share buy-backs) have become increasingly popular among Australian companies. One of the main aims of announcing a stock repurchase by a listed company is signalling the market that its shares are currently underpriced. When market reacts to the signal, price of the shares is expected to increase immediately after the announcement. While there are several ways of repurchasing shares, 'on-market buy-backs' is the most popular method of stock repurchases in Australia. Australian listed companies have announced more than two hundred on-market share buy-backs over the past three years. The aim of this paper is to examine the information signalling effects of these on-market buy-back announcements. If the signal is considered positively (negatively) by the market, the price of the repurchasing company's shares should increase (decrease) immediately after the announcement. If there is no information content in the announcement, the price will remain the same. In this study, signalling effect of share buy-back announcements was examined using most recent Australian data. The total population of on-market buy-back announcements during the period from January 1, 2000 to March 10, 2003 was included. The abnormal market return over the short-run (announcement day and 9 trading days centred on the announcement date) was computed using the All Ordinaries Accumulation Index as the reference portfolio. The daily Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) during the event period were computed. The results strongly support the information-signalling hypothesis of share buy..backs. Australian market generally considers announcement of on~market share repurchases as signalling of insider information that shares are currently underpriced.

Corporate governance failure and its impact on National Australia Bank's performance

The National Australia Bank (NAB) is the largest financial services institution listed on the Australian stock exchange and is within the 30 most profitable financial services organisation in the world. In January 2004, the bank disclosed to the public that it had identified losses relating to unauthorised trading in foreign currency options amounting to AUD360 million. This foreign exchange debacle was classified as operational risk, the risk of loss resulting from inadequate or failed processes, people, or systems and reiterated the importance of corporate governance for banks. Concurrent issues of National Australia Bank’s AUD4.1 billion loss on US HomeSide loans in 2001, the degree of strength of their risk management practices and lack of auditor independence, were raised by the US Securities and Exchange Commission in 2004, reinforcing the view that corporate governance had not been given the priority it deserved over a number of years. This paper will assess and critically analyse the impact of corporate governance failure by management and Board of Directors on NAB’s performance over the years 2001-2005.

Factors affecting patch occupancy by the white-browed treecreeper Climacteris Affinis in an agricultural landscape in north-west Victoria, Australia

The survival of habitat-dependent fauna within agricultural mosaics depends on their ability to occupy remnant habitat patches and move through the modified landscape. In north-west Victoria, Australia, less than 10% of the pre-European extent of Selah Casuarina pauper woodland remains intact due to agricultural development. The White-browed Treecreeper Climacteris affinis, is a small, insectivorous passerine that, in this region, preferentially inhabits Selah woodland. To assess the ability of C. affinis to persist in an agricultural landscape, 30 woodland sites in the Millewa landscape (34°30'S, 141°30'E) were surveyed, and patterns of patch occupancy used to examine the influence of spatial characteristics, landscape context and grazing by stock on the suitability of remnants as C. affinis habitat. Sites occupied by C. affinis were larger and less likely to be grazed by stock than vacant patches. The area-dependency of patch occupancy represents a step-threshold: C. affinis were not detected in remnants with less than 18.5 ha of Selah woodland but above this threshold, density was not correlated with patch area. Measures of patch isolation, the existence of linking linear "corridors" and tree density were not reliable indicators of patch occupancy. The presence of the species in remnants entirely surrounded by agricultural land suggests they are capable of crossing up to 450 m of cultivated land to prospect for habitat. The extensive network of linear vegetation and the numerous small remnants and scattered trees appear to facilitate movements of C. affinis in this landscape. Increasing the size of existing remnants, creating new habitat to expand the area of occupancy and maintaining landscape connectivity are priorities for the long-term management of this threatened species.

The use of codes of ethics in the marketplace in corporate Australia : a longitudinal study

The stock market crash of 1987 was a defining moment in Australian corporate life. As a nation, we became acutely aware of the ‘moral bankruptcy’ that had come to permeate our corporate world. The focus on business ethics or the lack of it, in corporate Australia in the late 1980s, prompted this research.

The research for this paper that was first conducted in 1995 and replicated in 2001 focussed on the top 500 companies in Australia. These companies were surveyed on a raft of issues, one of which was their use of their codes of ethics in the marketplace. This paper examines the data sets from 1995 and 2001 and concludes that many of Australia’s largest enterprises have recognised the need for business ethics. As perceived by them, they can and do use their codes of ethics in a positive manner in the marketplace and attribute benefits to this interaction.

Corporate governance failure and its impact on National Australia Bank's performance

The National Australia Bank (NAB) is the largest financial services institution listed on the Australian stock exchange and is within the 30 most profitable financial services organisation in the world. In January 2004, the bank disclosed to the public that it had identified losses relating to unauthorised trading in foreign currency options amounting to AUD360 million. Thisforeign exchange debacle was classified as operational risk, the risk of loss resulting from inadequate or failed processes, people, or systems and reiterated the importance of corporate governance for banks. Concurrent issues of National Australia Bank's AUD4.1 billion loss on US HomeSide loans in 2001, the degree of strength of their risk management practices and lack of auditor independence, were raised by the US Securities and Exchange Commission in 2004, reinforcing the view that corporate governance had not been given the priority it deserved over a number of years. This paper will assess and critically analyse the impact of corporate governance failure by management and Board of Directors on NAB's performance over the years 2001-2005.

Accountability and board functionality: National Australia Bank's experience

The National Australia Bank’s (NAB) experience of corporate governance has been contrary to current standards of good corporate governance, accountability and risk management. Over the last few years NAB’s misadventures have brought it under intensive media scrutiny with the HomeSide losses and the investigation by the Securities and Exchange Commission in the USA for breaches of auditor independence. More recently the unauthorised trading by its foreign exchange dealers violated NABs risk management practices and the subsequent board crisis resulted in significant downgrading of the share price on the Australian Stock Exchange (ASX). This paper briefly reviews the international history of corporate accountability and its growth in Australia. The increasing shareholder and legislative pressure to improve sustainability, accountability and board functionality have driven these issues to the forefront of Governing Boards’ agendas worldwide. The board remains ultimately responsible for all actions of the company and this is highlighted by APRA’s recent release of the new governance standard APG510 for implementation by October 2006. The impact of NAB’s board dysfunction on its overall performance is compared with the other major banks in Australia. Cost efficiency ratios, share price and total shareholder return are used as measures of performance and profitability. It is clear, from NAB’s recent experience, as the worst performer of all the majors, with a 19.7% fall in net profit and a cost to income ratio of 57.4% in 2004, that the NAB board needs to improve its performance and accountability to meet a sustainable increase in profitability and higher return for investors.