Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts

This paper examines whether the Australian equity market is integrated with the equity markets of the G7 economies by applying both the Johansen (Statistical analysis of conintegrating vectors, Journal of Economic Dynamics and Control, 12, 231-54, 1988) and Gregory and Hansen (Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70, 99-126, 1996) approaches to cointegration. Some evidence of a pairwise long-run relationship between the Australian stock market and the stock markets of Canada, Italy, Japan and the United Kingdom is found, but the Australian equity market is not pairwise cointegrated with the equity markets of France, Germany or the USA.

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.

Interdependence and dynamic linkages between the emerging stock markets of South Asia

The present article examines the dynamic linkages between the stock markets
of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality
approach by binding the relationship among the stock price indices within a
multivariate cointegration framework. We also examine the impulse response
functions. Our main finding is that in the long run, stock prices in Bangladesh,
India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run
there is unidirectional Granger causality running from stock prices in Pakistan
to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to
Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its
small size and modest market capitalization.

National and international financial reporting standard convergence and the relevance for non-participants in capital markets : a preparer perspective

This study presents some implications of recent policy moves to enhance the harmonization of financial reporting and disclosure by adopting international financial reporting standards. In particular the impact on small organizations that do not participate in capital markets is considered. The results of a survey of practitioners indicate a perception that the non-capital market sector is likely to be significantly affected by additional reporting burden that convergence with international financial reporting standards imposes. On the whole the results show there was concern that the traditional users of the financial reports of organizations who do not participate in capital markets, would have limited if any, use for financial reports that conformed to international financial reporting standards, The results of this study have implications for nations such as Malaysia and New Zealand, which are currently engaging in the differential reporting debate.

Testing the weak-form version of the efficient markets hypothesis

This thesis examines the weak-form efficiency of the Australian stock market using data from Australia's major banking stocks, the Banking Index and the All Ordinaries Index. Applying a combination of existing technical analysis indicators, coupled with a relatively new technique known as Sequential (TM) reveals that the Australian stock market is weak-form inefficient.

Measuring credit spreads of emerging markets

This study found, in the trading of bonds from emerging economies, the international market does not differentiate distinctions between international bonds that were issued by government or corporations. While domestic political and economic issues affect the trading of Malaysian bonds, over the longer term, international economic events leave more significant impact.

Benzodiazepine and pharmaceutical opioid misuse and their relationship to crime : an examination of illicit prescription drug markets in Melbourne, Hobart and Darwin : Victorian report

This report presents the findings of the major research project 'benzodiazepine and pharmaceutical opioid misuse and their relationship to crime', and is an examination of illicit prescription drug markets in Melbourne.

Exporting sports rights to overseas markets : the case of European football

In recent years major European clubs have become conscious of the need to develop a wider, more global approach to their existence in order to increase revenues. There have increasingly been developments involving clubs attempting to forge relationships with major Asian markets. The essay focuses on factors influencing the international trade of input (talent) and output (football TV programmes) – covering both the supply and the demand sides. It illustrates how the development in recent years has widened the revenue gaps between the ‘big five’ European nations and the rest of the world – and its consequences for the distribution of talent in the football world.

Rural markets and school choice

This thesis examines how families and schools in a rural Victorian setting engage with education markets and policies of school choice. Focusing on federal funding and state conveyancing policies, the study employs policy sociology and social geographies perspectives to examine policy effects on social relations and the implications for equity.

Comparing different economic linkages among commodity futures

Gasoline (GA) and kerosene (KO) are extracted from crude oil (CO), such that the three fuel commodities share a chemical link. On the other hand, GA also shares an industrial link with natural rubber (NR) and palladium (PA) as complementary commodities that are heavily consumed by the automobile industry. We contrast the information content embedded in the two economic linkages. Focusing on TOCOM futures contracts written on the five commodities and centering on GA, we confirm that incremental information provided by either CO, KO or NR, PA over a buy-and-hold strategy and a naive forecast, are both statistically and economically significant. While the chemical link forecast is more profitable, a double-link forecast generated from a VECM with two cointegrating vectors (KO-GA and GANR prices) outperforms both single-link forecasts based on risk-adjusted profit net of transaction costs. Further comparisons against the profitability of commodity-based momentum strategies documented in Erb and Harvey (2006) and Miffre and Rallis (2007) show that the double-link forecast holds its own against the most profitable of the 75 momentum strategies considered. This strongly suggests that not only are there incremental profits to be gained from harnessing and combining economic links among commodity futures, the resultant incremental profits are economically significant against other proven commodity-based trading strategies in the existing literature.