Contemporary poetry and the sacred: Vincent Buckley, Les Murray and Samuel Wagan Watson

VINCENT Buckley's Golden Builders and Other Poems (1976) is an important poetic experiment in its direct and exulted address to the city and to the sacred. The city is Melbourne in which Buckley lived, worked and wrote for forty years. In the original volume, the epigraph to the twenty-seven part sequence 'Golden Builders' is from William Blake's Jerusalem, a profound and idiosyncratic yoking together of the corporeal and the sacred

Fundamental determinants of the Australian price-earnings multiple

This paper is the first attempt to investigate the factors fundamental to the setting of the price–earnings (P–E) multiple for the Australian stock market. The quarterly P–E ratio for the ASX 200 index is used as a measure of the market wide P–E multiple. It is demonstrated that a large portion of the variation in the P–E multiple can be explained by the dividend payout ratio, interest rates and GDP growth rates. In addition, consumers' confidence—a leading indicator of future growth opportunities, the Australian–US exchange rate—a key determinant of the competitiveness of domestic companies, and volatility of domestic market returns—a risk factor, have incremental explanatory power.

"Information effect" of economic news: SPI futures

The present study investigates the behaviour of Share Price Index (SPI) futures returns, volatility, and trading volume behaviour around the announcement of Current Account Deficit (CAD), Gross Domestic Product (GDP), and Inflation (CPI). The futures market data are sampled at 1-, 5-, and 10-min intervals at the announcement time. After controlling for risk, a significant positive abnormal return can be earned based on the good news release. However, it is unlikely that traders could make an economic profit by exploiting this effect. In this sense, this futures market returns are found to react efficiently to good news. Volatility behaviour around announcements provides the same conclusion. As for the relationship between returns, volatility, and volume upon information arrival, returns are positively related to trading volume, which is inconsistent with the ‘short sales constraint’ theory. Trading volume is found to increase as the level of volatility rises. The redenomination of the SPI futures and options contract from A$100 to A$25 per basis point is found to increase trading volume in excess of that expected due to the redenomination. However, market return and volatility are unaffected by the redenomination.

Modelling linkages between Australian financial futures markets

This paper investigates the dynamic interdependence of the Australian financial futures markets. A multivariate EGARCH model is developed to investigate linkages and stochastic volatility interactions between the 10-year Treasury bond, 90-day bank-accepted bill, and the All Ordinaries share price index futures markets. In this analysis, the empirical results strongly suggest that significant volatility interactions are evident across the 3 markets.

Market orientation and organisational performance: the influence of moderators

The concept of market orientation has received a great deal of attention from marketing scholars, indicating its conceptual and practical importance. The concept has been investigated from many perspectives and examined in many ways. The current general understanding is that market orientation, in most cases, is positively related to some measures of organisational performance and that different internal and external situations moderate this relationship. This paper aims to (1) introduce a measure of market orientation effectiveness, which represents a synthesis of the influence of different internal and external moderators on market orientation, and (2) measure the association of market orientation effectiveness with (a) a marketing performance outcome and (b) the overall organisational financial performance. The results from a survey of 216 large Australian businesses indicated that some variables (an organisation’s strategy of cost leadership, market strength, implementation effectiveness, and market volatility) have positive contributions at different degrees to market orientation effectiveness, while anticipated competitive reaction contributes negatively. Results also indicated that in the sample studied, both market orientation and market orientation effectiveness were more strongly associated with a measure of marketing performance, than with the overall financial performance, which is a function of both marketing and non-marketing initiatives.

A model of the Australia-US exchange rate

This paper develops a model of exchange rate determination within an error correction framework. The intention is to identify both long and short term determinants that can be used to forecast the AUD/US exchange rate. The paper identifies a set of significant variables associated with exchange rate movements over a twenty year period from 1984 to 2004. Specifically, the overnight interest rate differential, Australia's foreign trade-weighted exposure to commodity prices as well as exchange rate volatility are variables identified that are able explain movements in the AUDIUS dollar relationship. An error correction model is subsequently constructed that incorporates an equilibrium correction term, a short-term interest rate differential variable, a commodity price variable and a proxy for exchange rate volatility. The model is then used to forecast out of sample and is found to dominate a naIve random walk model based on three different metrics.

The world wide web in modern marketing's contribution to organisational performance

Purpose – The purpose of this paper is to provide a better understanding of the antecedents of organisational performance (OP), both financial and marketing, and the influence of holding a strategic market orientation (MO) where customer-base volatility is taken into account.

Design/methodology/approach – A sample of 167 marketing organisations in Australia was surveyed to test the hypothesised model. Structural equation modelling was employed in the data analysis.

Findings – Use of the world wide web (Web) reported by organisations in this study indicates that there is still separate use of the Web and that it has yet to be fully integrated into the marketing strategy of many organisations. The study finds that traditional marketing effort mediates the relationship between holding a MO and OP in terms of financial indicators.

Research limitations/implications – A major limitation of this study is that it surveys organisations from many industries rather than selected industries. This tends to mask some of the possible outcomes.

Practical implications – The findings in this study suggest that traditional and online elements of marketing effort each mediate the influence of holding a MO on OP, but differently. Innovation culture is found to influence both marketing practice and marketing performance, directly. A single measure of environmental turbulence – customer-base turbulence or churn – negatively affects marketing performance, and ultimately financial performance.

Originality/value – A major contribution of this study is the examination of use of the Web in marketing effort and how this usage influences financial and marketing performance.

The equilibrium relations between stock index and bond index: evidence from Bursa Malaysia

This paper aims at examining the correlation structure, co-integration relationship and volatility linkage between stock and bond market indices over a period from January 1994 to June 2004. This study uses Johansen Cointegratoin test, VECM-X model and GARCH (1,1) with MDH model to examine the existence of long-term relation and volatility linkage between stock and bond market. The findings shed some light on the existence of mean-reverting pattern of correlation across different economic environments.  Findings on co-movement of stock and bond indices suggest an equilibrium relationship with short-term error correction. While evidence from volatility linkage also suggests that bond market cannot provide a meaningful explanation for conditional volatility in stock market, therefore, rejecting the mixture of distribution hypothesis.

Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH

The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.

Understanding the oil price-exchange rate nexus for the Fiji Islands

In this paper, we examine the relationship between oil price and the Fiji–US exchange rate using daily data for the period 2000–2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.

Market makers v's the general public : a first look at S & P500 futures trade data

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for market trade and also two way trade between market makers (CT1) and the general public (CT4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.

Multi-scaling modelling in financial markets

In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.

The Samuelson hypothesis in futures markets : an analysis using intraday data

This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures contract approaches its expiration. Utilizing intraday data from 20 futures markets in six futures exchanges, we find strong support for the Samuelson hypothesis in agricultural futures. However, the Samuelson hypothesis does not hold for other futures contracts. We also provide supporting evidence that the ‘negative covariance’ hypothesis is the key factor for the empirical support of the Samuelson hypothesis. In addition, our findings remain largely unaltered even after we control for seasonality and liquidity effects.

Dispersion of information or market behaviour : general public trading in S & P 500 index futures

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for two way trade between market makers (CTI1) and the general public (CTI4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.