This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand...

Unlike in other developed equity markets, short sellers in Australia are required to report their covered short positions on a daily basis to the market regulator, who subsequently disseminates this information freely to the public in a very timely manner. If short selling contains negative...

There are two related literatures on financial risk tolerance (FRT) (based on psychometrically-validated surveys) and risk aversion (based on lottery experiments) that hitherto have not been intersected. Exploring their integration is the primary goal of this paper. Specifically, we follow a two...

In this study, we examine the effects of systematic liquidity risk on stock returns in the Australian market. We find that liquidity risk, in the form of (i) the co-movement between individual stock liquidity and market liquidity, (ii) the co-movement between stock returns and market liquidity,...

We examine announcement effects and the long-run stock performance associated with spin-offs for companies listed on the Australian Securities Exchange (ASX). The 3-day announcement effect is a significantly positive 2.93%. Contrary to previous studies, we do not find any difference between ex...

This research studies the implications of short term debt for firm investment decisions on a sample of U.S. non-financial firms from 1985-2011. We argue that short term debt does not always help to reduce the overhang cost of leverage as is the case in Myers (1977) model. Our empirical results...