Do gold prices influence gold mining stocks? In this paper, we evaluate the hypothesis that the relationship between the prices of gold and gold mining stocks should be asymmetric due to the embedded real option characteristics associated with gold mining stocks. We use the cross-quatilogram to...

This paper examines quantile coherency in bonds, commodities, currencies, and equities usinga novel quantile coherency approach. While recent literature has explored single-frequencytail - and time-frequency dependence in asset returns, we provide fresh evidence on asset returndependence across...

We examine how the Australian stock market responded to the uncertainties created by the COVID-19 pandemic and whether the stimulus package offered by the Government helped restore confidence in the market. This study finds a negative stock market reaction to the pandemic announcement, however,...

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We find that a few industries significantly lead the market even controlling for well-recognized market predictors....

The stochastic frontier analysis is employed to investigate efficiency of publicly listed Australian banks over the period 1985-2008. The results suggest that technical, cost and profit efficiency of Australian banks have improved over our sample span. Large banks have attained a higher level of...