Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships. While links enable exposure to be reduced by allowing netting across CCPs, CCPs become exposed to one another through the possibility of a...

This paper examines the behaviour of daily asset price movements in Australian bond, share and foreign exchange markets over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First, is there evidence of a trend increase in volatility...

The efficient market hypothesis states that asset prices in financial markets should reflect all available information; as a consequence, prices should always be consistent with ‘fundamentals’. In this paper, we discuss the main ideas behind the efficient market hypothesis, and provide a...

This paper finds evidence that firms may manipulate their systematic risk. This contrasts with previously held views that changes in estimates of systematic risk were an artefact of the estimators used. The central finding is that firms take actions which result in their equity betas adjusting...