Using 33 years of data this article considers linkages between New Zealand, Australia and various other Pacific-Basin equity markets. Using time-varying parameter modelling techniques we show that the New Zealand stock market returns have become increasingly sensitive to perturbations in the...

Using a dynamic version of the present value model and a range of developed and Asian emerging markets, this article considers estimates of stock market prices given expectations on dividends and earnings and compares these fundamental stock prices with actual stock prices. The reported...

Using weekly share return data from a sample of five Pacific Rim and the UK and US stock markets over the period 1 January 1988-14 October 1994, this paper examines the relationship between conditional return volatility, market performance and news arrival at the market-place. Our results...

This paper reports the results of various tests of the efficient markets hypothesis (EMH) using daily observations on the Statex Actuaries' Price Index for Australia and the NZSE-40 Index for New Zealand for the period 1975-92. The weak form of the EMH is examined by testing the log of the price...

A negative relationship between stock returns and (expected) inflation is frequently observed in empirical work and is considered a puzzle since it is expected that stocks are a good hedge against inflation, so that their real rate of return (actual or expected) ought to be unaffected by changes...

This study analyses the interrelationships between the share market and the macroeconomy within the framework of a structural vector autoregressive (SVAR) model. The model has just two variables - real share prices and real output - and uses a distinction between temporary and permanent shocks...