Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in...

Using panel unit root and cointegration analyses, we estimate the equity duration for banks covering the countries of Australia, US, Canada and the UK for the period 1986 to 2003. Our results show that banks in the UK had the highest duration followed by those in Australia, Canada and then the...

This paper investigates the price linkages between the equity market of Australia and that of the US, UK, Japan, Hong Kong, Singapore, Taiwan, and Korea using weekly MSCI stock market data covering the period 1974-1995. Cointegration test using the Johansen (Journal of Economic Dynamics and...

This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond...

Due to increasing globalization and its potential benefits, many emerging markets have introduced capital liberalization policies to attract much needed foreign direct investment. The objective of this article is to empirically investigate whether the conducted deregulation policies resulted in...

We re-examine the issue of equity market price interdependence between Australia, on one hand and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2005) bootstrap Granger-causality tests with leveraged adjustments. We take into account the...