The finance literature is replete with studies using the market model (MM) and the quadratic market model (QMM) as the return generating model. An alternative model, using the quadratic market model framework, was adopted by Barone-Adesi (1985) to test a two factor APT model related to the Three...

The applicability is explored of using ARCH/GARCH models to investigate Australian financial futures data. The extent to which the parameters of the models change over time is examined through analysing the data contract by contract. The results do vary over time and simple models such as the...

This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign...

This paper analyses the board composition of Australian initial public offerings (IPOs) over the period 1994 to 1997. The recent management literature identifies a wide range of stakeholders beyond the traditional shareholders. Evan and Freeman, and Jones and Goldberg suggest that the importance...

Given that the efficiency of the Chinese stock markets was empirically examined in extant literature using statistical tests that are designed to uncover linear correlations of price changes, the obtained statistical inferences of efficiency/inefficiency are on very shaky grounds as highlighted...

This article examines the relationship between asset returns and changes in the announced target cash rate of the Reserve Bank of Australia during the period from September 1990 to June 2000. Using a two stage least squares model adapted from Lowe (1995) the analysis found that there is an...

In the multiscaling approach, a time series is decomposed into different time horizons referred to as timescales. In this article, we investigate the risk-return relationship in a downside framework using timescales. Two measures of downside risk; downside beta and downside co-skewness are...

The paper presents an investigation of the equity beta risk of 23 Australian industry portfolios over the period 1974 to 1992. A comparison of domestic and international market model betas, favours the domestic risk measures, although the international counterparts are generally statistically...

The primary objective of this paper is to assess the affect of data 'censoring' on asset pricing tests. This is achieved by modifying tests to incorporate a 'selectivity bias' correction factor in a Gibbons (Journal of Financial Economics, 10, pp. 3-27, 1982) multivariate framework. The sample...

Recent studies have documented the growing economic and financial integration between countries. Among other things, this has led to the argument that greater integration results in higher bilateral correlations between returns on national stock markets. This study endeavours to link the two...