This paper employs annual time series data on Iranian exports, imports and economic growth from 1960 to 2003. Procedures are used to endogenously identify structural breaks in these macroeconomic series and then to incorporate these breaks in unit root tests. An initial finding is that the...

This paper measures the extent of financial integration and interdependence among Asian equity markets over the period January 1993 to June 2006 using daily data. The analysis includes three developed markets (Hong Kong, Japan and Singapore) and eight emerging markets (China, India, Indonesia,...

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A...

This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...

In this study, productivity growth in thirty-five Australian universities is investigated using nonparametric frontier techniques over the period 1998 to 2003. The inputs included in the analysis are full-time equivalent academic and non-academic staff, non-labour expenditure and undergraduate...

In this study, productivity growth in thirty-five Australian universities is investigated using nonparametric frontier techniques over the period 1998 to 2003. The inputs included in the analysis are full-time equivalent academic and non-academic staff, non-labour expenditure and undergraduate...

This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period January 1, 2002 to June 1,...

This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the...

This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary,...

This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed...