This article documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a 7-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature...

Purpose – The structure of the Malaysian fund market presents a unique setting in which to examine behavioural and cultural differences in the performance of fund managers. The purpose of this paper is to utilise Taylor's extension of the tournament model of Brown et al. who argued that using...

Purpose – The purpose of this paper is to show that the consequences of terrorist attacks are beyond what is reported in the media. Equity investors can be adversely affected by these incidents. The authors' work justifies the war on terror. Design/methodology/approach – Using event study...

Event study methodology is a well-accepted technique in finance. Although its application is popular, there have not been many critical assessments of this practice. For instance, in the estimation process, the researcher has to make a choice in terms of which asset pricing model to adopt when...

The effects of the Boxing Day tsunami on the world equity markets are investigated in this paper. In particular, this paper examines how the risks and returns of industry and market portfolios are altered as a result of the tsunami. The analysis includes countries that were directly or...

We investigate the impact of five recent terrorist attacks on equities listed on the Australian Stock Exchange. Following the Global Industry Classification Standard, we analyse how these events affect the different sectors in Australia. Using parametric and non-parametric tests, we investigate...

How are the risks and returns of industrial and market portfolios altered as a result of terrorist events? This paper investigates the effects of five international terrorist attacks on equities listed on the Malaysian Stock Exchange. It uses an event study methodology to explore the...

We examine the performance of the buy-write option strategy (BWS) on the Australian Stock Exchange and analyse whether such an investment opportunity violates the efficient market hypothesis on the basis of its risk and returns. This study investigates the relationship between buy-write...

The main purpose of this paper is to explore a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). In these two strategies we take...

We investigate the profitability of contrarian investment strategies for equities listed on the Hong Kong Stock Exchange (HKEX), which are separated into cross-listed firms and firms listed only in Hong Kong. We also investigate the relationship between stock returns and past trading volume for...