This paper examines the extent to which the conditional volatility of stock market returns in a small, internationally integrated stock market are related to the conditional volatility of financial and business cycle variables. It employs a low frequency monthly dataset for Australia including...

This paper investigates the long-run relationship among six equity markets in the Southeast Asian region, namely Thailand, Malaysia, Singapore, Philippines, Indonesia and Vietnam using daily market indices collected over the period 2006 - 2010. Three testing methods used in the paper include;...