Using the longest data set on foreign exchange (FX) order flow to date, along with the broadest coverage of currencies to date, we examine the effect of FX order flow on exchange rates across small and large currencies, currencies with floating or fixed regimes, and across both tranquil and...

This paper examines quantile coherency in bonds, commodities, currencies, and equities usinga novel quantile coherency approach. While recent literature has explored single-frequencytail - and time-frequency dependence in asset returns, we provide fresh evidence on asset returndependence across...

Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...

This paper examines the impact of international predictors from liquid markets on the predictability of excess returns in the New Zealand stock market using data from May 1992 to February 2011. We find that US stock market return and VIX contribute significantly to the out-of-sample forecasts at...

This study extends the literature relating to the influence of weather on security returns by examining the influence of four facets of the local weather on the change in New Zealand's Trade-Weighted Foreign Exchange Rate Index (TWI). The TWI is not influenced by the level of wind in the two...

The debate between the traditional financial theorist and the ‘new age' behavioural finance theorists is one of much contention. Many have shown that investor sentiment in many ways shows irrationality that kills much of the previous research into the equity premium and efficient market...

This study investigates if the change in economic policy uncertainty in the United States has any impact on the stock market performance in Australia and New Zealand. The results from the analysis of data of monthly changes in economic policy uncertainty in the US and monthly returns on All...

This paper asks why Asia-Pacific residents issue debt in offshore markets and considers the implications for domestic debt markets. We use unit record data for bond issuance by non-government residents of Australia, Hong Kong, Korea, Japan and Singapore to link the decision to issue offshore to...