In this paper, using time series data for the period 2 January 1998 to 31 December 2008, for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop the analytical framework motivating the...

While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending...

In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from...

In this paper, we test whether January and turn-of-the-month (TOM) affect firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence of both January and TOM affecting returns and return...

Asset returns conforming to a Gaussian random walk are characterised by the temporal independence of the moments of the distribution. Employing currency returns, this note demonstrates the conditions that are necessary for risk to be estimated in this manner.

Simultaneous Volatility models are developed and shown to be separate from Multivariate GARCH estimators. An example is provided that allows for simultaneous and uni-directional volatility and volume of trade effects. These effects are tested using intra-day data from the Australian cash index...