What has been undertaken in this research is a careful sampling of CFTC Samp;P500 futures trade records into the 15 minute required reporting intervals for the period January 1994 to June 2004. Accumulated volume of trade open, close, high and low prices are extracted for market trade and also...

The extremely high A- share underpricing in China's primary market provides us with a very interesting area of empirical research. Previous studies on China's IPO underpricing have been suggestive, but in-conclusive. We investigate the A- share underpricing by employing the most recent data...

There is continuing debate in the US over full introduction of electronic trading in those index futures contracts that are still traded at the CME via open outcry. Since the late 1990s major international exchanges trading index futures contracts have converted to full electronic trading....

This paper analyses Private Placements for the Australian biotechnology sector. Private placement is one of the favoured methods of secondary equity offering around the world. However, it is also the least studied corporate financing mechanism. A major issue around private placement is the...

Using different unconditional and conditional versions of the bivariate BEKK-GARCH model of Engle and Kroner, we calculate time-varying hedge ratios for Indian stock futures market involving a cross-section of seven firms across a spectrum of industries. These models are solved not only with the...

While there has been much judicial discussion regarding the competency of Australia’s continuous disclosure regime with reference to contemporaneous international standards, there has to date been limited empirical analysis of the Australian system’s effectiveness in preventing selective...

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are...

The extremely high A- share under-pricing in China’s primary market provides us with a very interesting area of empirical research. Previous studies on China’s IPO underpricing have been suggestive, but in-conclusive. A significant decline in A- share underpricing is found in 2003 relative...

A systematic BEKK-GARCH model with multiple switch points in the variance equations is found to capture the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins and electronic trading of Hang...

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...