This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for market trade and also two way trade between market makers (CT1) and the general...

This paper investigates the relationship between the use of financial derivatives and firm value in the Australian setting. Contrary to expectations, we find that the use of derivatives in general, and the use of interest rate derivatives in particular, are negatively related to firm value (as...

We explore the relationship between the type of derivative instrument used and firm value, in a sample of Australian firms. Specifically, we examine the impact of the corporate use of swaps, futures, forwards and options, and the extent of such usage, on firm value. Our findings suggest that a...

This paper investigates the relationship between different classes of institutional investors and firm performance. Using industry level data from Finland, which is characterized by various institutional investors who own multiple ownership stakes in different firms across a broad spectrum of...

The impact that derivative trading has on the underlying security is essential to our understanding of security market behaviour, and important in the fields of market efficiency and pricing of such derivatives. This paper examines the impact that the introduction of exchange traded derivative...

In this paper, we investigate the value of incorporating implied volatility from related option markets in dynamic hedging. We comprehensively model the volatility of all four S&P 500 cash, futures, index option and futures option markets simultaneously. Synchronous half-hourly observations are...

This paper addresses empirical analysis of Malaysian credit spreads in a number of directions. Firstly, the investigation of explanatory power of macroeconomic or market variables to the changes in the spreads. Secondly, use of daily data rather than data sampled to match typical macroeconomic...

This paper examines the cause and effect of the Public Liability crisis that emerged in the Insurance industry in Australia in 2000. It establishes the principal cause as inadequate premiums being charged by insurers in the preceding years combined with a rise in the cost of personal injury...

This paper seeks to analyse the relationship between ownership structure and corporate performance for fifty firms listed on the Australian Stock Exchange during 2002-2003. The study initially tests a two equation model similar to that in the existing literature, but is distinguished from prior...

In this paper we develop a stochastic endogenous growth model augmented with income tax evasion. Our model avoids some existing discrepancies between empirical evidence and theoretical predictions of traditional tax evasion models. Further, we show that: i) productive government expenditures...