This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange rate risks. Daily Australian bank portfolio...

Statistical similarities among the latest long expansion in the U.S. and some other past expansions, in particular that of the 1960s, are examined. Corresponding to the definition of statistical similarity, a test based on the covariance matrices of business cycle component variables for the...

This study presents a model capturing sources of Australian aggregate labour productivity using annual time series data from 1970 to 2001. Labour productivity, or real output per hour worked, in this model is determined by real net capital stock in information technology and telecommunications...

In this paper we investigate the relationship between portfolio returns and idiosyncratic risk for Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...

This paper examines the short and long-term price linkages among major art and equity markets over the period 1976-2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US...

Australia’s value added contribution of the Wholesale and Retail trade has strengthened against sectors such as agriculture, mining and manufacturing. At 1997-98 prices, its value added contribution to GDP during the 1990s was around 10-11%. Agriculture was 3% and mining 7-8%....

This paper examines the short and long-term comovements among UK regional property markets over the period 1976-2001. The markets examined are London, Outer South-East, East Anglia, South West, East Midlands, West Midlands, Yorkshire and Humberside, North and North West. Multivariate...

This paper investigates arbitrage opportunities from the Australian market using the futures and futures option contracts traded on the Sydney Futures Exchange (SFE) within a put-call-futures-parity (PCFP) framework. A thorough ex post analysis is first carried out. Tick-by-tick transaction...

This paper analyses current government expenditure in Fiji using annual time series data for the period 1969-1999. Alternative theories of government expenditure are reviewed and a distinction is made between economic/apolitical determinants and institutional/political determinants. Categorising...

Australian governments have recently moved from cash accounting to accrual accounting. In doing so they have made simultaneous use of two rival accrual accounting frameworks: AAS 31 and GFS. AAS 31 and GFS operating result measures differ significantly. To date, the AAS 31 framework has enjoyed...