We test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson's (2001a, b) consumption – wealth ratio, Campbell and Cochrane's (1999) surplus consumption ratio and Santos and Veronesi's (2006)...

This paper tests for equity market integration between Sweden and EU countries represented by Germany and France. A new causality test method developed by Hacker and Hatemi-J (2006) is applied. This method performs better than the other methods because it is robust to non-normality and the...

Considering the global dominance of the US equity market, it is expected that the impact of September 11 on the US market would spill-over to other markets. Since this terrible event had created a global climate of fear and uncertainty, it is possible that the US spill-over effect could have...

Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in...

This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond...

Using panel unit root and cointegration analyses, we estimate the equity duration for banks covering the countries of Australia, US, Canada and the UK for the period 1986 to 2003. Our results show that banks in the UK had the highest duration followed by those in Australia, Canada and then the...

We propose a new approach in the estimation of the optimal hedge ratio that allows the hedge ratio to vary over time but without the necessity of frequently rebalancing the portfolio. We apply this in the context of the US and UK equity markets using weekly spot share prices and future share...