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...

Many economies have undergone the process of privatizing their state-owned enterprises. Recently, however, this process has slowed down in some economies and has been completely stalled in others. Here we formalize the view that this is so because these enterprises are major instruments of...

Criminal justice system delay, which is defined as the time elapsing between the defendant being charged and the case being listed at court, has up to some point, socially valuable flexibility value. This insight borrowed from the options literature in finance, makes it potentially possible to...

World life expectancy has risen by around 20 years in the last 50 years. This period has also witnessed rising happiness levels around the world suggesting that happiness might be one of the causes behind the decline in mortality. We investigate the relationship between happiness and mortality...

Weather variables, in particular sunshine, are found to be strongly correlated with financial variables. I consider self-reported happiness as a channel through which sunshine affects financial variables. I examine the influence of happiness on risk-taking behavior by instrumenting individual...