The purpose of this paper is to examine the regional integration of national stock markets. Cluster analysis is utilised in order to determine whether returns generated in national stock markets form groupings. The results suggest that markets are segmented on a regional basis. This finding is...

This paper focuses on the time changing nature of the Australian equity market risk premium. The literature identifies a set of explanatory variables including yield curve slope, interest rate level, dividend yield and two measures of return volatility which may explain how the risk premium in...

This study examines the relationship between financial market segmentation and political risk. Financial economists have attributed market segmentation to factors such as foreign exchange risk, taxes, tariffs and capital controls whereas the influence of political risk has been largely ignored....

The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states....

Corporate and institutional foreign exchange market participants are sensitive to the effects of volatility on their day-to-day trading activities and so an important question is whether the introduction of the euro had an impact on foreign exchange rate volatility. Rather than compare...

Individual shareholders often choose to invest a substantial fraction of their wealth in one firm thereby having operational control of the firm through the voting power attached to the shares. In doing so the shareholder reduces the diversification of their personal investment portfolio. A...