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Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/350590
Description: We test for price bubbles in 14 national real estate investment trust (REIT) markets, and measure the degree of their convergence towards a common trend. Our methodology consists of the recently devel ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/304817
Description: We study market illiquidity across 11 national markets of the Balkans. In general, the EU member countries are more liquid than the nonmember countries. Turkey, however, has the most liquid market, wh ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/178178
Description: We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 US industry portfolios. Using a four-factor asset pricing model we measure contagion as the excess co ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/151622
Description: Existing literature suggests that conditional correlations between equity markets vary over time, and increase over periods of financial crises. The author tests this hypothesis on a set of eight nati ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130568
Description: I investigate the impact of the Global Financial Crisis (GFC) on the returns and volatilities of eleven major European share markets, and test the proposition that the GFC developed over two stages: a ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/118355
Description: We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalan ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics | G14 | G15 | C52
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114771
Description: We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodit ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/105353
Description: We investigate time series linkages between the EU carbon allowance price and the prices of coal, oil, natural gas and electricity. We find no long-run relationship between the variables, but instead ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/97030
Description: I examine interdependencies between the national stock markets of the US, the UK, Japan and Australia, and consider their implications for international portfolio diversification over the 1971-2010 ti ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/92902
Description: We use the cost-of-carry model to investigate the extent of market efficiency in the EU futures market for carbon dioxide allowances over the period of June 2005 to December 2007. We reject the cost-o ... More
Reviewed: Reviewed
Date: 2005
Subject Keyword: 140200 Applied Economics | housing | prices
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/6639
Description: This paper aims to explain changes in real house prices in Australia from 1970 to 2003. We develop and estimate a long-run equilibrium model that shows the real long-run economic determinants of house ... More
Reviewed: Reviewed
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