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Article
Publication date: 1 February 2003

Leonard Chong, Michael Drew and Madhu Veeraraghavan

This study examines the relationship between Australia's stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using…

280

Abstract

This study examines the relationship between Australia's stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen cointegration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Granger‐cause the Australian market.

Details

Pacific Accounting Review, vol. 15 no. 2
Type: Research Article
ISSN: 0114-0582

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Article
Publication date: 1 July 2006

Michael E. Drew, Mirela Malin, Tony Naughton and Madhu Veeraraghavan

Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to…

830

Abstract

Purpose

Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and whether the findings can be explained by the turn of the year effect.

Design/methodology/design

Monthly stock returns and market values of all listed firms in Germany and UK covering the period 1991‐2001 from Datastream are used as the basis of the evaluation.

Findings

The paper finds that the three‐factor model provides a better description of expected returns than the Capital Asset Pricing Model (CAPM). That is, it is found that firm size and idiosyncratic volatility are related to security returns. In addition, it is noted that the findings are robust throughout the sample period

Originality/value

The paper shows that the CAPM beta alone is not sufficient to explain the variation in stock returns.

Details

Studies in Economics and Finance, vol. 23 no. 2
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 4 September 2007

Michael E. Drew, Madhu Veeraraghavan and Min Ye

The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian…

1594

Abstract

Purpose

The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange.

Design/methodology/approach

Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period.

Findings

A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the magnitude and persistence of price momentum.

Research limitations/implications

Substantial momentum observed in monthly stock returns has investment implications. Abnormal returns vary from 0.3 to 7 per cent per month in the intermediate horizon.

Originality/value

This study provides an out of sample evidence by examining the relationship between “trading volume” (measured by the turnover ratio) and “momentum” strategies in an Australian setting.

Details

Managerial Finance, vol. 33 no. 10
Type: Research Article
ISSN: 0307-4358

Keywords

Available. Content available
Article
Publication date: 19 July 2011

1099

Abstract

Details

Accounting Research Journal, vol. 24 no. 1
Type: Research Article
ISSN: 1030-9616

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