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National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns, A. C. Worthington
National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns, A. C. Worthington
Faculty of Business - Accounting & Finance Working Papers
This note examines the presence of a Melbourne Cup effect in Australian daily stock returns over the forty-five years from 3 January 1961 to 30 December 2005. First run in 1861, the Melbourne Cup is regarded as Australia’s premier horse race and one of the world’s leading handicaps. Parametric tests of differences in means and a regression-based approach are used to test for the effect alongside conventional day-of-the-week (Tuesday) and month-of-the year (November) effects. The results indicate that the mean Melbourne Cup Day return of 0.1916 is significantly higher than the mean return for other Tuesdays in November (-0.2345), Tuesdays …
Weak-Form Market Efficiency In Asian Emerging And Developed Equity Markets: Comparative Tests Of Random Walk Behaviour, A. C. Worthington, H. Higgs
Weak-Form Market Efficiency In Asian Emerging And Developed Equity Markets: Comparative Tests Of Random Walk Behaviour, A. C. Worthington, H. Higgs
Faculty of Business - Accounting & Finance Working Papers
This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The serial correlation and runs tests conclude that all of the markets are weak-form inefficient. The unit root tests suggest weak-form efficiency in all markets, with the exception of Australia …
Australian Fine Art As An Alternative Investment, A. C. Worthington, H. Higgs
Australian Fine Art As An Alternative Investment, A. C. Worthington, H. Higgs
Faculty of Business - Accounting & Finance Working Papers
In this study, 35,805 paintings by forty-five leading Australian artists sold at auction over the period 1973-2003 are used to construct individual hedonic price indices. The attributes included in each artist’s hedonic regression model include the size and medium of the painting and the auction house and year in which the painting was sold. The indexes show that average annual returns across all artists range between four and fifteen percent and with a mean of eight percent, with the highest returns for works by Brett Whiteley, Jeffrey Smart, Cecil Brack and Margaret Olley. Risk-adjusted returns are generally lower, with reward-to-volatility …
Coverage, Knowledge And Perceptions Of Superannuation In Australia, A. C. Worthington
Coverage, Knowledge And Perceptions Of Superannuation In Australia, A. C. Worthington
Faculty of Business - Accounting & Finance Working Papers
Binary logit models are used to predict coverage, knowledge and perceptions of superannuation on the basis of individual demographic, socioeconomic and financial characteristics. The data is drawn from the 2003 ANZ Survey of Adult Financial Literacy in Australia and relates to 3,548 respondents. Knowledge of superannuation is defined, amongst other things, in terms of understanding superannuation fees and charges and statements, recognising the voluntary and compulsory nature of additional employee and employer contributions and the recognising the lower taxation of superannuation compared to other investments. Factors examined include gender, age, ethnicity, occupation, educational level and family structure, along with household …
Market Risk In Demutualised Self-Listed Stock Exchanges: An International Analysis Of Selected Time-Varying Betas, A. C. Worthington, H. Higgs
Market Risk In Demutualised Self-Listed Stock Exchanges: An International Analysis Of Selected Time-Varying Betas, A. C. Worthington, H. Higgs
Faculty of Business - Accounting & Finance Working Papers
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A bivariate MA-GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to be mean-reverting. These findings are used to suggest that despite concerns that demutualised and self-listed exchanges entail new market risks that merit regulatory intervention, the …