FEMARC Publications
Publications, working papers and conference papers from FEMARC's projects
Chapters in books
D.E. Allen, "Further Australian Evidence on the Pecking Order Hypothesis", Studies in the Financial Markets of the Pacific Basin, Ed. T. Bos and T.A. Fetherston, Greenwich, CT. (1994), pp. 165-182.
D.E. Allen and G. MacDonald, "The Long-run Gains from International Diversification: Australian Evidence from Cointegration Tests", Managerial Finance in the Corporate Economy, Routledge and Kegan Paul, London (1995), pp. 13-27.
D.E. Allen, P.K.P. Lim and G. MacDonald, "The Relationship between Accounting Returns and Stock Market Returns: Australian Evidence", reading in Volume 1, Advances in Pacific Basin Financial Markets, JAI Press, Greenwood, (1995), pp. 167-192.
D.E. Allen and M. Patrick, "Some Further Australian Evidence on the Long-run Performance of Initial Public Offerings: 1974-1984", chapter in Advances in Pacific Basin Financial Markets 11, JAI Press, Greenwood, CT. (1996), pp. 133-155.
D.E. Allen, G. Black and G. MacDonald, "Cointegration and Tests of Present Value Models: Australian Evidence", Research in Finance, Supplement 2 (1996), ED., A.H. Chen and K.C. Chan, JAI Press, Greenwich, Connecticut, pp. 245-260.
Two chapters in a workbook Ed. by D. Morrison, to accompany R. Bruce, B. McKern, I. Pollard, and M. Skully, Handbook of Australian Corporate Finance, 4th Ed. (1997) Butterworths, Sydney. ISBN 0 409 49219 1. The chapters are chapter 4 "The Australian Stock Exchange" pp. 37-47, and chapter 11 "Finance Company Finance" pp. 121-129.
D.E. Allen, "Normal Backwardation on the Sydney Futures Exchange: How Normal is the SFE?", Business and Economics for the 21st Century, Vol.1 Ed. D. Kantarelis, Worcester, MA 01605, ISBN:0-9659831-0-2 (1997), pp. 106-116.
D.E. Allen with M. Clissold, "A Direct Test of the Pecking Order Hypothesis in an Australian Context", Advances in Pacific Basin Financial Markets IV, Ed. T. Bos and T. Featherston, JAI Press, Greenwood, CT. ISBN:0-7623-0319-0 (1998), pp. 335-357.
D.E. Allen, G. MacDonald, and H. Setiawan, "Long-Term and Short-Term Causal Relationships between Dividends and Stock Prices in Malaysia: A Time-Series Analysis in the Spirit of Lintner's Model", Advances in Pacific Basin Financial Markets, Part II. Investment Return Factors, Ed. T. Fetherston, JAI Press, Greenwood, CT. ISBN: 0762306424. Vol. 6 (March 2000).
Publications in Refereed Journals
D.E. Allen and G. MacDonald, "The Long-run Gains from International Equity Diversification: Australian Evidence from Cointegration", Applied Financial Economics, (1995), 5, pp. 33-42.
"Risk and Managerial Finance", chapter in edition of Managerial Finance Edited by D.E.Allen, (1995) Vol 21, pp. 1-14.
D.E. Allen and R. Prince, "Contrarian Investment Strategies: Australian Evidence on the Impact of Changing Risk", Applied Economic Letters (1995) Vol 2, pp. 280-283.
D.E. Allen and V. Rachim, "Dividend Policy and Stock Price Volatility: Australian Evidence", Applied Financial Economics (1996) 6, pp. 175-188. (This paper received an ANBAR Citation of excellence in 1997).
D.E. Allen, "Competitive Advantage and Approaches to Investment Appraisal: Procedures in Australia, Britain and Japan", International Journal of Business Studies (1996) Vol 4, No 2, pp. 1-20.
D.E. Allen and J. Chung, "Corporate Distress Prediction Studies: A Review of Model and Statistical Techniques in Corporate Prediction Studies", Accounting Research Journal (1998) Vol. 11, No. 1, pp. 245-269.
D.E. Allen, M. Clissold and H. Lisnawati, "Higgledy Piggledy Growth Revisited: Australian Evidence", The Australian Journal of Management (1998), 23, pp. 115-130.
S. Ang, L. Alles and D.E. Allen, "Riding the Yield Curve: An Analysis of International evidence", The Journal of Fixed Income, (1998), 23, pp. 57-74.
D.E. Allen and F. Cleary, "Determinants of the Cross-Section of Returns in the Malaysian Market", International Review of Financial Analysis, (1999), Vol. 7, No. 3, pp. 253-275.
D.E. Allen, N. Morkel-Kingsbury and W. Piboonthanakiat, "The Long-Run Performance of Initial Public Offerings in Thailand", Applied Financial Economics, (1999), No. 9, pp. 215-232.
D.E. Allen, J. Hill and L.C. Thomas, "Expert's Estimates of Task Durations in Computer Systems Development Project", International Journal of Project Management, Vol 18, No. 1, pp. 13-21.
D.E. Allen, Commonwealth of Australia, Official Committee Hansard, Senate Foreign Affairs, Defence and Trade, References Committee, AGPS Publishing Service, Canberra, reference "Examination of developments in contemporary Japan and the implications for Australia", (1999) FAD&T pp.176-190. Also available on the WWW at http://www.aph.gov.au/hansard/
D.E. Allen and M.L. Tan, "A Test of the Persistence in Performance of UK Managed Investment Funds", Journal of Business Finance and Accounting, (1999), Vol. 26, Nos 5&6, pp. 559-593.
D.E. Allen, N.J. Morkel-Kingsbury and W. Piboonthanakiat, "The Long-Run Performance of Initial Public Offerings in Thailand", Applied Financial Economics, (1999), Vol. 9, pp. 215-232.
D.E. Allen, L.C. Thomas and H. Zheng, "Stripping Coupons with Linear Programming", The Journal of Fixed Income (2000), Vol. 10, No. 2, pp. 80-87.
D.E. Allen, "Spare Debt Capacity: Company Practices in Australia, Britain, and Japan", The Australian Journal of Management (2000), Vol. 25, No. 3, pp. 299-326.
Conference Proceedings
Econometric Society Australasian Meeting (1996), The University of Western Australia, Proceedings, Vol 3, M. McAleer, P.W. Miller, and K. Leong, (Eds), D.E. Allen and G. MacDonald, "The Relationship between Stock Prices and Dividends: Evidence from the Australian Stock Market", The University of Western Australia Press, (July, 1996), ISBN (Book) 0-86422-485-0, pp. 43-69.
Econometric Society Australasian Meeting (1997), The University of Western Australia, Proceedings, Vol. 3, P. Bardsley and V.L. Martin, (Eds.), D.E. Allen, N. Souness and K. Walsh, "Panal Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts", The Economics Department, The University of Melbourne, 4 Vols, Volume 3, Macroeconometrics and Finance, (July, 1997), pp. 149-166.
Econometric Society Australasian Meeting (1998), Australian National University, "A Test of the Persistence in Performance of UK Mutual Funds", (July 1998), CD Rom.
Econometric Society Australasian Meeting (1999), University of Technology, Sydney, "Using Regression Techniques to Estimate Futures Hedge Ratios: Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures", (July 1999), CD Rom.
Working Papers
D.E. Allen and W.Piboonthanakiat, "The Long-run Performance of Initial Public Offerings in Thailand", School of Finance and Business Economics, Edith Cowan University (March 1996).
D.E. Allen, M. Clissold and H. Lisnawati, "Higgledy Piggledy Growth Revisited: Australian Evidence", Edith Cowan University, (March 1996).
D.E. Allen, G.D. MacDonald: "Excess Volatility and the Short Run Modelling of Australian Stock Prices" Working Paper, School of Finance and Business Economics, (September 1996).
D.E. Allen, G.D. MacDonald and N. Souness, "Minimum Variance Hedge Ratios on the Sydney Futures Exchange: estimates using cointegration", Working Paper, School of Finance and Business Economics, (October 1996).
D.E. Allen and N. Souness, "Normal Backwardation on the Sydney Futures Exchange: How Normal is the SFE?" Working Paper, School of Finance and Business Economics, (October 1996).
D.E. Allen and F. Cleary, "The Determinants of the Cross-Section of Returns in the Malaysian Stock Market", Working Paper, School of Finance and Business Economics, (March 1997).
D.E. Allen, N. Souness and K. Walsh, ’Panel Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts’, Working Paper, School of Finance and Business Economics, (May 1977).
D.E. Allen and L. Tan, "A Test of the Persistence in Performance of UK Mutual Funds", Working Paper, School of Finance and Business Economics, (February 1998).
D.E. Allen, J. Hill and L.C. Thomas, "Expert's Estimates of Task Durations in Computer Systems Development Project", Working Paper, School of Finance and Business Economics, (March 1998).
D.E. Allen and N. Morkel-Kingsbury, "A Model of the Speed of Australian Interest Rate Adjustment Using a Time-Series Approach", Working Paper, School of Finance and Business Economics, (March 1998).
D.E. Allen, G. MacDonald and H. Setiawan, "Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner's Model", Working Paper, School of Finance and Business Economics, (March 1998).
D.E. Allen, N. Morkel-Kingsbury and L. Thomas, "A Hidden Markov Chain Model for the Term Structure of Credit Risk Spreads", Working Paper, School of Finance and Business Economics, (May 1998).
D.E. Allen and N. Morkel-Kingsbury, "Beaver, McAnally and Stinson (1997): A Comment", Working Paper, School of Finance and Business Economics, (September 1998).
D.E. Allen and I. Chau, "A Test of Various Pricing Models on Options on Australian Bank Bill Futures", Working Paper, School of Finance and Business Economics, (September 1998).
D.E. Allen, G. MacDonald, D.Walsh and K. Walsh, "Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures", Working Paper, School of Finance and Business Economics, (January 1999).
D.E. Allen, M.H. Manzur and N.Morkel-Kingsbury, "The Term Structure of Interest Rates: A Multi-Country Study", Working Paper, School of Finance and Business Economics, (January 1999).
D.E. Allen and L. De Mello, "Forecasting the Equity Premium in the Australian Market", Working Paper, School of Finance and Business Economics, (February 2000).
D.E. Allen and Wenling Yang, "A Time-Series Analysis of Stock Prices and Accounting Earnings Dynamics", Working Paper, School of Finance and Business Economics, (March 2000).
D.E. Allen, L.C. Thomas and H. Zheng, "Stripping Coupons with Linear Programming", Working Paper, School of Finance and Business Economics. Download
D.E. Allen and S.N. Cruickshank, "Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK", Working Paper, School of Finance and Business Economicss (2000). Download
D.E. Allen and S.N. Cruickshank, and G. MacDonald, ", Purchasing Power Parity - Evidence from a New Panel Test", Working Paper, School of Finance and Business Economics (September 2000).
D. Allen and W. Yang, (2001), "M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets", Edith Cowan University, School of Finance and Business Economics, Working Paper Series. Download
D. Allen and W. Yang, (2001), "What moves stock markets? Evidence that UK stock prices deviate from fundamentals", Edith Cowan University, School of Finance and Business Economics, Working Paper Series. Download
D. Allen and J. Parwada, (2001), "Investors’ Response to Mutual Fund Company Mergers", School of Finance and Business Economics, Working Paper Series.
Working papers produced are available from a number of sources on the world wide web, such as the Working Paper Series of Edith Cowan University's School of Finance and Business Economics, or our papers can also commonly be found on the Social Sciences Research Network .
Working papers currently available from the SSRN network include:
D.E. Allen, S. Cruickshank and N. Morkel-Kingsbury, "A Comment on ’The Information Content of Earnings and Prices: A Simultaneous Equations Approach’ by W.H. Beaver, M.L. McAnally and C.H. Stinson (1997)", Working Paper, School of Finance and Business Economics, (1999). Download
D.E. Allen and V. Soucik, "Long Run Underperformance fo Seasoned Equity Offerings: Fact or an Illusion?", Working Paper, School of Finance and Business Economics, (1999). Download
D.E. Allen and V. Soucik, "Performance of Seasoned Equity Offerings in a Risk Adjusted Environment", Working Paper, School of Finance and Business Economics, (1999). Download
L. C. Thomas, D.E. Allen, N. Morkel-Kingsbury, "A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads", Working Paper, School of Finance and Business Economics, (1999). Download
D.E. Allen, S. Cruickshank, N. Morkel-Kingsbury and N. Souness (1999) "Backward to the Future: a test of three futures markets" Edith Cowan University, School of Finance and Business Economics, Download
D.E. Allen and Wenling Yang, "Variation of share prices due to fundamental and non-fundamental Innovations", Working Paper, School of Finance and Business Economics, (forthcoming February 2000). Download
D.E. Allen and V. Soucik, "In Search of True Performance: Testing Benchmark-Model Validity in Managed Funds Context", Working Paper, School of Finance and Business Economics, (March 2000). This paper is currently in the top ten downloads section for the market efficiency category of the SSRN. Download
Conference Presentations
Accounting Association of Australia and New Zealand Annual Conference, Christchurch Town Hall, Christchurch, New Zealand, "A Direct Test of the Pecking Order Hypothesis in an Australian Context", (8 July 1996).
Financial Management Association Annual Conference, Sheraton Hotel, New Orleans, "A Direct Test of the Pecking Order Hypothesis in an Australian Context", (10 October 1996).
British Accounting Association National Conference 1997, Birmingham Conference Centre, UK, "The Determinants of the Cross-Section of Returns in the Malaysian Stock Market", (25 March 1997).
Econometric Society Australasian Meeting 1997, University of Melbourne, "Panal Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts", (2 July 1997).
Business & Economics Society International 1997 Conference, Athens, Greece, "Normal Backwardation on the Sydney Futures Exchange: How ’normal’ is the SFE?", (19 July 1997).
Quantitative Methods in Finance Conference 1997, Cairns, Qld, Risk Assessment and Management, Dynamic Asset Allocation Session, "Minimum Variance Hedge Ratios on the Sydney Futures Exchange", (29 August 1997).
Financial Management Association Conference 1997, Honolulu, Hawaii, "Minimum Variance Hedge Ratios on the Sydney Futures Exchange", (16 October 1997).
Financial Management Association Conference 1997, Honolulu, Hawaii, "The Determinants of the Cross-Section of Returns in the Malaysian Stock Market", (17 October 1997).
British Accounting Association Conference 1998, UMIST, Manchester, "A Test of the Persistence in Performance of UK Mutual Funds", (2 April 1998).
British Accounting Association Conference 1998, UMIST, Manchester, "Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: A Time-Series Analysis in the Spririt of Lintner's Model", (2 April 1998).
Econometric Society Australasian Meeting 1998, Australian National University, Canberra, "A Test of the Persistence in Performance of UK Mutual Funds", (10 July 1998).
Nippon Finance Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda, Tokyo, "A Test of the Persistence in Performance of UK Mutual Funds", (22 July 1998).
Nippon Finance Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda, Tokyo, " Long-Term and Short-Term Causal Relationships Between Dividends and Stock Prices in Malaysia: A Time-Series Analysis in the Spririt of Lintner's Model", (22 July 1998).
Australasian Banking and Finance Conference 1998, Hilton Hotel, Sydney, "A Test of Various Pricing Models on Options on Australian Bank Bill Futures", (15 December 1998).
Quantitative Methods in Finance Conference, Manley Pacific Hotel, Sydney, "A Hidden Markov Chain Model for the Term Structure of Credit Risk Spreads", (16 December 1998).
European Financial Management Association EFMA 1999 Annual Meeting, Paris, France, (June 23-26 1999)
ESAM99, Australasian Meeting of the Econometric Society, University of Technology, Sydney, "Using regression techniques to estimate futures hedge ratios, some results from alternative approaches applied to Australian 10 year treasury bond futures", (7 July 1999).
Eleventh Annual PACAP/FMA Finance Conference, Pacific Baisn Financial Management Society Annual Meeting, Pan Pacific Hotel, Singapore, "Using regression techniques to estimate futures hedge ratios, some results from alternative approaches applied to Australian 10 year treasury bond futures", (8-10 July 1999).
Eleventh Annual PACAP/FMA Finance Conference, Pacific Baisn Financial Management Society Annual Meeting, Pan Pacific Hotel, Singapore, "The term structure of interest rates: a multi-country study", (8-10 July 1999).
Asia Pacific Finance Association 1999 Conference, Melbourne Convention Centre, "Using regression techniques to estimate futures hedge ratios, some results from alternative approaches applied to Australian 10 year treasury bond futures", (11-14 July 1999).
Financial Management Association Annual Conference Meeting, The Marriott Hotel, Orlando, Florida, USA, "Interest Rate Term Premia and Purchasing Power Parity: the Missing Link?", (8 October 1999).
12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "A Comment on ’The Information Content of Earnings and Prices: A Simultaneous Equations Approach’ by W.H. Beaver, M.L. McAnally, and C.H. Stinson (1997)", (16 December 1999).
12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?", (16 December 1999).
12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Backward to the Futures: A Test of Three Futures Markets", (16 December 1999).
12th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Performance of Seasoned Equity Offerings in a Risk Adjusted Environment" (17 December 1999).
Fourth Annual European Meeting of the FMA, Crown Plaza Hotel, Edinburgh, Scotland, "Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK" (May 25&26, 2000).
AAANZ 2000 Conference, Hamilton Island, Qld, " Variation of Share Prices Due to Fundamental and Non-fundamental Innovations" (2-4 July, 2000).
12th Annual PACAP/FMA Finance Conference, The University of Melbourne, Melbourne, "Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK" (6-8 July, 2000).
12th Annual PACAP/FMA Finance Conference, The University of Melbourne, Melbourne, "In Search of True Performance: Testing Benchmark-Model Validity in Managed Funds Context" (6-8 July, 2000).
7th Annual APFA Conference, The Hong Kong Polytechnic University, Grand Hyatt, Shanghai, China, "In Search of True Performance: Testing Benchmark-Model Validity in Managed Funds Context" (24-26 July, 2000).
7th Annual APFA Conference, The Hong Kong Polytechnic University, Grand Hyatt, Shanghai, China, "Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK", (24-26 July, 2000).
7th Annual APFA Conference, The Hong Kong Polytechnic University, Grand Hyatt, Shanghai, China, "Variation of Share Prices Due to Fundamental and Non-fundamental Innovations", (24-26 July, 2000).
13th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "Interest Rate Term Premia and Purchasing Power Parity Deviations: The Missing Link?" (18-20 December 2000).
13th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney, "In Search of True Performance: Testing Benchmark - Model Validity in Managed Funds Context; (18-20 December 2000).
2001 FMA European Conference, Paris, France, "What Moves Stock Markets? Evidence That UK Stock Prices Deviate From Fundamentals" (May 30 - June 1, 2001).
EFMA 2001 Annual Meeting, Lugano, Switzerland,"Variation of share prices due to fundamental and non-fundamental innovations", (June 27-30, 2001).
8th Annual APFA Conference, Shangri-La Hotel, Bangkok, Thailand "Purchasing Power Parity: A New Panel Test", (22-25 July, 2001).
8th Annual APFA Conference, Shangri-La Hotel, Bangkok, Thailand "M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets", (22-25 July, 2001).
8th Annual APFA Conference, Shangri-La Hotel, Bangkok, Thailand "Investors’ Response to Mutual Fund Company Mergers", (22-25 July, 2001).
8th Annual APFA Conference, Shangri-La Hotel, Bangkok, Thailand "What moves stock markets? Evidence that UK Stock Prices Deviate from Fundamentals", (22-25 July, 2001).
Philip Brown Symposium (UWA), Perth, "Variation of Share Prices Due to Fundamental and Non-Fundamental Innovations", (10-11 December, 2001)
Philip Brown Symposium (UWA), Perth, "Forecasting Profitability and Earnings: A study of the UK stock market (1982-2000)", (10-11 December, 2001)
International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Mutual Fund Company Mergers and Their Impact on Investment Flows", (10-13 December, 2001).
International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Do UK Stock Prices Deviate from Fundamentals?", (10-13 December, 2001).
International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Hedging, Financial Distress and Managerial Risk Aversion: Evidence from Australia Gold Mining Industry", (10-13 December, 2001).
International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Time-varying Conditional Correlations in Asia-Pacific Equity Markets", (10-13 December, 2001).
International Congress on Modelling and Simulation MODSIM 2001, The Australian National University, Canberra "Another Look at the Size and Book-to-Market Effects on Stock Returns", (10-13 December, 2001).
14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "Forecasting Profitability and Earnings: A study of the UK Stock market (1982-2000)", (17-19 December 2001).
14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "M-Garch Hedge Ratios and Hedging Effectiveness in Australian Futures Markets", (17-19 December 2001).
14th Annual Australasian Finance and Banking Conference, The University of New South Wales, Sydney "The Duration Derby: A comparison of Duration based Strategies in Asset Liability Management", (17-19 December 2001).
Publications Prof. A.M. Masih:
A. Masih, "Long and Short-Term Dynamic Causal Transmission Amongst International Stock Markets", Journal of International Money and Finance, (2001), 20(4) (with R. Masih) (forthcoming).
A. Masih, "Price Discovery Between Informationally Linked Markets During Different Trading Phases", Journal of Financial Research, (2001, forthcoming) (with A. Hodgson and R. Masih).
A. Masih, "Common Stochastic Trends and the Dynamic Linkages Driving European Stock Markets: Evidence From Before, After and During the Crash of October 1987", European Journal of Finance, (2001, forthcoming), (with R. Masih).
A. Masih, "Multivariate Information Dynamics Between Prices and Futures Trading Volume", Quantitative Finance and Accounting, (forthcoming), (with A. Hodgson and R. Masih).
A. Masih, 2000, "A Reassessment of Long-Run Elasticities of Japanese Import Demand: An Application of Dynamic OLS", Journal of Policy Modelling, 22(5), 625-639 (with R. Masih).
A. Masih, "A Propagative Causal Price Transmission Among Major International Stock Exchnages: Evidence from the Pre- and Post-Globalisation Period, Global Finance Journal, (2000), (with R. Masih,) (forthcoming). This paper received the Global Finance conference ’Best Paper’ Award sponsored by Chicago Stock Exchange at their annual confrence held at Chicago in April 2000.
A. Masih, 2000, "East Asia's Financial Crisis: Lessons for South Asia, International Journal of Business Studies, 8(1), 71-86 (with R. Masih).
A. Masih (1999), "Are Asian Stock Market Fluctuations Due Mainly to Intra-Regional Contagion Effects? Evidence Based on Asian Emerging Stock Markets", Pacific-Basin Finance Journal, 7(3,4), 251-282 (with R. Masih). This paper was awarded the best paper prize by PACAP/FMA International Conference of Finance, 1998.
A. Masih, (1999), "Is a Significant socia-Economic Structural change a Pre-requisite for ’Initial’ Fertility Decline in the LDCs? Evidence form Thailand, Journal of Population Economics, 12(3), 443-466 (with R. Masih).
A. Masih (1999) "Dynamic Price Relationships Between Small and Large Stocks",Accounting Research Journal, 12 (2), 151-162 (with A. Hodgson and R. Masih).
A. Masih (1999), "Addendum to ’Does Money Cause Prices or the Other Way Around? Some Multi-country Econometric Evidence Including Error-Correction Modelling from South-East Asia’", Journal of Economic Studies, 26(2), 172-176 (with R. Masih).
A. Masih, (1998), "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data With Low Frequency Dynamics", Journal of Business Finance and Accounting (JBFA), 25(7&8), 987-1003 (with R. Masih).
A. Masih (1998), "A Fractional Cointegration Analysis of the Long-Run Relationship Between Black and Official Foreign Exchange Rates: The Case of the Brazilian Cruzeiro, Applied Economics, 30, 853-861 (with R. Masih.This paper was given the ANBAR International Award for highes quality rating on the basis of citations and by an international panel of judges, 1999.
A. Masih (1998), "Does Money Cause Prices or the Other Way Around? Some Multi-Country Econometric Evidence Including Error-Correction Modelling From South-East Asia", Journal of Economic Studies, 25(3), pp. 138-160 (with R. Masih).This paper was given the ANBAR International Award for highest quality rating on the basis of citations and by an international panel of judges, 1999.
A. Masih (1998), "Money-Output Causality in a Dynamic Multivariate Context: An Application of Macroeconometric Time Series Modelling", Rivista Internazionale di Scienze Economiche e Commerciali (International Review of Economics and Business), 45(1), 185-208 (with R Masih).
A. Masih (1998), "A Multivariate, Cointegrated Modelling Approach to Testing Temporal Causality Among Energy Consumption, Real Income and Prices With An Application To Two Asian LDCs", Applied Economics, 30, 1287-1298 (with R. Masih). This paper was given the ANBAR International Award for highest quality rating on the basis of citations and by an international panel of judges, 1999.
A. Masih (1997), "On the Temporal Causal Relationship Between Energy Consumption, Real Income and Prices: Some New Evidence From East-Asian Energy Dependent NICs Based on a Multivariate Cointegration/Vector Error-Correction Approach", Journal of Policy Modeling, 19(4), 417-440 (with R. Masih).
A. Masih (1997), "Dynamic Linkages and the Propagation Mechanism Driving Major International Stock Markets: An Analysis of the Pre- and Post-Crash Eras", Quarterly Review of Economics & Finance, 37(4), 859-885 (with R. Masih).
A. Masih (1997), "Bivariate & Multivariate Tests of Money-Price Causality: Robust Evidence From a Small Developing Country", Journal of International Development [Formerly: Manchester Papers on Development], 9(6), 803-825 (with R. Masih).
A. Masih (1997), "A Comparative Analysis of the Propagation of Stock Market Fluctuations in Alternative Models of Dynamic Causal Linkages", Applied Financial Economics, 7, 59-74 (with R. Masih).
Conference Presentations and Conference Proceedings Prof A.M. Masih
International Conference of Finance, Lille, France (1998), "Fractional Cointegration, Low Frequency Dynamics and Long-run Purchasing Power Parity: An Analysis of the Australian Dollar".
Econometric Society: Australasian Meeting (1998), Australian National University, Canberra, Australia, "Long and Short-Term Dynamic Linkages Amongst Asian Emerging Pacific-Rim Stock Markets".
Sixth International Convention of the EastAsian Economic Association (1998), Kitakyushu, Japan, "Is a Significant Socia-Economic Structural Change a Pre-Requisite for ’Initial’ Fertility Decline in the LDC’s? Evidence from Thailand."
PACAP/FMA Finance Conference (1998), Kuala Lumpur, Malaysia, "Are Asian Stock Market Fluctuations Due Mainly to Intra-Regional Contagion Effects? Evidence based on Asian Emerging Markets" (This paper was awarded the best paper prize by the Pacific Basin Financial Management Society which organised the above international conference).
Econometric Society Indian and South East Asian Meeting (1998), Universiti Malaysia Sarawak, Malaysia, "Price Discovery and Intra-Market Short- and Long-Term Temporal Linkages in an Emerging Stock Market: Vector Error Correction Model and Toda-Yamamoto Level VAR Approaches".
"Long- and Short-Term Dynamic Interactions between the Major International Stock Markets and Malaysian Stock Market", Proceedings of the 1997 National Outlook Conference, Malaysian Institute of Economic Research, Kuala Lumpur, Malaysia (December 1997), (with R. Masih).
Other staff papers:
L. Lim, "Is There an ASEAN Convergence Club?", Proceedings of the International Congress on Modelling and Simulation, Vol. 2, edited by L. Oxley, M. McAleer and F. Scrimgeour, University of Waikato, Hamilton, New Zealand, 1999, pp. 375-380 (with M. McAleer).
L. Lim, "Is Singapore Catching Up Technologically to the USA?", Proceedings of the International Congress on Modelling and Simulation, Vol. 2, edited by L. Oxley, M. McAleer and F. Scrimgeour, University of Waikato, Hamilton, New Zealand, 1999, pp. 381-386 (with M. McAleer).
L. Lim, "Economic Growth in Malaysia: Is It Exogenous Or Endogenous?", in Proceedings of the International Congress on Modelling and Simulation, Vol. 3, edited by A.D. McDonald and M. McAleer, University of Tasmania, Hobart, 1997, pp. 1299-1304.
L. Lim, "Economic growth and technological catching up by Singapore to the USA", to appear in Mathematics and Computers in Simulation (with M. McAleer).
S. Li, An empirical study of Australian short-term interest rates: a comparison of single factor model, 2000, submitted.
S. Li, A valuation model for firms with stochastic earnings, 2000, submitted. S. Li, On a degenerate parabolic equation with singular convection. Non-linear Analysis T.M.&A., Vol. 27, No. 1, 1997.
S. Li, The parameter dependence of the coefficient in a model for constant-pressure steam injection in soil. Mathematical Models and Methods in Applied Sciences, Vol. 7, No. 5, 593-612, 1997 (with B.H. Gilding).
S. Li, Fourier series solution for an unsaturated flow with extraction. Mathematica Applicata, 10 (4), 71-75, 1997.
S. Li, A free boundary problem in bedform evolution of alluvial river system. Journal of Tsinghua Science and Technology, Vol. 2, No. 4, 1997 (with Yang Tiesheng).
S. Li, Closed-form solution for a moving boundary problem.Journal of Tsinghua Science and Technology, Vol. 3, No. 4, 1233-1235, 1998 (with G. Sweers).
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