Robert Brooks

• Monash University (Australia)

The influence of religiosity on stock price performance continues to be a subject of debate, particularly in dual banking systems, where Islamic banks (IBs) operate alongside conventional banks (CBs). This study uses an extensive dataset and applies a recursive window-based asymmetric VAR-GARCH-in-mean-BEKK model to examine the impact of oil price...

We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23,...

This paper investigates the relationship between oil and airline stock returns under different time frequencies. First, we propose an Autoregressive moving average model with mixed frequency exogenous variable to analyse the different impacts of oil on airline stock returns on daily, weekly, and monthly basis. We consistently find a negative oil-ai...

This paper examines the volatility transmission from the oil market to Islamic banks’ (IBs) share prices in two sets of data from oil exporters and importers. Our datasets comprise indices developed from banks’ stocks of eight oil-exporting countries, including 41 IBs and 90 conventional banks (CBs), and five oil-importing countries, with 23 IBs an...

We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coeffici...

This paper investigates the dynamic cross-market correlations and its crucial drivers between the United States (U.S.) stock and currency market and foreign markets during the U.S. Quantitative Easing (QE) periods. We focus on countries with strong trade and financial linkages with the U.S., including Australia, Canada, and Mexico. Our empirical an...

We extend an observable Markov Regime Switching framework to assess the switching behaviour of asset classes of Australian superannuation funds across different fund sizes. We identify the most prominent asset class which contributes to the performance of the investment options and what factors trigger funds’ decisions on rebalancing their portfoli...

The ongoing COVID-19 pandemic has inspired an examination of the oil–gold prices nexus during four recent crises: the COVID-19 pandemic, the gold market crash, the European sovereign debt crisis, and the global financial crisis. Using daily data from May 2007–August 2021, we employ the nonlinear autoregressive distributed lag method to reveal five...

We assess the jump connectedness (spillover) among five Group-of-Ten European currencies, namely the Swiss Franc, the Euro, the British pound, the Norwegian Krone, and the Swedish Krone. Our analysis covers a period starting from January 1999 to January 2018. Overall, we find evidence of jump connectedness in the Group-of-Ten European currencies, i...

The strong volatility spillover between crude oil and agricultural commodity markets reduces the diversification benefits and implies costly risk management process faced by portfolio managers and agricultural producers. This paper proposes a comprehensive study of their dynamic implied volatility spillover effects after the global financial crisis...

We examine whether heteroskedasticity in measurement errors improves the volatility forecasting ability of the Heterogenous Autoregressive (HAR) model in crude oil and biofuel feedstock markets. We also examine the incremental explanatory power of jumps and the investor fear gauge (IFG) over heteroskedasticity in measurement errors in improving the...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad volatilities by using realized semivariances. We find that the...

We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countrie...

This paper comprehensively discusses the dynamic relationship between commodities and commodity currencies during the U.S. quantitative easing, by integrating the generalized spillover index into a fractionally integrated VAR model. Our empirical analyses reach the following conclusions. First, the static return and volatility spillovers analyses s...

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over...

Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why th...

In this paper the authors extend the analysis in Woodward and Brooks (2010) to derive a generalized form of Merton's (1981) dual beta market timing model that allows for continuous adjustment of portfolio beta in response to changing market conditions, and also includes the dual beta model as a special case. The model provides a more realistic repr...

This paper examines the relationship between foreign shareholding and stock price efficiency for Malaysian public listed firms over the 2002–2009 sample period. We use stock price delay as an inverse measure of price efficiency, and consider the speed of adjustment to local and global common factor information. The results show that foreign investo...

We examine the linkages both within and between stock and foreign exchange (FX) markets via three higher moments of return distributions (volatility, skewness and kurtosis). We find that FX market linkages (in the 2nd and 4th moments) are relatively more prominent in developed markets. Cross-asset markets in emerging countries are more likely to be...

We employ high frequency data to investigate the spill-over effect between stock and foreign exchange (FX) markets in terms of return higher moments. We find a positive and bidirectional realized volatility spill-over effect between stock and FX markets. This result holds regardless of market properties (developed vs. emerging) and periods (crisis...

Despite many studies investigating the relationship between match uncertainty and the demand for sport (in particular, attendance), the evidence is mixed. Even fewer studies have focused on TV audiences as an important segment of the consumer market. This paper bridges this gap by testing the uncertainty-of-outcome hypothesis on television viewing...

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the period from 1996 - 2013, we find that the higher moments...

Underwriting, legal, accounting and valuation costs average around 3.3%, 0.39%, 0.23% and 0.12% of proceeds raised and are substantial costs to property trust initial public offering (IPO) issuers. As such, identifying factors that influence these costs is important. This paper investigates factors influencing these costs as well as the total direc...

The first aim of this study was to test empirically the effect of HR political skill on the relationship between high involvement work practices and organisational performance. A second aim was to test empirically whether an HR executive can use their political skill advantageously within strategic decision-making processes in order to affect organ...

Given the current state of the world capital markets, more emphasis is being placed on the growing importance of credit rating agencies in providing standardised assessment of credit risk. One of the main applications of credit ratings is to assess the risk exposure of a national market. Sovereign credit ratings often serve as a ceiling for private...

Water markets have been used by Australian irrigators as a way to reduce risk and uncertainty in times of low water allocations and rainfall. However, little is known about how irrigators’ bidding trading behavior in water markets compares to other markets, nor is it known what role uncertainty and a lack of water in a variable and changing climate...

This paper explores relationships in price and volumes across two trading zones of the water allocation market in the Goulburn-Murray Irrigation District in Northern Victoria. Previous papers have explored the reasons for price variations across trading zones within this region, our focus is to add to this literature by analysing how information is...

We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperfor...

This study focuses on banking crisis identification and determinants. It identifies banking crisis dates over the period 1995 to 2010 using market information embedded in banking stocks via a Markov Switching Autoregressive model, which captures regime shifting behaviour in both the mean and variance of returns for bull, bear and crisis regimes. Us...

Traditional asset pricing models postulate that high risk investments are usually associated with higher returns. However, this does not hold in the relationship between credit risk and return. There is a known credit risk-return puzzle, which highlights a negative relationship between credit risk and the stock market returns. The objective of this...

This study analyses the relationship between patenting activity and financial performance at the Malaysian firm level for firms that have been granted patents in Malaysia and the United States of America. We adopt the patent renewal and profit maximization model as our theoretical underpinning for this study. The patenting activity variables are me...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)’ sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012. We find evidence across rating regimes to support the...

This paper studies the impact of a sovereign rating change of a particular country on the stock markets of those countries to which it is closely related in individual pairs. We equally test the impact of other countries rating changes on the stock market of one particular country using a sample of ten countries for the period January 1989 to Decem...

This paper explores a case of using data from a fantasy sports competition (the AFL Dream Team competition) to teach the core concepts in statistical sampling and the central limit theorem as they apply to problems of inference regarding the population mean.

While a large body of literature has investigated the content of human resource management (HRM) practices, this research explores the process through which the HRM function impacts on organisational performance. Specifically, the research explores the reasons for the success or failure of HRM initiatives that have been associated with organisation...

This paper assesses the impact of asset backed ratings on the Merrill Lynch US Asset Backed Securities and Commercial Mortgage Backed Securities Index (CABs index) over a period January 1998 through to February 2010. In particular, we examine the relationship between ratings changes of the asset backed securities and the CABS index return. We furth...

This article analyses competitive balance in Formula 1 motor racing 1950-2010. It is shown that regulation change has had a significant positive impact on championship uncertainty but not on race uncertainty or long-term dominance. If television viewer suspense is positively related not only to championship uncertainty but also to absolute quality,...

Analysis of the sixty-nine juveniles tried for high treason before the People's Court in Nazi Germany between 1933 and 1945, based on the available court records, finds that juvenile resistance in Nazi Germany possessed a distinct form and character; it was a phenomenon rather than an exceptional act. Juvenile resisters charged with high treason we...

The finding of clustering in financial prices on particular digits is common across a broad range of financial markets. This article explores whether price clustering is also present in the case of the weekly market for seasonal water in rural Victoria, Australia. We find a similar degree of clustering in the seasonal water market. This suggests th...

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector and, therefore, is independent of the ordering of the end...

This paper examines the relationship between foreign shareholding and stock price efficiency for Malaysian public listed firms over the 2002-2008 sample period. We use stock price delay as an inverse measure of informational efficiency, and consider the speed of adjustment to local and global common factor information. The results show that foreign...

In the Australian context greater policy reliance has been placed on the role that market based solutions can play in solving problems in the allocation of irrigation water. In Northern Victoria one of the most active areas of water trading is in the Goulburn-Murray Irrigation District. To facilitate water trading in this area an electronic market...

Unconditional pricing models fail to support a positive risk–return trade-off. When excess market return is negative an inverse relationship between the capital asset pricing model (CAPM) beta and equal-weighted and value-weighted portfolio return is observed. To accommodate market movement in the pricing model, two volatility regimes (high/low) is...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes. We illustrate our model by investigating the effects of overall European Union (EU) sovereign creditworthiness assessments on the EU stock return distributions via their first four realized moments. We find dissimilar effects of...

We examine the effects of sovereign rating announcements on realized stock market return distributions during normal and financial crisis periods. Using an extensive set of intraday stock market index and sovereign ratings events for 75 countries around the world over the period 1996 - 2010, we find that stock market return distributions are indeed...

The analysis in this paper focuses on trends in the sources of Australian Football League (club and league) revenue and where that money is spent, and reinforces Dabscheck's (2012) general conclusion of the relatively small share (by international standards) of total revenue of major Australian sports leagues going to players. Examining where the r...

In 2007, amidst falling home prices and rising delinquencies in the subprime mortgage market in the United States (U.S.), credit rating agencies (CRAs) such as Standard & Poor’s, Moody’s Investor Service and Fitch Ratings were accused of bearing a strong responsibility for the crisis. In this paper, we assess the importance of credit ratings of str...

We reassess influences of trading volume on stock and currency return distribution while allowing the possibility of interactions among return higher moments. Given the evidence of the higher moments’ inter-relationship, we extend our analysis by exploring how trading volume affects the dynamic structure of higher moments’ inter-relationship. Our r...

We extend Harris and Zhao (2007) by proposing a (Panel) Inflated Ordered Probitmodel, and demonstrate its usefulness by applying it to Bank of England Monetary Policy Committee voting data.

In this article we consider the Australian Football League Players' Association (AFLPA) initial fixed percentage of revenue pay request for the 2012–2016 Collective Bargaining Agreement (CBA) with the Australian Football League (AFL) in the context of theoretical predictions of models of player salaries in both settings of profit-maximising and win...

This paper explores whether volatility linkages exist at the intra-daily frequency in the foreign exchange market, and whether market trading hours affect volatility transmission. To answer these questions, we apply the Fleming, Kirby and Ostdiek model (1998) to 21 currency pairs using hourly data and allowing specific consideration to be given to...

The global financial crisis has again brought the interdependencies of international financial markets to the fore, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the changes in correlations between national stock markets during the global financial crisis. Our results show...

In this chapter, the trend in violence in the Australian Football League (AFL) is examined for the period 2000–2009. We begin with a brief history of the league and the key features of the game. A distinction is made between controlled aggression and unsanctioned violence. The potential effects of both forms of violence on the future of the AFL are...

Dimovski and Brooks (J Intern Financ Mark Inst Money 14:267–280, 2004b) examined 358 Australian industrial and mining company initial public offerings (IPOs) from 1994 to 1999 to report that more money was left on the table by IPOs that engaged underwriters than those that did not engage underwriters. Loughran and Ritter (Autumn 5–37, 2004) suggest...

This article discusses the initial public offerings (IPO) market in China and reviews the literature on IPO underpricing. A variety of reasons for underpricing are examined, including information asymmetry, ex ante uncertainty, signaling hypothesis, ownership dispersion, and market feedback. Other features of the Chinese market, such as inequality...

The recent financial turmoils exemplify the importance of financial market linkages. This paper examines the linkages within-between stock and currency (FX) markets via three higher moments: realized volatility, skewness and kurtosis using the Generalized Impulse Response within a Fractionally Integrated VAR framework. We find evidences of positive...

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector and, therefore, is independent with the ordering of the v...

This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign exchange markets. Our findings show that the rating downgrad...

This article illustrates using carbon emissions data in an introductory statistics assignment. The carbon emissions data has desirable characteristics including: choice of measure; skewness; and outliers. These complexities allow research and public policy debate to be introduced.

This paper investigates the effect of the open policy introduced in 2002 to allow foreigners to invest in the Chinese ‘A’ share market on the Chinese domestic capital market, especially on the dependence between the financial index returns of the ‘A’ shares and those of some emerging markets, specifically Hong Kong, Singapore, Thailand, Korea and T...

This paper provides a systematic review of the weak-form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak-form efficient in the absolute sense,...

A healthy creative arts industry can contribute significantly to the economic and social fabric of a community. Unfortunately, regional areas often suffer from a lack of supply and demand for the creative arts. This article explores the demand for the creative arts in three regional locations in Victoria, Australia, using three broad dimensions of...

We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (US stocks and Treasury bonds), commodities (oil and gold) and real estate assets (US Case–Shiller index). We confirm the existence of two distinct regimes: a “tranquil” regime with periods of economic expansion...

In the literature, the multivariate tests of asset-pricing models are developed focusing on the characteristics of developed markets. For example, the pioneering Gibbons’ (1982) test of the “capital asset-pricing model” (CAPM) and Harlow and Rao’s (1989) test of the “mean lower partial moment” (MLPM) model both employ a “likelihood ratio test” that...

Purpose The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach Using a dynamic econometric approach that allows for both asymmetry and time‐varying risk exposures in both the exchange rate variable and the market variable, a large sample of Australian firms wer...

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama–French model. Conditional asset pricing models scaled by conditioning variables such as Trading Volume and Dividend Yield gener...

The main purpose of this paper is to explore the role of risk management, speculative industry competition effect and hot issue markets. We used a sample of 260 initial public offerings (IPOs) in the Australian resource sector for the 1994–2004 period to test the underpricing effect. We do not find any evidence that risk management can reduce the u...

This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate wheth...

This paper presents an analysis of the relationship between trading volume and stock returns in the Australian market. We test this hypothesis by using data from a sample of firms listed on the Australian stock market for a period of 5 years from January 2001 to December 2005. We explore this relationship by focusing on the level of trading volume...

We investigate agency variation in credit quality assessment (Standard and Poor's vs. Moody's vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period 1990-2006. While we find that the credit rating agencies often disagree about credit quality, it is usually confined to one or two notches on the finer scale. We find that s...

This paper employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of fifty countries over the sample period 1995 2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high-income g...

This paper investigates the price of discrimination and the identity of discriminators in Australia, using data from the Human Rights and Equal Opportunity Commission. To the extent that Becker's (1971) theory is correct, we anticipate greater levels of discrimination in less competitive sectors of the economy. The data do not support that notion....

This paper explores the debate on R&D policy in Australia via an analysis that compares the level of R&D in Australia to a cross-section of countries. Using survey data from the Global Competitiveness Report and economic data we find that R&D levels are consistent with expectations given business attitudes, the property rights regime and economic c...

This paper focuses on detecting hot and cold IPO cycles in the Chinese A-share market using a Markov regime switching model. We introduce a set of observations to measure IPO activities, which include numbers of IPOs issued, levels of underpricing, market conditions and duration time from prospectus and listing, and thus establish a model to estima...

This paper identifies banking crises dates based on market information embedded in banking stocks. Specifically, we estimate returns on banking indices around the world using a Markov Switching Autoregressive (MS-AR) model to capture regime shift behaviour in both the mean and variance from 1995 to 2010 with the sample of 77 countries. Overall, we...

This paper estimates the duration from offering to listing of Chinese A-share IPOs issued from 1994 to 2005. We firstly compare the effects of the two issuing systems on the length of this duration and find that the waiting time to listing has been shortened greatly after the Approval System is adopted. Secondly, this study emphasizes on exploring...

This paper presents a Bayesian approach to bandwidth selection for multivariate kernel regression. A Monte Carlo study shows that under the average squared error criterion, the Bayesian bandwidth selector is comparable to the cross-validation method and clearly outperforms the bootstrapping and rule-of-thumb bandwidth selectors. The Bayesian bandwi...

This study examines the role of oil prices in explaining ‘transport sector’ equity returns in 38 countries across the world. The findings of the study are strongly supportive of some role for oil prices in determining the transport sector returns for the countries falling within the ‘Developed’, ‘Europe’ and ‘G7’ groupings. In particular, by allowi...

An aspect of prospect theory posits that decision-makers, when making decisions in the face of risk, make their decisions with respect to a pre-existing reference point or ‘frame’ (the statusquo bias). We utilize data from the Australian version of the TV game show, Deal or No Deal, to explore whether risk aversion varies with a change in reference...

This paper explores the integration/segmentation between the US and Chinese stock markets. Our analysis extends the work of Jorion and Schwartz (1986) to a Fama-French framework using both Chinese and US Fama-French factors. Despite the ongoing liberalisation process in China our results support the segmentation hypothesis.

In the context of highly liquid markets and intra-day data, Engle and Lange (20013. Engle , R. and Lange , J. 2001. Predicting VNET: a model of the dynamics of market depth. Journal of Financial Markets, 4: 113–42. [CrossRef]View all references) successfully develop a measure of market depth they call VNET. This article explores the applicability...

This paper surveys existing literature to assess whether emerging stock markets are indeed less efficient than their developed counterparts. While this conventional wisdom receives empirical support from cross-country comparative studies, there are some emerging markets where their stock prices reflect relatively higher proportion of firm-specific...

This paper explores the relationship between volume and volatility in the Australian Stock Market in the context of a generalized autoregressive conditional heteroskedasticity (GARCH) model. In contrast to other studies who only examine the interaction of GARCH and volume effects on a small number of stocks, we examine these effects on the entire a...

In this paper we employ the STAR (smooth transition autoregressive) model to investigate potential nonlinearities, cyclical behaviour and duration dependence in the realized monthly betas of 39 US industry portfolios. Tests reject linearity for all but eight industries. The estimated nonlinear models suggest that industry betas are characterised by...