Details about Eduardo Dacillo Roca

Access statistics for papers by Eduardo Dacillo Roca.

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Short-id: pro225

Working Papers

2011

1. Are Real Estate Markets Integrated with the World Market?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
2. Re–Designing Financial Systems: A Review of the Role of Stock Markets in Developing Economies
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2010

3. An Empirical Investigation of Consumption CAPMs in the Australian Market
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
4. Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
5. Do Pacific Basin Investors Value Corporate Sustainability?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
6. Estimating Optimal Hedge Ratio with Unknown Structural Breaks
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
7. Hedging With Futures Contract: Estimation and Performance Evaluation of Optimal Hedge Ratios in the European Union Emissions Trading Scheme
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
8. Is Corporate Sustainability valued by Australian Investors?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
9. Macroeconomic Conditions and Capital Structure: Evidence from Taiwan
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
10. The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
11. The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
12. The Performance of Socially Responsible Investments Across Different Market Regimes
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2009

13. What Determine Mortgage Yield Spreads in Australia? Credit Criteria, Funding Channels and the Market Condition
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2004

14. The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
    Econometric Society 2004 Australasian Meetings, Econometric Society

Undated

15. 2012-10 Does the Carbon Market Help or Hurt the Stock Price of Electricity Companies? Further Evidence from the European Context
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
16. 2012-19 Re-designing banking structures: Are there lessons to be learnt from socialist systems? A study of five ASEAN economies
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

Journal Articles

2013

1. The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context
   Journal of Asian Economics, 2013, 24, (C), 51-65

2012

2. A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
   Applied Economics, 2012, 44, (11), 1443-1448
3. Are securitised real estate markets efficient?
   Economic Modelling, 2012, 29, (3), 684-690
4. Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series
   Applied Economics Letters, 2012, 19, (4), 373-377
5. Macroeconomic Conditions and Capital Structure over the Business Cycle: Further Evidence in the Context of Taiwan
   Emerging Markets Finance and Trade, 2012, 48, (S3), 141-156
6. Which way does water flow? An econometric analysis of the global price integration of water stocks
   Applied Economics, 2012, 44, (23), 2935-2944

2011

7. How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
   Economic Modelling, 2011, 28, (6), 2560-2565

2010

8. Are socially responsible investment markets worldwide integrated?
   Accounting Research Journal, 2010, 23, (3), 281 - 301
9. Should funds invest in socially responsible investments during downturns?: Financial and legal implications of the fund manager's dilemma
   Accounting Research Journal, 2010, 23, (3), 254 - 266

2008

10. An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach
    Applied Financial Economics, 2008, 18, (7), 583-597 View citations (1)
11. Estimating banks' equity duration: a panel cointegration approach
    Applied Financial Economics, 2008, 18, (14), 1173-1180
12. Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
    Economia Internazionale / International Economics, 2008, 61, (4), 665-685

2007

13. Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners
    Applied Financial Economics, 2007, 17, (10), 827-835

2006

14. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
    Economic Modelling, 2006, 23, (6), 993-1007 View citations (2)
15. Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
    Applied Economics Letters, 2006, 13, (5), 293-299 View citations (4)
16. Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?
    Economia Internazionale / International Economics, 2006, 59, (3), 295-316

2005

17. Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries
    Applied Financial Economics, 2005, 15, (8), 539-546 View citations (6)
18. LONG-TERM AND SHORT-TERM EQUITY MARKET PRICE INTERACTIONS BETWEEN AUSTRALIA AND THE CHINESE STATES *
    Australian Economic Papers, 2005, 44, (3), 221-230
19. US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11
    Economia Internazionale / International Economics, 2005, 58, (4), 449-470

2004

20. An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
    European Journal of Finance, 2004, 10, (6), 475-488 View citations (2)
21. Do birds of the same feather flock together?: The case of the Chinese states equity markets
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (3), 281-294 View citations (8)

2001

22. Australia and the three little dragons: are their equity markets interdependent?
    Applied Economics Letters, 2001, 8, (3), 203-207 View citations (5)

1999

23. Short-term and long-term price linkages between the equity markets of Australia and its major trading partners
    Applied Financial Economics, 1999, 9, (5), 501-511 View citations (21)