Details about Eduardo Dacillo Roca

Access statistics for papers by Eduardo Dacillo Roca.

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Short-id: pro225

Working Papers

2016

1. Yes, social housing in Australia desperately needs financial innovation!
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2015

2. Home Country Macroeconomic Fundamentals and the ADR Market: The Case of the BRICs
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (2)
3. Stock market interdependence between Australia and its trading partners: does trade intensity matter?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (14)
   See also Journal Article Stock market interdependence between Australia and its trading partners: does trade intensity matter?, Applied Economics, Taylor & Francis Journals (2015) View citations (16) (2015)
4. The Mortgage Interest Rates and Cash Rate Cycle Relationship and International Funding Cost: Evidence in the Context of Australia
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
5. The efficiency of Asian stock markets: Fresh evidence based on new tests
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
6. Volatility spillovers from international commodity markets to the Australian equity market
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2014

7. BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests
   Discussion Papers in Accounting, Griffith University, Department of Accounting, Finance and Economics View citations (7)

2011

8. Are Real Estate Markets Integrated with the World Market?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
9. Reâ 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

10. An Empirical Investigation of Consumption CAPMs in the Australian Market
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
11. 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
12. Do Pacific Basin Investors Value Corporate Sustainability?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
13. Estimating Optimal Hedge Ratio with Unknown Structural Breaks
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (1)
14. 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 View citations (1)
15. Is Corporate Sustainability valued by Australian Investors?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
16. Macroeconomic Conditions and Capital Structure: Evidence from Taiwan
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (1)
17. 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 View citations (6)
18. 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
19. The Performance of Socially Responsible Investments Across Different Market Regimes
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics

2009

20. 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

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

Undated

22. 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 View citations (14)
23. 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 View citations (1)

Journal Articles

2021

1. Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic
   Journal of Policy Modeling, 2021, 43, (2), 253-277 View citations (8)
2. Green building, split-incentives and affordable rental housing policy
   Housing Studies, 2021, 36, (1), 23-45 View citations (3)
3. Weathering financial crisis in China: the role of global market integration
   Applied Economics, 2021, 53, (15), 1756-1776

2020

4. Arbitrage risk and the cross-section of stock returns: Evidence from China
   Emerging Markets Review, 2020, 43, (C) View citations (3)
5. Mortgage asymmetric pricing, cash rate and international funding cost: Australian evidence
   International Review of Economics & Finance, 2020, 65, (C), 46-68 View citations (2)

2019

6. Agricultural commodity futures trading based on cross-country rolling quantile return signals
   Quantitative Finance, 2019, 19, (8), 1373-1390 View citations (6)
7. Discretionary accruals: signalling or earnings management in Australia?
   Accounting and Finance, 2019, 59, (2), 1383-1413 View citations (9)
8. Global and regional linkages across market cycles: evidence from partial correlations in a network framework
   Applied Economics, 2019, 51, (33), 3551-3582 View citations (2)
9. International funding cost and heterogeneous mortgage interest-rate pass-through: a bank-level analysis
   Empirical Economics, 2019, 57, (4), 1255-1289

2018

10. Cointegration networks in stock markets
    Applied Economics Letters, 2018, 25, (10), 663-667

2017

11. Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets
    Applied Economics, 2017, 49, (34), 3435-3452 View citations (8)
12. How pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles
    Applied Economics, 2017, 49, (42), 4209-4230 View citations (5)
13. Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
    Applied Economics, 2017, 49, (29), 2817-2828 View citations (3)
14. Risk factors in Australian bond returns
    Accounting and Finance, 2017, 57, (2), 373-400 View citations (1)
15. The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests
    Applied Economics, 2017, 49, (16), 1584-1592 View citations (33)

2016

16. BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests
    Applied Economics, 2016, 48, (59), 5772-5778 View citations (3)
17. Bank reforms and efficiency in Vietnamese banks: evidence based on SFA and DEA
    Applied Economics, 2016, 48, (30), 2822-2835 View citations (23)
18. Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia
    Applied Economics, 2016, 48, (44), 4210-4226 View citations (19)
19. Efficiency, innovation and competition: evidence from Vietnam, China and India
    Empirical Economics, 2016, 51, (3), 1235-1259 View citations (13)
20. Linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs
    International Review of Financial Analysis, 2016, 45, (C), 230-239 View citations (4)
21. Management Behaviour in Vietnamese Commercial Banks
    Australian Economic Papers, 2016, 55, (4), 345-367 View citations (1)
22. Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures
    Journal of Futures Markets, 2016, 36, (12), 1231-1255 View citations (30)
23. Water as an investment: liquid yet illiquid!
    Applied Economics, 2016, 48, (9), 731-745 View citations (3)

2015

24. Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?
    Research in International Business and Finance, 2015, 33, (C), 221-246 View citations (17)
25. Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices
    Applied Economics, 2015, 47, (23), 2348-2358 View citations (191)
26. Stock market interdependence between Australia and its trading partners: does trade intensity matter?
    Applied Economics, 2015, 47, (49), 5303-5319 View citations (16)
    See also Working Paper Stock market interdependence between Australia and its trading partners: does trade intensity matter?, Discussion Papers in Finance (2015) View citations (14) (2015)
27. Stock return predictability in South Africa: The role of major developed markets
    Finance Research Letters, 2015, 15, (C), 257-265 View citations (9)
28. What drives mortgage fees in Australia?
    Accounting and Finance, 2015, 55, (3), 861-880 View citations (1)

2014

29. Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity
    Economic Modelling, 2014, 36, (C), 161-171 View citations (11)
30. Estimating the optimal hedge ratio in the presence of potential unknown structural breaks
    Applied Economics, 2014, 46, (8), 790-795 View citations (3)
31. Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme
    Australian Journal of Management, 2014, 39, (1), 73-91 View citations (17)
32. How efficient is the banking system of Asia's next economic dragon? Evidence from rolling DEA windows
    Applied Economics, 2014, 46, (22), 2665-2684 View citations (11)
33. How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
    Economic Modelling, 2014, 37, (C), 137-142 View citations (13)

2013

34. Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies
    Applied Energy, 2013, 109, (C), 10-23 View citations (43)
35. 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 View citations (13)

2012

36. A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
    Applied Economics, 2012, 44, (11), 1443-1448 View citations (3)
37. Are securitised real estate markets efficient?
    Economic Modelling, 2012, 29, (3), 684-690 View citations (3)
38. 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 View citations (2)
39. 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 View citations (2)
40. Which way does water flow? An econometric analysis of the global price integration of water stocks
    Applied Economics, 2012, 44, (23), 2935-2944 View citations (7)

2011

41. 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 View citations (13)
42. Stock returns and consumption factors in the Australian market: Cross-sectional tests
    Australian Journal of Management, 2011, 36, (2), 247-266 View citations (2)

2010

43. Are socially responsible investment markets worldwide integrated?
    Accounting Research Journal, 2010, 23, (3), 281-301 View citations (11)
44. Should funds invest in socially responsible investments during downturns?
    Accounting Research Journal, 2010, 23, (3), 254-266 View citations (4)

2008

45. 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 (4)
46. Estimating banks' equity duration: a panel cointegration approach
    Applied Financial Economics, 2008, 18, (14), 1173-1180 View citations (3)
47. Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
    Economia Internazionale / International Economics, 2008, 61, (4), 665-685

2007

48. 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 View citations (5)

2006

49. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
    Economic Modelling, 2006, 23, (6), 993-1007 View citations (10)
50. Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
    Applied Economics Letters, 2006, 13, (5), 293-299 View citations (12)
51. 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

52. 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 (21)
53. LONG‐TERM AND SHORT‐TERM EQUITY MARKET PRICE INTERACTIONS BETWEEN AUSTRALIA AND THE CHINESE STATES*
    Australian Economic Papers, 2005, 44, (3), 221-230
54. 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

55. An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
    The European Journal of Finance, 2004, 10, (6), 475-488 View citations (7)
56. 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 (12)

2001

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

1999

58. 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 (41)

Chapters

1997

1. Philippines
   Chapter 14 in Financial Reporting In The Pacific Asia Region, 1997, pp 365-380