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Details about Eduardo Dacillo Roca

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Workplace:Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, (more information at EDIRC)

Access statistics for papers by Eduardo Dacillo Roca.

Last updated 2018-05-25. Update your information in the RePEc Author Service.

Short-id: pro225


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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 Downloads

2015

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (5)
    See also Journal Article in Applied Economics (2015)
  3. 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 Downloads
  4. The efficiency of Asian stock markets: Fresh evidence based on new tests
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  5. Volatility spillovers from international commodity markets to the Australian equity market
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads

2014

  1. 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 Downloads View citations (3)

2011

  1. Are Real Estate Markets Integrated with the World Market?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  2. 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 Downloads

2010

  1. An Empirical Investigation of Consumption CAPMs in the Australian Market
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  2. 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 Downloads
  3. Do Pacific Basin Investors Value Corporate Sustainability?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  4. Estimating Optimal Hedge Ratio with Unknown Structural Breaks
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  5. 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 Downloads View citations (1)
  6. Is Corporate Sustainability valued by Australian Investors?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads
  7. Macroeconomic Conditions and Capital Structure: Evidence from Taiwan
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads View citations (1)
  8. 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 Downloads View citations (7)
  9. 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 Downloads
  10. The Performance of Socially Responsible Investments Across Different Market Regimes
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics Downloads

2009

  1. 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 Downloads

2004

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

Undated

  1. 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 Downloads View citations (3)
  2. 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 Downloads View citations (1)

Journal Articles

2017

  1. Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets
    Applied Economics, 2017, 49, (34), 3435-3452 Downloads
  2. How pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles
    Applied Economics, 2017, 49, (42), 4209-4230 Downloads View citations (1)
  3. Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping
    Applied Economics, 2017, 49, (29), 2817-2828 Downloads View citations (1)
  4. Risk factors in Australian bond returns
    Accounting and Finance, 2017, 57, (2), 373-400 Downloads
  5. The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests
    Applied Economics, 2017, 49, (16), 1584-1592 Downloads View citations (6)

2016

  1. BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests
    Applied Economics, 2016, 48, (59), 5772-5778 Downloads View citations (1)
  2. Bank reforms and efficiency in Vietnamese banks: evidence based on SFA and DEA
    Applied Economics, 2016, 48, (30), 2822-2835 Downloads View citations (9)
  3. Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia
    Applied Economics, 2016, 48, (44), 4210-4226 Downloads View citations (6)
  4. Efficiency, innovation and competition: evidence from Vietnam, China and India
    Empirical Economics, 2016, 51, (3), 1235-1259 Downloads View citations (2)
  5. 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 Downloads View citations (2)
  6. Management Behaviour in Vietnamese Commercial Banks
    Australian Economic Papers, 2016, 55, (4), 345-367 Downloads View citations (1)
  7. 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 Downloads View citations (10)
  8. Water as an investment: liquid yet illiquid!
    Applied Economics, 2016, 48, (9), 731-745 Downloads View citations (1)

2015

  1. 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 Downloads View citations (3)
  2. Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices
    Applied Economics, 2015, 47, (23), 2348-2358 Downloads View citations (79)
  3. Stock market interdependence between Australia and its trading partners: does trade intensity matter?
    Applied Economics, 2015, 47, (49), 5303-5319 Downloads View citations (5)
    See also Working Paper (2015)
  4. Stock return predictability in South Africa: The role of major developed markets
    Finance Research Letters, 2015, 15, (C), 257-265 Downloads View citations (4)
  5. What drives mortgage fees in Australia?
    Accounting and Finance, 2015, 55, (3), 861-880 Downloads View citations (1)

2014

  1. 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 Downloads View citations (6)
  2. Estimating the optimal hedge ratio in the presence of potential unknown structural breaks
    Applied Economics, 2014, 46, (8), 790-795 Downloads View citations (1)
  3. 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 Downloads View citations (9)
  4. How efficient is the banking system of Asia's next economic dragon? Evidence from rolling DEA windows
    Applied Economics, 2014, 46, (22), 2665-2684 Downloads View citations (4)
  5. How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
    Economic Modelling, 2014, 37, (C), 137-142 Downloads View citations (6)

2013

  1. Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies
    Applied Energy, 2013, 109, (C), 10-23 Downloads View citations (26)
  2. 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 Downloads View citations (5)

2012

  1. A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
    Applied Economics, 2012, 44, (11), 1443-1448 Downloads View citations (3)
  2. Are securitised real estate markets efficient?
    Economic Modelling, 2012, 29, (3), 684-690 Downloads View citations (1)
  3. 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 Downloads
  4. 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 Downloads
  5. Which way does water flow? An econometric analysis of the global price integration of water stocks
    Applied Economics, 2012, 44, (23), 2935-2944 Downloads View citations (1)

2011

  1. 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 Downloads View citations (12)
  2. Stock returns and consumption factors in the Australian market: Cross-sectional tests
    Australian Journal of Management, 2011, 36, (2), 247-266 Downloads

2010

  1. Are socially responsible investment markets worldwide integrated?
    Accounting Research Journal, 2010, 23, (3), 281-301 Downloads View citations (5)
  2. 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 Downloads View citations (2)

2008

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

2007

  1. 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 Downloads View citations (4)

2006

  1. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
    Economic Modelling, 2006, 23, (6), 993-1007 Downloads View citations (5)
  2. Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
    Applied Economics Letters, 2006, 13, (5), 293-299 Downloads View citations (8)
  3. Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?
    Economia Internazionale / International Economics, 2006, 59, (3), 295-316 Downloads

2005

  1. Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries
    Applied Financial Economics, 2005, 15, (8), 539-546 Downloads View citations (18)
  2. LONG‐TERM AND SHORT‐TERM EQUITY MARKET PRICE INTERACTIONS BETWEEN AUSTRALIA AND THE CHINESE STATES*
    Australian Economic Papers, 2005, 44, (3), 221-230 Downloads
  3. 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 Downloads

2004

  1. 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 Downloads View citations (5)
  2. 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 Downloads View citations (8)

2001

  1. Australia and the three little dragons: are their equity markets interdependent?
    Applied Economics Letters, 2001, 8, (3), 203-207 Downloads View citations (7)

1999

  1. 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 Downloads View citations (33)

Chapters

1997

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