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Working Papers

From Deakin University, Department of Economics
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2015_15: The impact of the Lehman Brothers' bankruptcy on the performance of Chinese sectors Downloads
Kumari Ranjeeni and Susan Sharma
2015_14: Intraday volatility interaction between the crude oil and equity markets Downloads
Dinh Phan, Susan Sharma and Paresh Narayan
2015_13: Stock return forecasting: some new evidence Downloads
Dinh Phan, Susan Sharma and Paresh Narayan
2015_12: Oil price and stock returns of consumers and producers of crude oil Downloads
Dinh Phan, Susan Sharma and Paresh Narayan
2015_10: Testing for predictability in panels with general predictors Downloads
Joakim Westerlund, Hande Karabiyik and Paresh Narayan
2015_09: Is exchange rate trading profitable? Downloads
Paresh Kumar Narayan, Sagarika Mishra and Kannan Thuraisamy
2015_08: Has oil price predicted stock returns for over a century? Downloads
Paresh Narayan and Rangan Gupta
2015_06: New empirical evidence on the bid-ask spread Downloads
Paresh Narayan, Sagarika Mishra and Seema Narayan
2015_05: A unit root model for trending time-series energy variables Downloads
Paresh Narayan and Ruipeng Liu
2015_04: Can governance quality predict stock market returns? New global evidence Downloads
Paresh Narayan, Susan Sharma and Kannan Thuraisamy
2015_03: Does cash flow predict returns? Downloads
Paresh Narayan and Joakim Westerlund
2015_02: An analysis of sectoral equity and CDS spreads Downloads
Paresh Narayan
2015_01: A GARCH model for testing market efficiency Downloads
Paresh Narayan and Ruipeng Liu
2014_16: Stock price comovement: evidence from India Downloads
Sagarika Mishra and Sandip Dhole
2014_15: A practical note on the determination of the number of factors using information criteria with data-driven penalty
Joakim Westerlund and Sagarika Mishra
2014_14: How profitable is the Indian stock market? Downloads
Paresh Narayan, Huson Ali Ahmed, Susan Sharma and K. P. Prabheesh
2014_13: Testing for predictability in panels of small time series dimensions with an application to Chinese stock returns
Joakim Westerlund and Paresh Narayan
2014_12: A factor analytical approach to the efficient futures market hypothesis Downloads
Joakim Westerlund, Milda Norkute and Paresh Narayan
2014_11: Importance of Skewness in Decision Making: Evidence from the Indian Stock Exchange Downloads
Paresh Narayan and Huson Ali Ahmed
2014_10: A random coefficient approach to the predictability of stock returns in panels Downloads
Joakim Westerlund and Paresh Narayan
2014_09: Do oil prices predict economic growth? New global evidence Downloads
Paresh Narayan, Susan Sharma, Wai-Ching Poon and Joakim Westerlund
2014_08: An analysis of price discovery from panel data models of CDS and equity returns Downloads
Paresh Narayan, Susan Sharma and Kannan Thuraisamy
2014_07: On the importance of the first observation in GLS detrending in unit root testing Downloads
Joakim Westerlund
2014_06: Pooled panel unit root tests and the effect of past initialization Downloads
Joakim Westerlund
2014_05: The local power of the CADF and CIPS panel unit root tests Downloads
Joakim Westerlund, Mehdi Hosseinkouchack and Martin Solberger
2014_03: On the asymptotic distribution of the DF-GLS test statistic Downloads
Joakim Westerlund
2014_02: Heteroskedasticity robust panel unit root tests Downloads
Joakim Westerlund
2014_01: Testing for predictability in conditionally heteroskedastic stock returns Downloads
Joakim Westerlund and Paresh Narayan
2013_06: Determinants of stock price bubbles Downloads
Paresh Narayan, Sagarika Mishra, Susan Sharma and Ruipeng Liu
2013_05: Least squares learning and the US treasury bill rate Downloads
Sagarika Mishra and Sandip Dhole
2013_04: Intra-market sovereign linkages of Latin American international bonds Downloads
Kannan Thuraisamy
2013_03: Does tourism predict macroeconomic performance in Pacific Island countries? Downloads
Paresh Narayan, Susan Sharma and Deepa Bannigidadmath
2013_02: An analysis of commodity markets: what gain for investors? Downloads
Paresh Narayan, Seema Narayan and Susan Sharma
2012_10: State dependent asymmetric loss and the consensus forecast of real U.S. GDP growth Downloads
Matthew L. Higgins and Sagarika Mishra
2012_09: Do agents learn by least squares? The evidence provided by changes in monetary policy
Sagarika Mishra
2012_08: Conditional spread determinants for emerging sovereign debt
Christoph Riedel, Kannan Thuraisamy and Niklas Wagner
2012_07: The relationship between Asian equity and commodity futures markets Downloads
Kannan Thuraisamy, Susan Sharma and Huson Ali Ahmed
2012_05: Expectations of future income and real exchange rate movements Downloads
Aziz Hayat, Bahodir Ganiev and Xueli Tang
2012_03: Modelling the Sovereign Linkages of Key Latin American Economies Downloads
Kannan Thuraisamy and Gerard Gannon
2012_02: Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies Downloads
Susan Sharma and Kannan Thuraisamy
2012_01: Does the choice of estimator matter when forecasting returns? Downloads
Joakim Westerlund and Paresh Narayan
2011_14: Investment and oil price volatility Downloads
Paresh Narayan and Susan Sharma
2011_13: Did the US macroeconomic conditions affect Asian stock markets? Downloads
Seema Narayan and Paresh Narayan
2011_12: Firm heterogeneity and calendar anomalies Downloads
Susan Sharma and Paresh Narayan
2011_11: Some hypothesis on commonality in liquidity: new evidence from the Chinese stock market Downloads
Paresh Narayan, Zhichao Zhang and Xinwei Zheng
2011_09: Asymmetric information and market collapse: evidence from the Chinese market Downloads
Paresh Narayan and Xinwei Zheng
2011_08: The efficient market hypothesis re-visited: new evidence from 100 US firms
Ruipeng Liu and Paresh Narayan
2011_07: Size and power properties of structural break unit root tests Downloads
Paresh Narayan and Stephan Popp
2011_05: The importance of real and nominal shocks on the UK housing market
Paresh Narayan and Seema Narayan
2011_03: Has political instability contributed to price clustering on Fiji's stock market? Downloads
Paresh Narayan and Russell Smyth
2011_01: The January and turn-of-the-month effect on firm returns and return volatility
Susan Sharma and Paresh Narayan
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