Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects

This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period 1 January 2002 to 1 June 2003. A range of processes including GARCH, Risk Metrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the timevarying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in three of the markets with the Student APARCH model performing better in the fourth. The results indicate significant innovation spillovers (ARCH effects)and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information

Factors Explaining the Choice of a Finance Major: The Role of Student Characteristics, Personality and Perceptions of the Profession

This paper examines the role of student characteristics, personality, and perceptions of the banking and finance profession in determining the choice of an undergraduate finance major. The data employed is drawn from a survey of first-year business students at a large Australian university. Student characteristics examined include gender, secondary school studies in accounting, business and economics, grade point average and attendance mode. Perceptions of the banking and finance profession revolve around questions of overall interest, relationships of persons working within the profession, the manner in which the profession deals with problems and tasks, and the nature of these problems. A binary probit model is used to identify the source and magnitude of factors associated with a student’s choice of major. The evidence provided suggests that the choice of a finance major is a function of students’ overall interest in the profession, perceptions of how the profession deals with problems and tasks, mode of attendance, and to a lesser extent, gender. The study emphasises the need to incorporate factors associated with students’ personality and perceptions in analyses of this type.

Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A bivariate MA-GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to be mean-reverting. These findings are used to suggest that despite concerns that demutualised and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0.56 for the Deutsche Börse, 0.66 for the London Stock Exchange, 0.78 for the Singapore Stock Exchange, and 0.95 for the Australian Stock Exchange. Key words: Accounting scandals, Enron, WorldCom, Event study, International Stock Markets.Time-varying betas; moving average; bivariate GARCH; demutualization and self-listing, exchanges

Recent Changes in Accounting Enrolments, 1989–1999

This statistical note examines trends in Australian accounting enrolments and student load, together with the composition of enrolments and course completions, over the 1990s. Unpublished higher education statistics from the Department of Employment, Training and Youth Affairs (DETYA) is extracted at the specific and broad field of study level for the purposes of the analysis. Three main trends are noted. First, in spite of moderate growth rates in most Australian states, the relative position of the accounting discipline in terms of all business-related enrolments and student load has declined over the last decade. Second, Australian growth in accounting enrolments and student load is not evenly distributed across all States and Territories with annual growth rates higher in Queensland, Tasmania and Western Australia and lower in Victoria and the ACT. Finally, the composition of accounting enrolments and course completions has changed markedly during the last decade. Female participation rates have increased, with the exception of doctoral programs and masters by coursework, and the share of enrolments by overseas fee-paying undergraduates/postgraduates and domestic fee-paying postgraduates has also increased.

A multivariate GARCH analysis of equity returns and volatility in Asian equity markets

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results generally indicate the presence of large and predominantly positive mean and volatility spillovers. Nevertheless, mean spillovers from the developed to the emerging markets are not homogenous across the emerging markets, and own-volatility spillovers are generally higher than cross-volatility spillovers for all markets, but especially for the emerging markets.Emerging equity markets; mean and volatility spillovers; multivariate GARCH

Weak-form market efficiency in European emerging and developed stock markets

This paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom) and four emerging markets (Czech Republic, Hungary, Poland and Russia) are examined for random walks using a combination of serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio (MVR) tests. The results, which are in broad agreement across the approaches employed, indicate that of the emerging markets only Hungary is characterized by a random walk and hence is weak-form efficient, while in the developed markets only Germany, Ireland, Portugal, Sweden and the United Kingdom comply with the most stringent random walk criteria.Developed and emerging markets, random walk hypothesis, market efficiency

Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects

This paper investigates the intraday price volatility process in four Australian wholesale electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The data set consists of half-hourly electricity prices and demand volumes over the period 1 January 2002 to 1 June 2003. A range of processes including GARCH, Risk Metrics, normal Asymmetric Power ARCH or APARCH, Student APARCH and skewed Student APARCH are used to model the time-varying variance in prices and the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The skewed Student APARCH model, which takes account of right skewed and fat tailed characteristics, produces the best results in three of the markets with the Student APARCH model performing better in the fourth. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information.

Financial Integration in European Equity Markets: The Final Stage of Economic and Monetary Union (EMU) and its Impact on Capital Markets

This paper examines the extent of financial integration in European equity markets before, during and after the adoption of the single currency on 1 January 1999. Two groups of European economies are examined. The first set comprises the Member States of the European Union (EU) that participated in the euro (the Euro-11) [Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain]. The second set consists of the remaining Members of the Euro-15 [Denmark, Greece, Sweden and the United Kingdom] along with Norway and Switzerland. Multivariate cointegration procedures, Granger-causality tests and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to examine long and short-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short-run causal linkages between the equity markets of both the euro and non-euro currency areas. However, while the large equity markets remain the most influential, the lower causal relationships that exist between these and at least some middle (Belgium, Spain and Netherlands) and small (Ireland, Luxembourg, Finland and Norway) equity markets suggests that opportunities for international portfolio diversification in European equity markets may still exist

The Relationship Between Energy Spot and Futures Prices: Evidence from the Australian Electricity Market

This paper examines the relationship between futures and spot electricity prices for two of the Australian electricity regions in the National Electricity Market (NEM): namely, New South Wales and Victoria. A generalised autoregressive conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers from the futures market to the spot market. The results indicate the presence of positive mean spillovers in the NSW market for peak and off-peak (base load) futures contracts and mean spillovers for the offpeak Victorian futures market. The large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot and futures prices are stationary.