Copyright (c) 2008 All rights reserved. http://works.bepress.com/acworthington Recent documents in Prof. A. C. Worthington en-us Thu, 29 May 2008 02:58:54 PDT 3600 http://works.bepress.com/acworthington/46 http://works.bepress.com/acworthington/46 Tue, 27 May 2008 15:31:12 PDT This paper uses household level data to model residential water demand in Brisbane, Australia from 1998 to 2004. In this system, residential consumption is charged using a fixed annual service fee with no free entitlement and a fixed volumetric charge per kilolitre. Water demand is specified as quarterly household water consumption and demand characteristics include the contemporaneous and lagged marginal price of water, household income and size, and the number of rainy (with at least some precipitation) and warm (greater than 19.5°C) days. The findings not only confirm residential water as price and income inelastic, but also that the price and income elasticity of demand in owner-occupied households is higher than in renter households. However, the results also show that weather, especially the number of warm days, is likely to exert a much greater influence on residential water consumption than any factors subject to the usual demand management strategies. M. Hoffmann http://works.bepress.com/acworthington/45 http://works.bepress.com/acworthington/45 Tue, 27 May 2008 15:31:09 PDT 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 January 1, 2002 to June 1, 2003. A range of processes including GARCH, RiskMetrics, 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 all four markets. The results indicate significant innovation (ARCH effects) and volatility (GARCH effects) spillovers 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. H. Higgs http://works.bepress.com/acworthington/44 http://works.bepress.com/acworthington/44 Tue, 27 May 2008 15:31:05 PDT This note examines the presence of a Melbourne Cup effect in Australian daily stock returns over the forty-five years from 3 January 1961 to 30 December 2005. First run in 1861, the Melbourne Cup is Australia's premier horse race and one of the world's leading handicaps. Parametric tests of differences in means and a regression-based approach are used to test for the effect alongside a conventional day-of-the-week (Tuesday) and month-of-the year (November) effects. The results indicate that the mean Melbourne Cup Day return of 0.1916 is significantly higher than the mean return for other Tuesdays in November (-0.2345), Tuesdays in other months of the year (-0.0352), and Monday, Wednesday, Thursday, and Friday returns throughout the year (0.0516). This suggests the exuberance associated with Australia's unofficial national day is translated into irrationally positive market behaviour. A. C. Worthington http://works.bepress.com/acworthington/43 http://works.bepress.com/acworthington/43 Tue, 27 May 2008 15:31:02 PDT This paper examines the weak-form market efficiency of twenty-seven emerging markets. The sample encompasses three markets in Africa (Egypt, Morocco and South Africa), ten in Asia (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand), four in Europe (Czech Republic, Hungary, Poland and Russia), seven in Latin America (Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela) and three in the Middle East (Israel, Jordan and Turkey). Daily market returns are tested for random walks using 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 tests. The serial correlation and runs tests conclude that most emerging markets are weak-form inefficient. However, the unit root tests suggest the presence of weak-form efficiency in many emerging markets, but with some exceptions. The results from the most stringent multiple variance ratio tests are in general agreement with the serial correlation and runs tests. On this basis, only Hungary, Jordan and Israel are weak-form market efficient, with Egypt, Korea, Malaysia and Argentina meeting at least some of the requirements of a random walk. A. C. Worthington http://works.bepress.com/acworthington/42 http://works.bepress.com/acworthington/42 Tue, 27 May 2008 15:30:59 PDT This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using 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 none of the markets are characterised by random walks and hence are not weak-form efficient, even under some less stringent random walk criteria. A. C. Worthington http://works.bepress.com/acworthington/41 http://works.bepress.com/acworthington/41 Tue, 27 May 2008 15:30:56 PDT Human capital, or a better educated labour force, is a major determinant of economic growth and productivity. However, recent trends in the cost of education in Australia may cause growth and productivity to suffer. For example, during the period 1982-2003 inflation rose on average by 4.4 per cent per annum, whereas the cost of education grew overall on average by 7.8 per cent. This has made education a relatively expensive item among Australian households. This paper compares and contrasts the cost of education in Australia and comparable economies with the cost of other goods and services embedded in the CPI (Consumer Price Index) basket using the latest available quarterly data. Finally, the major determinants of the rising cost of education in Australia are examined. It is found, inter alia, that over the period 1986-2003 the increasing number of students enrolled at non-governmental primary and secondary schools and the introduction of the Higher Education Contribution Scheme (HECS) were two important determinants of the rising cost of education. A. Valadkhani http://works.bepress.com/acworthington/40 http://works.bepress.com/acworthington/40 Tue, 27 May 2008 15:30:53 PDT Binary logit models are used to predict coverage, knowledge and perceptions of superannuation on the basis of individual demographic, socioeconomic and financial characteristics. The data is drawn from the 2003 ANZ Survey of Adult Financial Literacy in Australia and relates to 3,548 respondents. Knowledge of superannuation is defined, amongst other things, in terms of understanding superannuation fees and charges and statements, recognising the voluntary and compulsory nature of additional employee and employer contributions and the recognising the lower taxation of superannuation compared to other investments. Factors examined include gender, age, ethnicity, occupation, educational level and family structure, along with household income, savings, and mortgage and non-mortgage debt. The evidence suggests that knowledge of superannuation is unevenly spread across respondents, even those with superannuation funds. Such knowledge is generally lowest for females, those from a non-English speaking background, those with low levels of secondary education and persons aged less than thirty. Knowledge is generally better for professionals, those aged over forty or retired and the university educated. The models best predict the overall coverage of superannuation and for those with superannuation, the compulsory nature of employer contributions and the ability to read and understand superannuation statements. A. C. Worthington http://works.bepress.com/acworthington/39 http://works.bepress.com/acworthington/39 Tue, 27 May 2008 15:30:49 PDT This note examines the holiday effect in Australian daily stock returns at the market and industry levels and for small capitalisation stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday and Easter Monday, ANZAC Day (25 April), the Queen's Birthday (second Monday in June), Christmas Day and Boxing Day. A regression-based approach is employed. The results indicate that the Australian market overall provides evidence of a pre-holiday effect in common with small cap stocks. However, the market level effect appears to be solely the result of a strong pre-holiday effect in the retail industry. No evidence is found of a post-holiday effect in any market or industry. G. Marrett http://works.bepress.com/acworthington/38 http://works.bepress.com/acworthington/38 Tue, 27 May 2008 15:30:46 PDT Logit models are used to predict financial literacy using the 2003 ANZ Survey of Adult Financial Literacy in Australia. Financial literacy is defined in terms of mathematical ability and the understanding of financial terms. Factors examined include gender, age, ethnicity, occupation, education, income, savings and debt. Financial literacy is found to be highest for persons aged between 50 and 60 years, professionals, business and farm owners, and university/college graduates. Literacy is lowest for the unemployed, females, and those from a non-English speaking background with a low level of education. A. C. Worthington http://works.bepress.com/acworthington/37 http://works.bepress.com/acworthington/37 Tue, 27 May 2008 15:30:43 PDT It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regimeswitching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16 percent in NSW to 9.44 percent in Victoria. H. Higgs http://works.bepress.com/acworthington/36 http://works.bepress.com/acworthington/36 Tue, 27 May 2008 15:30:40 PDT This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have found that the shocks provided by natural disasters have an influence on market sector returns, depending upon the sector in question. The sectors most sensitive to disasters of any type are the consumer discretionary, financial services and materials sectors while the most significant single event during the past eight years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market. A. C. Worthington http://works.bepress.com/acworthington/35 http://works.bepress.com/acworthington/35 Tue, 27 May 2008 15:30:37 PDT 1958 to 30 December 2005. Three principal calendar effects - day-of-the-week, day-of-the-month and month-ofthe- year - are examined separately and jointly using parametric tests of differences in means and variances and a regression-based approach. The results indicate that the Australian market is characterised by seasonality of all three forms, with Tuesday, December and the second day of the month among the most significant. However, there is also evidence of structural change in these relationships, with indications that the market has become more efficient in recent years, with day-of-the-week and day-of-the-month effects becoming less important in the post-1987 crash period. A. C. Worthington http://works.bepress.com/acworthington/34 http://works.bepress.com/acworthington/34 Tue, 27 May 2008 15:30:34 PDT The increased reliance on demand-side management policies as an urban water consumption management tool has stimulated considerable debate among economists, water utility managers, regulators, consumer interest groups and policymakers. In turn, this has fostered an increasing volume of literature aimed at providing best-practice estimates of price and income elasticities, quantifying the impact of non-price water restrictions and gauging the impact of nondiscretionary environmental factors affecting residential water demand. This paper provides a synoptic survey of empirical residential water demand analyses conducted in the last twenty-five years. Both model specification and estimation and the outcomes of the analyses are discussed. A. C. Worthington http://works.bepress.com/acworthington/33 http://works.bepress.com/acworthington/33 Tue, 27 May 2008 15:30:30 PDT December 2005. The period selected includes fifty-nine Liberal-National (or their antecedents) and Labor ministries and forty-seven elections. The political cycle is defined in terms of the party or coalition in power, ministerial tenure and election information effects. The market variables are defined in terms of returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis indicates that mean returns and excess returns over inflation are nearly 85 percent higher and excess returns over interest rates 193 percent higher under Liberal-National ministries. Put differently, the market premium for Liberal-National ministries averages between 3.2 and 5.2 percent over comparable Labor ministries. Returns under Labor ministries are also characterised by extremely volatile, negatively skewed values. But after time-variation in risk is taken into account with a GARCH-M specification, while returns and excess returns over inflation are higher under Liberal-National ministries, there is no significant variation in excess returns over interest rates between governments. This suggests most of the variation in political risk is reflected in interest rates. A. C. Worthington http://works.bepress.com/acworthington/32 http://works.bepress.com/acworthington/32 Tue, 27 May 2008 15:30:27 PDT Binary logit models are used to predict usage and understanding of owner-occupied and investor mortgages on the basis of demographic, socioeconomic and financial characteristics. The data is drawn from the 2003 ANZ Survey of Adult Financial Literacy in Australia and relates to 3,548 respondents. Factors examined include financial literacy, gender, age, ethnicity, occupation, educational level and family structure, along with household income, savings and debt. Understanding is defined in terms of knowledge of mortgage rates, fees and charges and familiarity with key mortgage terms. The results indicate that being middle-aged or a couple with children increases the likelihood of an owner-occupied mortgage, while being from a non-English speaking background, a small business owner or a skilled tradesman increases the likelihood of an investor mortgage. The evidence also suggests that understanding of mortgages is unevenly spread across mortgagees. Understanding is generally poorer for females, rural and regional households and the young, and better for professionals, the university educated and small business owners and skilled tradesmen. The area least understood is mortgage fees and charges. A. C. Worthington http://works.bepress.com/acworthington/31 http://works.bepress.com/acworthington/31 Tue, 27 May 2008 15:30:24 PDT This paper employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single most significant structural break, the results from both models clearly indicate that the null of at least one unit root cannot be rejected for almost all series examined. The structural breaks found coincide with important policy changes during the period of financial deregulation starting in the 1980s. M. Pahlavani http://works.bepress.com/acworthington/30 http://works.bepress.com/acworthington/30 Tue, 27 May 2008 15:30:21 PDT Islamic finance - financial institutions, products and services designed to comply with the central tenets of Sharia (Islamic law) - is one of the most rapidly growing segments in global financial services. However, despite its growing importance, it is only relatively recently that attempts have been made to evaluate the attitudes, perceptions and knowledge of current and potential consumers and providers of Islamic financial products and services. This article provides a synoptic survey of the comparatively few empirical analyses of attitudes, perceptions and knowledge of Islamic finance. Individual consumer, business firm and financial institution attitudes to Islamic finance are examined and briefly compared with the larger body of extant work on attitudes, perceptions and knowledge of conventional financial services and products. A. Gait http://works.bepress.com/acworthington/29 http://works.bepress.com/acworthington/29 Tue, 27 May 2008 15:30:18 PDT In this study, 37,605 paintings by sixty well-known Australian artists sold at auction over the period 1973-2003 are used to construct a hedonic price index. The attributes included in the hedonic regression model include the name and living status of the artist, the size and medium of the painting, and the auction house and year in which the painting was sold. The resulting index indicates that returns on Australian fine-art averaged seven percent over the period with a standard deviation of sixteen percent. The hedonic regression model also captures the willingness to pay for perceived attributes in the artwork, and this shows that works by McCubbin, Gascoigne, Thomas and Preston and other artists deceased at the time of auction, works executed in oils or acrylic, and those auctioned by Sotheby's or Christie's are associated with higher prices. H. Higgs http://works.bepress.com/acworthington/28 http://works.bepress.com/acworthington/28 Tue, 27 May 2008 15:30:15 PDT Islamic finance is one of the most rapidly growing segments of the global financial system. However, despite the increasing importance of Islamic finance, particularly in developing economies in the Middle East and South-East Asia, religious and social complexity has acted against a fuller understanding by regulators, policymakers, researchers and practitioners. This paper provides a succinct and accessible analysis of the definition, sources, principles and methods of Islamic finance. This serves as a suitable starting point for further work into Islamic finance and many of the pressing regulatory, supervisory and competitive issues that remain as yet unaddressed. A. Gait http://works.bepress.com/acworthington/27 http://works.bepress.com/acworthington/27 Tue, 27 May 2008 15:30:12 PDT This paper uses monthly data from eleven local governments to model residential water demand in Queensland, Australia from 1994 to 2004. In the sample, residential consumption is charged using a variety of structures including fixed charges without allowance, fixed charges with allowance and excess rates, two-part tariffs comprising an access charge and a flat consumption rate and multi-part tariffs with an access charge and two or more limits with increasing consumption rates. Water demand is specified as average monthly household water consumption and the demand characteristics include the marginal and average price of water and daily average maximum temperatures and rainfall. The findings confirm residential water as price inelastic, more responsive to average than marginal prices, and more responsive to changes in temperature than rainfall. The results also suggest that cross-sectional variation in demand is related to local government-specific factors. A. C. Worthington http://works.bepress.com/acworthington/26 http://works.bepress.com/acworthington/26 Tue, 27 May 2008 15:30:08 PDT This note tests for the presence of a stable long-run relationship between the monthly price of gold and inflation in the United States from 1945 to 2006 and from 1973 to 2006. Since both the price of gold and the consumer price index have been subject to structural change over time, a novel unit root testing procedure is employed which allows for the timing of significant breaks to be estimated, rather than assumed exogenous. After taking these endogenously determined structural breaks into account, a modified cointegration approach provides strong evidence of a cointegrating relationship between gold and inflation in both the post-war period and since the early 1970s. The results lend support to the widely held view that direct and indirect gold investment can serve as an effective inflationary hedge. A. C. Worthington http://works.bepress.com/acworthington/25 http://works.bepress.com/acworthington/25 Tue, 27 May 2008 15:30:05 PDT This paper measures the extent of financial integration and interdependence among Asian equity markets over the period January 1993 to June 2006 using daily data. The analysis includes three developed markets (Hong Kong, Japan and Singapore) and eight emerging markets (China, India, Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand). The study uses panel unit root tests to test for non-stationarity, and conducts multivariate cointegration, Granger causality and level VAR procedures and variance decomposition are conducted to examine the equilibrium and causal relationships between these markets. The results indicate that there is a stationary long-run equilibrium relationship among, and significant and substantial short and long-run causal linkages between, these Asian equity markets. This evidence suggests that a high level of financial integration currently exists in the Asian region, notwithstanding the absence of extensive formal regional agreements aimed at promoting financial integration as found elsewhere, especially in the European Union. A. C. Worthington http://works.bepress.com/acworthington/24 http://works.bepress.com/acworthington/24 Tue, 27 May 2008 15:30:02 PDT This paper employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single most significant structural break, the results from both models clearly indicate that the null of at least one unit root cannot be rejected for almost all series examined. The structural breaks found coincide with important policy changes during the period of financial deregulation starting in the 1980s M. Pahlavani http://works.bepress.com/acworthington/23 http://works.bepress.com/acworthington/23 Tue, 27 May 2008 15:29:59 PDT In this note, 30,227 paintings by fifty well-known modern and contemporary Australian artists sold at auction over the period 1973-2003 are used to construct a hedonic price index. The attributes included in the hedonic regression model include the name, age and living status of the artist, the number of works sold, the size and medium of the painting, and the auction house, month and year in which the painting was sold. The results indicate that returns on Australian modern and contemporary art averaged nearly five percent over the period with a standard deviation of sixteen percent. The results also show that a ten percent increase in the Australian stock market is associated with a 3.4 percent increase in the art market. Generally, artworks by artists deceased at the time of auction, larger works, works executed in oils, and those auctioned by Sotheby's or Christie's in July or August are associated with higher prices. A. C. Worthington http://works.bepress.com/acworthington/22 http://works.bepress.com/acworthington/22 Tue, 27 May 2008 15:29:56 PDT This paper employs annual time series data on Iranian exports, imports and economic growth from 1960 to 2003. Procedures are used to endogenously identify structural breaks in these macroeconomic series and then to incorporate these breaks in unit root tests. An initial finding is that the endogenously determined structural breaks coincide with important phenomena in the Iranian economy, including the Islamic revolution in 1978 and the start of the Iran-Iraq war in 1980. The error correction version of the autoregressive distributed lag procedure is then employed to specify the short and long-term determinants of economic growth in the Iranian economy taking these structural breaks into consideration. The results show that while the effects of gross capital formation and oil exports are important for the expansion of Iranian GDP over the sample period, non-oil exports and human capital are generally less important. The results also show that a deviation from the long-term growth rate in GDP in Iran is corrected between 46 and 60 percent in the following year. M. Pahlavani http://works.bepress.com/acworthington/21 http://works.bepress.com/acworthington/21 Tue, 27 May 2008 15:29:52 PDT 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. A. C. Worthington http://works.bepress.com/acworthington/20 http://works.bepress.com/acworthington/20 Tue, 27 May 2008 15:29:45 PDT This paper examines the presence of a political cycle in Australian daily stock returns over the forty-seven years from 6 January 1958 to 30 December 2005. The period selected includes nineteen federal elections, twenty-five ministries and five terms of Liberal-National or Labor government. The political cycle is defined in terms of the party in power, the time since the last election and election information effects. The market variables are defined in terms of nominal and real returns and nominal and real return volatility. The results indicate returns are highest during the ministries of Holt-McEwen and Hawke and lowest during Whitlam and Fraser, while risk is highest during Whitlam and Hawke and lowest during Menzies and Holt-McEwen. However, regression analysis shows that Liberal-National and Labor governments more generally differ in the volatility of returns where political cycle-sourced return volatility increases at a decreasing rate with the time in power. Such risk differences potentially arise from the different parties' economic and social policies, uncertainty among investors about these policies, or doubt among voters concerning future election outcomes. A. C. Worthington http://works.bepress.com/acworthington/19 http://works.bepress.com/acworthington/19 Tue, 27 May 2008 15:29:35 PDT The paper examines the impact of weather-related moods and feelings on the Australian stock market over the period 1958 to 2005. Eleven daily weather elements (precipitation, evaporation, relative humidity, maximum and minimum temperature, average daytime temperature, hours of bright sunshine, and the speed and direction of the maximum wind gust and the average daytime wind) are included in the analysis, along with daily nominal and real market returns. Non-parametric correlation analysis and autoregressive moving average (ARMA) models are employed, supplying strong evidence of sustained inertia and overreaction in market returns, and non-normally distributed, highly interrelated, but stationary, weather conditions. But contrary to earlier findings, the results indicate that the weather has no influence on market returns confirming that Australian investors weather the weather, whether they like it or not. A. C. Worthington http://works.bepress.com/acworthington/18 http://works.bepress.com/acworthington/18 Tue, 27 May 2008 15:29:30 PDT This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long-term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, macroeconomic factors are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these models is higher for direct office, listed property trust and property stock returns and that the persistence of volatility shocks varies across the different markets, with volatility half lives of between five and seven months for direct retail and industrial property, two and three months for direct office property and less than two months with both forms of indirect property investment. T. West http://works.bepress.com/acworthington/17 http://works.bepress.com/acworthington/17 Tue, 27 May 2008 15:29:27 PDT Regression modeling is used to predict gambling patterns in Australia on the basis of the unit record files underlying the Australian Bureau of Statistics' Household Expenditure Survey of 6,892 households. The four largest categories of gambling expenditure are examined, namely: lottery tickets, lotto-type games and instant lottery (scratch cards), TAB (pari-mutuel wagering) and related on course betting, and poker (slot) machines and ticket machines. Determining factors analyzed include the source and level of household income, family composition and structure, welfare status, gender, age, ethnicity and geographic location. Apart from the determinants of expenditure varying widely across the different types of gambling activity, the results generally indicate that the source of household income is more important than the level of income and that household composition and regional location are likewise significant in determining gambling expenditure. A. C. Worthington http://works.bepress.com/acworthington/16 http://works.bepress.com/acworthington/16 Tue, 27 May 2008 15:29:23 PDT In this study, 35,805 paintings by forty-five leading Australian artists sold at auction over the period 1973-2003 are used to construct individual hedonic price indices. The attributes included in each artist's hedonic regression model include the size and medium of the painting and the auction house and year in which the painting was sold. The indexes show that average annual returns across all artists range between four and fifteen percent and with a mean of eight percent, with the highest returns for works by Brett Whiteley, Jeffrey Smart, Cecil Brack and Margaret Olley. Riskadjusted returns are generally lower, with reward-to-volatility and reward-to-variability ratios averaging 1.5 percent and 5.8 percent, respectively. The portfolio betas for individual artistic work average 0.41. The hedonic regression models also capture the willingness to pay for perceived attributes in the artwork, and these shows that works executed in oils and gouache, and those auctioned by Deutscher-Menzies, Sotheby's and Christies are generally associated with higher prices. A. C. Worthington http://works.bepress.com/acworthington/15 http://works.bepress.com/acworthington/15 Tue, 27 May 2008 15:29:20 PDT This note examines the weak-form market efficiency of the Australian stock market. Daily returns from 6 January 1958 to 12 April 2006 and monthly returns from February 1875 to December 2005 are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The serial correlation tests indicate inefficiency in daily returns and borderline efficiency in monthly returns, while the runs tests conclude that both series are weak-form inefficient. The unit root tests suggest weak-form inefficiency in both return series. The results of the more stringent and least restrictive variance ratio tests indicate that the monthly returns series is characterised by a homoskedastic random walk, but the daily series violates weak-form efficiency because of the short-term autocorrelation in returns. A. C. Worthington http://works.bepress.com/acworthington/14 http://works.bepress.com/acworthington/14 Tue, 27 May 2008 15:29:17 PDT This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy. The evidence also suggests the consumer discretionary, financial and materials sectors are relatively more interrelated than the consumer staples and industrials sectors. This has clear implications for portfolio diversification and asset pricing in the EU. S. Taing http://works.bepress.com/acworthington/13 http://works.bepress.com/acworthington/13 Tue, 27 May 2008 15:29:14 PDT This paper examines business support for the introduction of state-wide and zonal daylight saving time in Queensland on the basis of a survey of 708 businesspersons in 2002. Binary logit models are specified with the dependent variable defined as support for the introduction of daylight saving and the independent variables comprising industry and region identifiers, assessment of current and future business conditions, expectations of the impact of daylight saving on profits, sales, administration costs and staffing and the number of employees. The results suggest that support for the introduction of daylight saving is a function of positive expectations regarding staffing, sales and administration costs and is associated with the utility and communications, finance and insurance and cultural and recreational services industries. There also appears to be strong rural and regional resistance to the introduction of daylight saving, even among the business community. A. C. Worthington http://works.bepress.com/acworthington/12 http://works.bepress.com/acworthington/12 Tue, 27 May 2008 15:29:11 PDT Logit models are used to predict access and awareness of personal bank accounts. Access is defined as the ability and willingness to use ATM, EFTPOS, telephone and internet banking. Awareness relates to the understanding of bank statements, fee and charges, account shopping around and internet calculators. Newer ways of accessing bank accounts are confined to young, urban, well-educated, white-collar occupations. Awareness is lower for respondents with less education, non-workers, farm workers, unskilled and renting households, and higher for white-collar occupations, couples and those with higher incomes and savings. A. C. Worthington http://works.bepress.com/acworthington/11 http://works.bepress.com/acworthington/11 Tue, 27 May 2008 15:29:08 PDT This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the analysis. Panel unit root tests are used to test for non-stationarity, and multivariate cointegration, Granger causality and level VAR procedures and variance decompositions are conducted to examine the equilibrium and causal relationships among these markets. The results indicate that there is a stationary long-run equilibrium relationship among, and significant and substantial short and long-run causal linkages between, these markets. The findings offer complementary evidence that a high level of financial integration prevails in the region. A. C. Worthington http://works.bepress.com/acworthington/10 http://works.bepress.com/acworthington/10 Tue, 27 May 2008 15:29:05 PDT This paper employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single most significant structural break, the results from both models clearly indicate that the null of at least one unit root cannot be rejected for almost all series examined. The structural breaks found coincide with important policy changes during the period of financial deregulation starting in the 1980s. M. Pahlavani http://works.bepress.com/acworthington/9 http://works.bepress.com/acworthington/9 Tue, 27 May 2008 15:29:02 PDT This paper examines the role of demographic, socioeconomic and debt portfolio characteristics as contributors to financial stress in Australian households. The data is drawn from the most-recent Household Expenditure Survey and relates to 3,268 probability-weighted households. Financial stress is defined, amongst other things, in terms of financial reasons for being unable to have a holiday, have meals with family and friends, engage in hobbies and other leisure activities and general money management. Characteristics examined included family structure and composition, source and level of household income, age, sex and marital status, ethnic background, housing value, debt repayment of various types and credit card usage. Binary logit models are used to identify the source and magnitude of factors associated with financial stress. The evidence provided suggests that financial stress is higher in families with more children and those from ethnic minorities, especially when reliant on government pensions and benefits, and lower in families with higher disposable incomes and housing values. There is weak evidence that Australia's historically high levels of household debt cause financial stress. A. C. Worthington http://works.bepress.com/acworthington/8 http://works.bepress.com/acworthington/8 Tue, 27 May 2008 15:28:59 PDT This paper uses suburb-level quarterly data to model residential water demand in Brisbane, Australia from 1998 to 2003. In this system, residential consumption is charged using a fixed annual service fee with no water entitlement followed by a fixed volumetric charge per kilolitre. Water demand is specified as average quarterly household water consumption and the demand characteristics include the marginal price of water, household income and size, and the number of rainy and warm days. The findings not only confirm residential water as price and income inelastic, but also that the price and income elasticity of demand in owner-occupied households is higher than in rented households. The results also show that weather, particularly summer months and the number of rainy days, exerts a strong influence on residential water consumption. M. Hoffmann http://works.bepress.com/acworthington/7 http://works.bepress.com/acworthington/7 Tue, 27 May 2008 15:28:55 PDT This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price movements. The macroeconomic factors comprise the market portfolio, oil prices, exchange rates and the term premium. The nine industries include banking, diversified financials, energy, insurance, media, property trusts, materials, retailing and transportation. The results indicate that oil prices are an important determinant of returns in the banking, energy, materials, retailing and transportation industries. The findings also suggest that the effects of oil price movements are persistent - retail excess returns, for example, are negatively related to current and one and three-month lagged oil price changes. Nonetheless, the proportion of variation in excess returns explained by the contemporaneous and lagged oil prices appears to have declined during the sample period. E. McSweeney http://works.bepress.com/acworthington/6 http://works.bepress.com/acworthington/6 Tue, 27 May 2008 15:28:53 PDT This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have found that the shocks provided by natural disasters have an influence on market sector returns, depending upon the sector in question. The sectors most sensitive to disasters of any type are the consumer discretionary, financial services and materials sectors while the most significant single event during the past eight years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market. A. Valadkhani http://works.bepress.com/acworthington/5 http://works.bepress.com/acworthington/5 Tue, 27 May 2008 15:28:49 PDT This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller, Phillips-Perron and Kwiatkowski, Phillips, Schmidt and Shin unit root tests and multiple variance ratio tests. The serial correlation and runs tests conclude that all of the markets are weak-form inefficient. The unit root tests suggest weak-form efficiency in all markets, with the exception of Australia and Taiwan. The results from the more stringent variance ratio tests indicate that none of the emerging markets are characterised by random walks and hence are not weak-form efficient, while only the developed markets in Hong Kong, New Zealand and Japan are consistent with the most stringent random walk criteria. A. C. Worthington http://works.bepress.com/acworthington/4 http://works.bepress.com/acworthington/4 Tue, 27 May 2008 15:28:46 PDT This paper clusters and ranks the research performance of thirty-six Australian universities over the period 1998-2002. Research performance is measured according to audited numbers of PhD completions, publications and grants (in accordance with rules established by the Department of Education, Science and Training) and analysed in both total and per academic staff terms. Hierarchical cluster analysis supports a binary division between fifteen higher and twenty-two lower-performing universities, with the specification in per academic staff terms identifying the self-designated research intensive 'Group of Seven' (Go7) universities, plus several others in the better-performing group. Factor analysis indicates that the top-three research performers are the Universities of Melbourne, Sydney and Queensland in terms of total research performance and the Universities of Melbourne, Adelaide and Western Australia in per academic staff terms. A. Valadkhani http://works.bepress.com/acworthington/3 http://works.bepress.com/acworthington/3 Tue, 27 May 2008 15:28:43 PDT This note examines demographic and socioeconomic characteristics as predictors of emergency finance in Australian households. The data is from the Household Expenditure Survey Confidentialised Unit Record Files and relates to 6,892 households. Emergency finance is defined as the ability to raise $2,000 within a week and its potential sources include own savings, loans from deposit-taking institutions, finance companies, credit cards, family and friends, welfare or community organisations and selling household assets. Characteristics examined included family structure, household income, age, sex and marital status, ethnic background and housing value. Multinomial logistic models indicate income, housing value and status are key factors influencing the ability to raise emergency finance. The model is more accurate predicting the inability to raise emergency finance and emergency finance sourced from own savings and deposit-taking institutions. A. C. Worthington http://works.bepress.com/acworthington/2 http://works.bepress.com/acworthington/2 Tue, 27 May 2008 15:28:40 PDT In this study, productivity growth in thirty-five Australian universities is investigated using nonparametric frontier techniques over the period 1998 to 2003. The inputs included in the analysis are full-time equivalent academic and non-academic staff, non-labour expenditure and undergraduate and postgraduate student load and the outputs are undergraduate, postgraduate and PhD completions, national competitive and industry grants and publications. Using Malmquist indices, productivity growth is decomposed into technical efficiency and technological change. The results indicate that annual productivity growth averaged 3.3 percent across all universities, with a range between -1.8 percent and 13.0 percent, and was largely attributable to technological progress. However, separate analyses of research-only and teaching-only productivity indicate that most of this gain was attributable to improvements in research-only productivity associated with pure technical and some scale efficiency improvements. While teaching-only productivity also contributed, the largest source of gain in that instance was technological progress offset by a slight fall in technical efficiency. A. C. Worthington http://works.bepress.com/acworthington/1 http://works.bepress.com/acworthington/1 Tue, 27 May 2008 15:28:37 PDT This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong ARCH and GARCH effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. A. C. Worthington