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The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach

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  • Eduardo Roca
  • Victor Wong
  • Gurudeo Tularam

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File URL: https://www120.secure.griffith.edu.au/research/items/d106f377-bb5f-61df-2d39-30458f6be409/1/2010-12-the-market-sensitivity-of-australian-superannuation-socially-responsible-investment-funds-evidence.pdf
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Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201012.

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Date of creation: Dec 2010
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Handle: RePEc:gri:fpaper:finance:201012

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Keywords: Superannuation funds; Socially responsible investments; Markov regime switching;

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  1. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  2. Alberto Humala, 2005. "Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(2), pages 77-94.
  3. Eduardo Roca & Victor Wong, 2008. "An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(7), pages 583-597.
  4. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers, Reserve Bank of Australia rdp2000-01, Reserve Bank of Australia.
  5. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk Exposure and Performance," Discussion Paper, Tilburg University, Tilburg Law and Economic Center 2007-013, Tilburg University, Tilburg Law and Economic Center.
  6. Eduardo Roca, 1999. "Short-term and long-term price linkages between the equity markets of Australia and its major trading partners," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(5), pages 501-511.
  7. Vanitha Ragunathan & Robert Faff & Robert Brooks, 2000. "Australian industry beta risk, the choice of market index and business cycles," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(1), pages 49-58.
  8. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
  9. Michael Drew & Jon Stanford, 2003. "Returns from investing in Australian equity superannuation funds, 1991--1999," The Service Industries Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(4), pages 12-24, September.
  10. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
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