IDEAS home Printed from https://ideas.repec.org/p/gri/fpaper/finance201012.html
   My bibliography  Save this paper

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

Author

Listed:
  • Eduardo Roca
  • Victor Wong
  • Gurudeo Tularam

Abstract

No abstract is available for this item.

Suggested Citation

  • Eduardo Roca & Victor Wong & Gurudeo Tularam, 2010. "The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach," Discussion Papers in Finance finance:201012, Griffith University, Department of Accounting, Finance and Economics.
  • Handle: RePEc:gri:fpaper:finance:201012
    as

    Download full text from publisher

    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
    Download Restriction: no

    References listed on IDEAS

    as
    1. Alberto Humala, 2005. "Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 77-94.
    2. 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, vol. 9(5), pages 501-511.
    3. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    4. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 177-191.
    5. 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, vol. 18(7), pages 583-597.
    6. Michael Drew & Jon Stanford, 2003. "Returns from investing in Australian equity superannuation funds, 1991--1999," The Service Industries Journal, Taylor & Francis Journals, vol. 23(4), pages 12-24, September.
    7. Chen, Son-Nan, 1982. "An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(02), pages 265-286, June.
    8. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    9. 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, vol. 10(1), pages 49-58.
    10. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Superannuation funds; Socially responsible investments; Markov regime switching;

    JEL classification:

    • G00 - Financial Economics - - General - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gri:fpaper:finance:201012. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Alexandr Akimov). General contact details of provider: http://edirc.repec.org/data/segriau.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.