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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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  • 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
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390321/2010-12-the-market-sensitivity-of-australian-superannuation-socially-responsible-investment-funds-evidence.pdf
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    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. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Other publications TiSEM 684d2aba-7b82-4306-b6a0-d, Tilburg University, School of Economics and Management.
    3. 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.
    4. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    5. Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
    6. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.
    7. Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
    8. 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.
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    16. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-1250, December.
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    19. Andrea Beltratti, 2003. "Socially Responsible Investment in General Equilibrium," Working Papers 2003.93, Fondazione Eni Enrico Mattei.
    20. Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
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    More about this item

    Keywords

    Superannuation funds; Socially responsible investments; Markov regime switching;
    All these keywords.

    JEL classification:

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

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