This paper examines factors that affect the decision criterion used by market participants when determining whether to place buy and sell orders at market or away from the market on the Australian Stock Exchange (ASX). Using logit regressions, the results indicate that (i) the bid–ask spread, (ii) depth at the best price, (iii) price changes in the last 5 minutes, and (iv) order imbalance are major determinants of the traders' decision to place market and limit orders.

This paper studies daily returns of Internet stocks before and after the Internet Crash of March 27, 2000. We find evidence of a bubble before the Crash. We argue that this bubble was propelled by overconfident investors suffering from biased self-attribution. Our analysis of subgroups of Internet firms finds the stocks that were perhaps the most salient in investors' minds drove the death spiral of Internet stocks and, although the evidence is at best marginal, the entire U.S. market.

This paper is concerned with recursive estimation, testing and forecasting of the volatility of daily returns in Standard and Poor's 500 Composite Index in the presence of outliers, or significant spikes in the volatility of daily returns, and model misspecification. The empirical analysis increases the sample size up to 12000 observations recursively to examine the effects of outliers and misspecification on: (i) the parameter estimates of the ARCH(1) and GARCH (1,1) process; (ii) their associated asymptotic and robust t-ratios; (iii) the second and fourth moment conditions for stationarity, consistency and asymptotic normality; and (iv) the forecast performance for periods with significant spikes in volatility and for periods of relative calm.

This study investigates the interdependencies between a firm's degree of internationalisation and the corporate governance structure adopted. It builds on the concept of bi-directional causality between corporate governance and the degree of internationalisation. That is, we propose that while a firm's degree of internationalisation may affect the governance mechanisms in place, robust governance structures may aid the firm's move toward internationalisation. This proposition is, however, not supported based on a sample of 61 Australian firms. Tests of unidirectional causality show that the degree of internationalisation has a significant effect on the proportion of independent non-executive directors with international experience.

This study examines the market reaction to a recent Australian phenomenon in which mining/resource companies announce an intention to become associated with a private Internet or technology company. We find that the average market adjusted continuous abnormal return to the companies in our sample is approximately 24% over the [−4,+1] window. With a simple adaptation to the event study methodology, we find the pattern of abnormal returns is consistent with the presence of a speculative bubble. We also find that the type of technology in which the company intends to invest determines the level of abnormal returns. Mining companies that have accessed the equity capital market prior to the announcement experience lower abnormal returns.