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Abstract:
The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indices and share price index futures contract data into bear and bull periods and analyzing the change in the power of the bi-directional information feedback between the futures market and small, medium and large stocks. Results support the hypothesis that the nature of the price discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price sensitive fundamental information. We argue that in bull markets, futures trading becomes increasingly associated with non-information trading such as realizing paper profits, portfolio rebalancing and increased noise trading.

Abstract:
This study is the first attempt at placing the analysis of fertility in a temporal dynamic framework in the case of a developing Asian economy such as Thailand by binding the relationship between fertility and its determinants within a cointegrated system. The analysis is based on the application of the following recently developed dynamic time series techniques: cointegration, vector error-correction modelling, variance decompositions and the impulse response functions. The results tend to indicate that in the complex dynamic interactions, the importance of the conventional "structural" hypothesis as a significant factor in bringing fertility down in the longer term cannot be denied. However, in the short to longer term, our findings, although not fully supportive of any particular hypothesis, appear to be broadly consistent more with the hypothesis emphasising the critical role played by the "ideational" or diffusion forces along with the demographic variables in ensuring 'initial' fertility decline than with the
conventional "structural" hypothesis emphasising a significant socio-economic structural change as a pre-condition for "initial" fertility decline.

Abstract:
The stock market crash of October 1987 earmarked fears of a deep-seated financial crisis. In recent years, while there has been a number of empirical studies devoted to examinations of the number of common trends in a system of stock price indexes, only a minority has focused on what effect the crash has had on the characteristics [namely, the amount of co-movements amongst markets, their dynamic linkages, and implications for the transmission or propagation mechanism] of major stock markets. In this paper, we demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling (VECM) and forecast error variance decomposition (VDC) analysis, may be used to shed some light on these concerns in the context of six major international stock markets. Using two non-overlapping samples, we find evidence of a single conintegrating vector (or five common trends) over each of the pre-and post crash samples. A VECM is then constructed in which the temporal causal dynamics are examined, followed by decomposing the total impact of an unanticipated shock to each of the variables beyond the sample period, into proportions attributable to shocks in the other variables including its own. Results tend to broadly indicate: 1. the crash does not appear to have affected the relative leading role played by the US market over other markets, 2. the German and British markets seem to have become more dependent on other markets over the post-crash era relative to the pre-crash, 3. finally, this paper also provides confirming evidence that, in general, the crash has brought about a greater interaction amongst markets, with a greater role for fluctuations in explaining shocks across markets (including that for the US).