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Eduardo Dacillo Roca

Personal Details

First Name:Eduardo
Middle Name:Dacillo
Last Name:Roca
Suffix:
RePEc Short-ID:pro225
[This author has chosen not to make the email address public]

Affiliation

Department of Accounting, Finance and Economics
Griffith Business School
Griffith University

Brisbane, Australia
https://www.griffith.edu.au/griffith-business-school/departments/accounting-finance-economics
RePEc:edi:segriau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Augustine Conteh & Benjamin Liu & Eduardo Roca, 2016. "Yes, social housing in Australia desperately needs financial innovation!," Discussion Papers in Finance finance:201605, Griffith University, Department of Accounting, Finance and Economics.
  2. Jen-Je Su & Eduardo Roca & Victor SH Wong, 2015. "The efficiency of Asian stock markets: Fresh evidence based on new tests," Discussion Papers in Finance finance:201507, Griffith University, Department of Accounting, Finance and Economics.
  3. Tian Yuan & Rakesh Gupta & Eduardo Roca, 2015. "Home Country Macroeconomic Fundamentals and the ADR Market: The Case of the BRICs," Discussion Papers in Finance finance:201502, Griffith University, Department of Accounting, Finance and Economics.
  4. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
  5. Sudharshan Reddy Paramati & Rakesh Gupta & Eduardo Roca, 2015. "Stock market interdependence between Australia and its trading partners: does trade intensity matter?," Discussion Papers in Finance finance:201506, Griffith University, Department of Accounting, Finance and Economics.
  6. Quynh Chau Pham & Benjamin Liu & Eduardo Roca, 2015. "The Mortgage Interest Rates and Cash Rate Cycle Relationship and International Funding Cost: Evidence in the Context of Australia," Discussion Papers in Finance finance:201504, Griffith University, Department of Accounting, Finance and Economics.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2014. "BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests," Discussion Papers in Accounting finance:201401, Griffith University, Department of Accounting, Finance and Economics.
  8. Parmendra Sharma & Eduardo Roca, 2011. "Reâ Designing Financial Systems: A Review of the Role of Stock Markets in Developing Economies," Discussion Papers in Finance finance:201120, Griffith University, Department of Accounting, Finance and Economics.
  9. Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
  10. Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
  11. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2010. "Hedging With Futures Contract: Estimation and Performance Evaluation of Optimal Hedge Ratios in the European Union Emissions Trading Scheme," Discussion Papers in Finance finance:201009, Griffith University, Department of Accounting, Finance and Economics.
  12. Hsien-Hung Yeh & Eduardo Roca, 2010. "Macroeconomic Conditions and Capital Structure: Evidence from Taiwan," Discussion Papers in Finance finance:201014, Griffith University, Department of Accounting, Finance and Economics.
  13. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
  14. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
  15. Zoltam Murgulov & Eduardo Roca, 2010. "Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?," Discussion Papers in Finance finance:201013, Griffith University, Department of Accounting, Finance and Economics.
  16. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "Estimating Optimal Hedge Ratio with Unknown Structural Breaks," Discussion Papers in Finance finance:201010, Griffith University, Department of Accounting, Finance and Economics.
  17. W.K. Adrian Cheung & Eduardo Roca, 2010. "Is Corporate Sustainability valued by Australian Investors?," Discussion Papers in Finance finance:201017, Griffith University, Department of Accounting, Finance and Economics.
  18. W K Adrian Cheung & Huimin Li & Eduardo Roca, 2010. "The Performance of Socially Responsible Investments Across Different Market Regimes," Discussion Papers in Finance finance:201018, Griffith University, Department of Accounting, Finance and Economics.
  19. 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.
  20. Benjamin Liu & Donghui Li & Eduardo Roca, 2009. "What Determine Mortgage Yield Spreads in Australia? Credit Criteria, Funding Channels and the Market Condition," Discussion Papers in Finance finance:200901, Griffith University, Department of Accounting, Finance and Economics.
  21. Eduardo D. Roca & Abdulnasser Hatemi-J, 2004. "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings 99, Econometric Society.
  22. Thanh Nguyen & Parmendra Sharma & Eduardo Roca, "undated". "2012-19 Re-designing banking structures: Are there lessons to be learnt from socialist systems? A study of five ASEAN economies," Discussion Papers in Finance finance:201219, Griffith University, Department of Accounting, Finance and Economics.
  23. Yuan Tian & Alexandr Akimov & Eduardo Roca & Victor Wong, "undated". "2012-10 Does the Carbon Market Help or Hurt the Stock Price of Electricity Companies? Further Evidence from the European Context," Discussion Papers in Finance finance:201210, Griffith University, Department of Accounting, Finance and Economics.

Articles

  1. Singh, Vikkram & Roca, Eduardo & Li, Bin, 2021. "Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 253-277.
  2. Stefen MacAskill & Rodney A. Stewart & Eduardo Roca & Benjamin Liu & Oz Sahin, 2021. "Green building, split-incentives and affordable rental housing policy," Housing Studies, Taylor & Francis Journals, vol. 36(1), pages 23-45, January.
  3. Vikkram Singh & Eduardo Dacillo Roca, 2021. "Weathering financial crisis in China: the role of global market integration," Applied Economics, Taylor & Francis Journals, vol. 53(15), pages 1756-1776, March.
  4. Lin, Yu En & Chu, Chien Chi & Omura, Akihiro & Li, Bin & Roca, Eduardo, 2020. "Arbitrage risk and the cross-section of stock returns: Evidence from China," Emerging Markets Review, Elsevier, vol. 43(C).
  5. Holland, Quynh Chau Pham & Liu, Benjamin & Roca, Eduardo & Salisu, Afees A., 2020. "Mortgage asymmetric pricing, cash rate and international funding cost: Australian evidence," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 46-68.
  6. Hai Yen Pham & Richard Yiu‐Ming Chung & Eduardo Roca & Ben‐Hsien Bao, 2019. "Discretionary accruals: signalling or earnings management in Australia?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(2), pages 1383-1413, June.
  7. Quynh Chau Pham Holland & Benjamin Liu & Eduardo Roca, 2019. "International funding cost and heterogeneous mortgage interest-rate pass-through: a bank-level analysis," Empirical Economics, Springer, vol. 57(4), pages 1255-1289, October.
  8. Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2019. "Agricultural commodity futures trading based on cross-country rolling quantile return signals," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1373-1390, August.
  9. Vikkram Singh & Bin Li & Eduardo Roca, 2019. "Global and regional linkages across market cycles: evidence from partial correlations in a network framework," Applied Economics, Taylor & Francis Journals, vol. 51(33), pages 3551-3582, July.
  10. Vikkram Singh & Eduardo Roca & Bin Li, 2018. "Cointegration networks in stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 663-667, June.
  11. Vikkram Singh & Bin Li & Eduardo Roca, 2017. "How pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles," Applied Economics, Taylor & Francis Journals, vol. 49(42), pages 4209-4230, September.
  12. Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2017. "Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 49(34), pages 3435-3452, July.
  13. Jen-Je Su & Adrian (Wai-Kong) Cheung & Eduardo Roca, 2017. "Quantile serial dependence in crude oil markets: evidence from improved quantilogram analysis with quantile wild bootstrapping," Applied Economics, Taylor & Francis Journals, vol. 49(29), pages 2817-2828, June.
  14. Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017. "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 49(16), pages 1584-1592, April.
  15. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
  16. Huayun Jiang & Jen‐Je Su & Neda Todorova & Eduardo Roca, 2016. "Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1231-1255, December.
  17. Yizheng Jin & Bin Li & Eduardo Roca & Victor Wong, 2016. "Water as an investment: liquid yet illiquid!," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 731-745, February.
  18. Thanh Pham Thien Nguyen & Son Hong Nghiem & Eduardo Roca, 2016. "Management Behaviour in Vietnamese Commercial Banks," Australian Economic Papers, Wiley Blackwell, vol. 55(4), pages 345-367, December.
  19. Gupta, Rakesh & Yuan, Tian & Roca, Eduardo, 2016. "Linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 230-239.
  20. Thanh Pham Thien Nguyen & Son Hong Nghiem & Eduardo Roca & Parmendra Sharma, 2016. "Efficiency, innovation and competition: evidence from Vietnam, China and India," Empirical Economics, Springer, vol. 51(3), pages 1235-1259, November.
  21. Thanh Pham Thien Nguyen & Son Hong Nghiem & Eduardo Roca & Parmendra Sharma, 2016. "Bank reforms and efficiency in Vietnamese banks: evidence based on SFA and DEA," Applied Economics, Taylor & Francis Journals, vol. 48(30), pages 2822-2835, June.
  22. Abdulnasser Hatemi-J & Eduardo Roca, 2016. "BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 48(59), pages 5772-5778, December.
  23. Sudharshan Reddy Paramati & Eduardo Roca & Rakesh Gupta, 2016. "Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4210-4226, September.
  24. Adrian (Wai-Kong) Cheung & Eduardo Roca & Jen-Je Su, 2015. "Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2348-2358, May.
  25. Benjamin Liu & Eduardo Roca & David Gallagher, 2015. "What drives mortgage fees in Australia?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 861-880, September.
  26. Paramati & Rakesh Gupta & Eduardo Roca, 2015. "Stock market interdependence between Australia and its trading partners: does trade intensity matter?," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5303-5319, October.
  27. Jamaani, Fouad & Roca, Eduardo, 2015. "Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 221-246.
  28. Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo, 2015. "Stock return predictability in South Africa: The role of major developed markets," Finance Research Letters, Elsevier, vol. 15(C), pages 257-265.
  29. Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014. "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, vol. 37(C), pages 137-142.
  30. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.
  31. Thanh Pham Thien Nguyen & Eduardo Roca & Parmendra Sharma, 2014. "How efficient is the banking system of Asia's next economic dragon? Evidence from rolling DEA windows," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2665-2684, August.
  32. Abdulnasser Hatemi-J & Eduardo Roca, 2014. "Estimating the optimal hedge ratio in the presence of potential unknown structural breaks," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 790-795, March.
  33. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
  34. Cheung, Adrian (Wai Kong) & Roca, Eduardo, 2013. "The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context," Journal of Asian Economics, Elsevier, vol. 24(C), pages 51-65.
  35. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
  36. Eduardo Roca & Gurudeo Anand Tularam, 2012. "Which way does water flow? An econometric analysis of the global price integration of water stocks," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2935-2944, August.
  37. Abdulnasser Hatemi-J & Eduardo Roca, 2012. "A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(11), pages 1443-1448, April.
  38. Hsien-Hung H. Yeh & Eduardo Roca, 2012. "Macroeconomic Conditions and Capital Structure over the Business Cycle: Further Evidence in the Context of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 141-156, September.
  39. Jen-Je Su & Eduardo Roca, 2012. "Examining the power of stochastic unit root tests without assuming independence in the error processes of the underlying time series," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 373-377, March.
  40. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  41. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
  42. Bin Li & Benjamin Liu & Eduardo Roca, 2011. "Stock returns and consumption factors in the Australian market: Cross-sectional tests," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 247-266, August.
  43. Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?," Accounting Research Journal, Emerald Group Publishing Limited, vol. 23(3), pages 254-266, November.
  44. Eduardo Roca & Victor S.H. Wong & Gurudeo Anand Tularam, 2010. "Are socially responsible investment markets worldwide integrated?," Accounting Research Journal, Emerald Group Publishing Limited, vol. 23(3), pages 281-301, November.
  45. Hatemi-J, Abdulnasser & Maneschiöld, Per-Ola & Roca, Eduardo, 2008. "Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 61(4), pages 665-685.
  46. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 293-299.
  47. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  48. Hatemi-J, Abdulnasser & Roca, Eduardo & Qiu, Jia Qiu, 2006. "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 59(3), pages 295-316.
  49. Hatemi-J , Abdulnasser & Roca, Eduardo & Tang, Fang, 2005. "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 58(4), pages 449-470.
  50. Eduardo D. Roca & Mark Brimble, 2005. "Long‐Term And Short‐Term Equity Market Price Interactions Between Australia And The Chinese States," Australian Economic Papers, Wiley Blackwell, vol. 44(3), pages 221-230, September.
  51. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004. "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 281-294, July.
  52. Abdulnasser Hatemi-J & Eduardo Roca, 2004. "An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 475-488.
  53. Eduardo Roca & E. Antony Selvanathan, 2001. "Australia and the three little dragons: are their equity markets interdependent?," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 203-207.
    RePEc:taf:apfiec:v:15:y:2005:i:8:p:539-546 is not listed on IDEAS
    RePEc:taf:apfiec:v:18:y:2008:i:7:p:583-597 is not listed on IDEAS
    RePEc:taf:apfiec:v:18:y:2008:i:14:p:1173-1180 is not listed on IDEAS
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:827-835 is not listed on IDEAS
    RePEc:taf:apfiec:v:9:y:1999:i:5:p:501-511 is not listed on IDEAS

Chapters

  1. Violeta Calanog & Eduardo Roca & Violeta Vicente, 1997. "Philippines," World Scientific Book Chapters, in: Ronald Ma (ed.), Financial Reporting In The Pacific Asia Region, chapter 14, pages 365-380, World Scientific Publishing Co. Pte. Ltd..

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-URE: Urban and Real Estate Economics (3) 2011-11-07 2015-07-04 2016-07-02
  2. NEP-CIS: Confederation of Independent States (2) 2014-03-15 2015-05-02
  3. NEP-MAC: Macroeconomics (2) 2010-10-23 2015-07-04
  4. NEP-BAN: Banking (1) 2015-07-04
  5. NEP-CFN: Corporate Finance (1) 2014-03-15
  6. NEP-FMK: Financial Markets (1) 2015-08-30
  7. NEP-GER: German Papers (1) 2015-08-30
  8. NEP-MON: Monetary Economics (1) 2015-07-04
  9. NEP-SEA: South East Asia (1) 2015-10-25

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