5,848 results for 2013

  • Essays on Return Predictability

    Lu, Helen (2013-08-21)

    Doctoral thesis
    The University of Auckland Library

    This dissertation is a collection of three essays that investigate the momentum effect and the short-run predictability in currency carry trade profits. The first essay investigates whether tail risks of momentum strategies make them unattractive within the context of prospect utility. Momentum returns have strongly asymmetric tail risks and that asymmetric tail risk is precisely what makes momentum strategies unattractive. This study is the first to document the undesirable tail risk characteristics of momentum returns. The second essay uncovers economically significant predictability in carry trade profits from shorting the low-yielding currencies. The monthly world equity index return, monthly changes in currency volatility and monthly changes in equity volatility predict carry trade profits from the short leg two months later, while monthly changes in commodity prices, monthly changes in currency volatility and monthly changes in equity volatility predict carry trade profits from the long leg three months later. Investors could have used the discovered leg-specific predictability to time the market and improve their trading outcomes, instead of staying fully invested or predicting carry trade profits from both legs with a single model. Evidence from two tests conducted in this essay points towards the gradual information diffusion model as the most likely explanation for the discovered predictability, while time varying risk premia do not seem to explain this effect. The last essay examines return predictability among carry trades, stocks and commodities in a dynamic vector auto regression setting. The predictive effect goes from commodities to stock, from stocks to low-yielding currencies and from commodities to high-yielding currencies. Variables in these markets are more strongly correlated in the high-risk regime than in the low-risk regime. Drops in the world equity index (commodity prices), but not rises, predict decreases in carry trade profits from low-yielding (high-yielding) currencies. Increases in currency volatility, but not decreases, predict drops in carry trade profits from low-yielding currencies. The in-sample asymmetric effects also exist out-of-sample, but these asymmetric prediction models do not consistently deliver better forecasts than symmetric models.

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  • The Scope of the Validation Power in the Wills Act 2007

    Peart, Nicola; Kelly, Greg (2013)

    Journal article
    University of Otago

    When the new Wills Act was adopted in 2007 it made a number of changes to the law regulating wills. Probably the most radical change is the power in s 14 to validate wills that do not comply with the formal requirements for making a valid will in s 11. This change follows Australia’s lead, where a similar power, referred to as a dispensing power, has existed since 1975. Initial concerns that it would encourage sloppy will-making and result in uncertainty and a flood of applications turned out to be groundless. The constraints imposed by the wording of the Australian provisions together with judicial restraint in the exercise of the power, at least initially, as well as the increased cost, delays and uncertainty about the outcome of applications were strong incentives for complying with the formal requirements. The Australian experience and the benefits of saving wills from invalidity on purely technical grounds persuaded the New Zealand Law Commission to recommend the adoption of a similar, though not identical, power in its Report Succession Law — A Succession (Wills) Act in 1997. That recommendation was eventually implemented with the adoption of the Wills Act 2007. The Wills Act 2007 came into force on 1 November 2007. It applies to all persons dying on or after that date, regardless of the date of the will. It was not until August 2009, however, that the validation power was invoked for the first time. The reason for the delay may have been because the validation power could not then be applied to wills made before 1 November 2007 even though the will-maker died after that date. The transitional provisions prevented retrospective application of the validation power. An amendment in 2012 now enables the power to be used in respect of all non-compliant wills regardless of the date they were made. Since the first application to validate a non-compliant will in 2009 there has been a steady increase in the number of applications. By October 2012 at least 43 applications had been made, of which 41 were successful. The two applications that were declined failed because there was no jurisdiction at the time to validate wills made before 1 November 2007. In the 41 cases where jurisdiction did exist, the success rate was 100 per cent. From this body of case law a picture is beginning to emerge of a jurisdiction that has the potential to go well beyond its Australian counterpart in giving effect to testamentary intentions. The aim of this article is to evaluate the use of the validation power in New Zealand to determine its scope and assess the risks associated with a broad jurisdiction. Before embarking upon that task, it is necessary to outline the formal requirements for a valid will and explain their purpose.

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  • Application of Polynomial Chaos to Quantify Uncertainty in Deterministic Channel Models

    Austin, Andrew; Sood, N; Siu, J; Sarris, CD (2013-11)

    Journal article
    The University of Auckland Library

    A non-intrusive formulation of the polynomial chaos method is applied to quantify the uncertainties in deterministic models of the indoor radio channel. Deterministic models based on the finite-difference time-domain (FDTD) method and ray tracing are examined. Various sources of parameter uncertainty are considered, including randomness in the material properties, building geometry, and the spatial location of transmitting and receiving antennas. The polynomial chaos results are confirmed against Monte Carlo simulations and experimental measurements. The analysis shows the expected variation in the sector-averaged path loss can be considerable for relatively small input parameter uncertainties, leading to the conclusion that a single simulation run using `nominal values' may be insufficient to adequately characterize the indoor radio channel.

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  • Efficient Analysis of Geometrical Uncertainty in the FDTD Method Using Polynomial Chaos With Application to Microwave Circuits

    Austin, Andrew; Sarris, CD (2013-12)

    Journal article
    The University of Auckland Library

    A novel finite-difference time-domain (FDTD)-based method is developed to analyze 3-D microwave circuits with uncertain parameters, such as variability and tolerances in the physical dimensions and geometry introduced by manufacturing processes. The proposed method incorporates geometrical variation into the FDTD algorithm by appropriately parameterizing and distorting the rectilinear and curvilinear computational lattices. Generalized polynomial chaos is used to expand the time-domain electric and magnetic fields in terms of orthogonal polynomial chaos basis functions of the uncertain mesh parameters. The technique is validated by modeling several microstrip circuits with uncertain physical dimensions and geometry. The computed S-parameters are compared against Monte Carlo simulations, and good agreement for the statistics is observed over 0-25 GHz. A considerable computational advantage over the Monte Carlo method is also achieved.

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  • Increased protein intake decreases postnatal growth faltering in ELBW babies

    Cormack, Barbara; Bloomfield, Francis (2013-09)

    Journal article
    The University of Auckland Library

    OBJECTIVE: To determine whether purposely designed nutritional guidelines for extremely low birthweight (ELBW; birth weight <0.001). CONCLUSIONS: Simple, standardised nutritional guidelines can result in recommended protein intakes for ELBW babies being achieved and result in increased GV. Downward crossing of centiles between birth and discharge, common in ELBW babies, is significantly reduced for weight, length and head circumference.

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  • Is a capital gains tax the answer to New Zealand's tax alchemy?

    Cassidy, Julie; Cheng, A; Yong, S (2013-01-25)

    Conference item
    The University of Auckland Library

    Unlike most OECD countries, including the United Kingdom and Australia, New Zealand has never implemented a realisation based capital gains tax (‘CGT’). Coupled with the fact that the New Zealand judiciary has steadfastly maintained the income/capital dichotomy, this has extended to certain taxpayers, most notably wealthier New Zealanders, the tax equivalent of alchemy. By making tax free capital gains from capital investments, such persons have truly struck gold! On 14 July 2011 the New Zealand Labour Party released its key tax policies for the then upcoming 2011 election. One of these policies included broadening the New Zealand tax base by introducing a CGT. Post the election, the Labour Party announced on 15 March 2012 that it will retain its plans for a CGT. The background to these announcements are the findings of a number of New Zealand Review Committees which have considered whether the New Zealand tax base should be so broadened by introducing a CGT. The McLeod Review 2001 Issues paper, for example, noted that CGT regimes “tend to be some of the most complex areas of tax law.” The Issues paper raised a number of design issues that lend to the complexity of a CGT, including: • identifying what constitutes an asset, noting that intangible property is particularly problematic; and • determining which methods of transferring full or partial economic ownership of an asset is a ‘realisation event’. Equally problematic is the identification of the acquisition of an asset. This paper looks at these three design features through a comparative analysis of the CGT regimes in the United Kingdom, Australia and South Africa. It concludes that there are many lessons New Zealand can learn from the CGT experiences of these three Nations.

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  • Internal pressure in real flexible porous buildings with a dominant opening: Design perspective

    Guha, TK; Sharma, Rajnish; Richards, Peter (2013-02)

    Journal article
    The University of Auckland Library

    Analytical and associated numerical investigations of the fluctuating internal pressures induced through a dominant opening in real buildings with leaky and flexible envelopes are undertaken. The damping effect of these factors both separately and in combination are quantified using RMS internal pressure coefficients and equivalent damping ratios for a range of envelope flexibilities and background porosities for the case of the Texas Technical University test building and a large-span industrial building. Simulated ratios of the RMS internal pressures and the peak spectral response of internal pressure for leaky and flexible buildings to that of rigid nonporous envelopes are presented in nondimensional format for a range of building volumes, opening areas, and porosity ratios. Additionally, nondimensional curves of the RMS internal to external pressure ratios for real flexible and leaky envelopes are presented along with experimental data reported in the literature in a form suitable for design purposes.

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  • Dynamic wind load on an internal partition wall inside a compartmentalized building with an external dominant opening

    Guha, TK; Sharma, Rajnish; Richards, Peter (2013-06)

    Journal article
    The University of Auckland Library

    A theoretical and experimental investigation of the net dynamic load on the partition wall resulting from the internal pressure in a compartmentalized building with and without an internal opening is reported in this paper for a building with an external opening. An increase in the mean and net dynamic load on the partition wall with decrease in the size of the internal opening as predicted by the set of theoretical equations is backed by wind tunnel tests. In particular, a good agreement between the theoretical and measured admittance function of net wall partition load to ridge height dynamic pressure is observed for a loss coefficient value of 2.78. While the mean load on the partition wall with an internal opening is found to be predictably low from pressure equalization on either side of the wall, gust load factors of 2–3 in combination with Helmholtz resonance of internal pressure observed in the study can have severe implications on the direct and fatigue wind loads on partition walls, which are not usually designed to withstand such loads. A wind-loading standard from Standards Australia/New Zealand Standards recognizes this issue and provides adequate provisions for internal wall loading resulting from the dynamic effects of internal pressure.

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  • Internal pressure dynamics of a leaky and quasi-statically flexible building with a dominant opening

    Guha, TK; Sharma, Rajnish; Richards, Peter (2013)

    Journal article
    The University of Auckland Library

    An analytical model of internal pressure response of a leaky and quasi-statically flexible building with a dominant opening is provided by including the effect of the envelope external pressure fluctuations on the roof, in addition to the fluctuating external pressure at the dominant opening. Wind tunnel experiments involving a flexible roof and different building porosities were carried out to validate the analytical predictions. While the effect of envelope flexibility is shown to lower the Helmholtz frequency of the building volume-opening combination, the lowering of the resonant peak in the internal and net roof pressure coefficient spectra is attributed to the increased damping in the system due to inherent background leakage and envelope flexibility. The extent of the damping effects of \'skin\' flexibility and background leakage in moderating the internal and net pressure response under high wind conditions is quantified using the linearized admittance functions developed. Analytical examples provided for different combinations of background leakage and envelope flexibility show that alleviation of internal and net pressure fluctuations due to these factors by as much as 40 and 15% respectively is possible compared to that for a nominally sealed rigid building of the same internal volume and opening size.

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  • Field studies of wind induced internal pressure in a warehouse with a dominant opening

    Guha, TK; Sharma, Rajnish; Richards, Peter (2013-01)

    Journal article
    The University of Auckland Library

    A field study of wind-induced internal pressures in a flexible and porous industrial warehouse with a single dominant opening, of various sizes for a range of moderate wind speeds and directions, is reported in this paper. Comparatively weak resonance of internal pressure for oblique windward opening situations, and hardly discernible at other wind directions, is attributed to the inherent leakage and flexibility in the envelope of the building in addition to the moderate wind speeds encountered during the tests. The measured internal pressures agree well with the theoretical predictions obtained by numerically simulating the analytical model of internal pressure for a porous and flexible building with a dominant opening. Ratios of the RMS and peak internal to opening external pressures obtained in the study are presented in a non-dimensional format along with other published full scale measurements and compared with the non-dimensional design equation proposed in recent literature.

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  • Proper orthogonal decomposition of the flow field in a plane jet

    Shim, Young-Min; Sharma, Rajnish; Richards, Peter (2013-11)

    Journal article
    The University of Auckland Library

    An experimental study was performed for the developing structural characteristics of a plane jet at Re = 3000. The velocity field measurements were made using particle image velocimetry (PIV) in a water jet facility. The proper orthogonal decomposition (POD) method was applied to the two-dimensional PIV data to reveal large-scale vortical structures in the jet flow. The symmetrical counter-rotating vortices that have been discussed in previous jet studies were confirmed in the initial region. It was found that these vortices were generated as a result of the first vortex merging at the subharmonic sideband frequency, (fo±fc)/2, where fo was the initial jet shear instability frequency and fc was the jet column frequency. Moving downstream, their characteristic frequency evolved into fo/2-3fc/4 through nonlinear interaction. In the interaction region, symmetrical vortices were gradually displaced with each other in the streamwise direction and antisymmetrical vortices were eventually formed. The negative correlation between streamwise velocity fluctuations at two points on opposite sides of the jet centreline was caused by the passage of vortical structures.

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  • Wake up New Zealand: Directors' Duties Reform Responses to the GFC

    Cassidy, Julie (2013-12-11)

    Conference item
    The University of Auckland Library

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  • Permutation auto-mutual information of electroencephalogram in anesthesia

    Liang, Z; Wang, Y; Ouyang, G; Voss, LJ; Sleigh, James; Li, X (2013-04)

    Journal article
    The University of Auckland Library

    OBJECTIVE: The dynamic change of brain activity in anesthesia is an interesting topic for clinical doctors and drug designers. To explore the dynamical features of brain activity in anesthesia, a permutation auto-mutual information (PAMI) method is proposed to measure the information coupling of electroencephalogram (EEG) time series obtained in anesthesia. APPROACH: The PAMI is developed and applied on EEG data collected from 19 patients under sevoflurane anesthesia. The results are compared with the traditional auto-mutual information (AMI), SynchFastSlow (SFS, derived from the BIS index), permutation entropy (PE), composite PE (CPE), response entropy (RE) and state entropy (SE). Performance of all indices is assessed by pharmacokinetic/pharmacodynamic (PK/PD) modeling and prediction probability. MAIN RESULTS: The PK/PD modeling and prediction probability analysis show that the PAMI index correlates closely with the anesthetic effect. The coefficient of determination R(2) between PAMI values and the sevoflurane effect site concentrations, and the prediction probability Pk are higher in comparison with other indices. The information coupling in EEG series can be applied to indicate the effect of the anesthetic drug sevoflurane on the brain activity as well as other indices. The PAMI of the EEG signals is suggested as a new index to track drug concentration change. SIGNIFICANCE: The PAMI is a useful index for analyzing the EEG dynamics during general anesthesia.

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  • Parameter selection in permutation entropy for an electroencephalographic measure of isoflurane anesthetic drug effect

    Li, D; Liang, Z; Wang, Y; Hagihira, S; Sleigh, James; Li, X (2013-04-01)

    Journal article
    The University of Auckland Library

    The permutation entropy (PE) of the electroencephalographic (EEG) signals has been proposed as a robust measure of anesthetic drug effect. The calculation of PE involves the somewhat arbitrary selection of embedding dimension (m) and lag (τ) parameters. Previous studies of PE include the analysis of EEG signals under sevoflurane or propofol anesthesia, where different parameter settings were determined using a number of different criteria. In this study we choose parameter values based on the quantitative performance, to quantify the effect of a wide range of concentrations of isoflurane on the EEG. We analyzed a set of previously published EEG data, obtained from 29 patients who underwent elective abdominal surgery under isoflurane general anesthesia combined with epidural anesthesia. PE indices using a range of different parameter settings (m = 3-7, τ = 1-5) were calculated. These indices were evaluated as regards: the correlation coefficient (r) with isoflurane end-tidal concentration, the relationship with isoflurane effect-site concentration assessed by the coefficient of determination (R 2) of the pharmacokinetic- pharmacodynamic models, and the prediction probability (PK). The embedding dimension (m) and lag (τ) have significant effect on the r values (Two-way repeated-measures ANOVA, p < 0.001). The proposed new permutation entropy index (NPEI) [a combination of PE(m = 3, τ = 2) and PE(m = 3, τ = 3)] performed best among all the parameter combinations, with r = 0.89(0.83-0.94), R 2 = 0.82(0.76-0.87), and PK = 0.80 (0.76-0.85). Further comparison with previously suggested PE measures, as well as other unrelated EEG measures, indicates the superiority of the NPEI. The PE can be utilized to indicate the dynamical changes of EEG signals under isoflurane anesthesia. In this study, the NPEI measure that combines the PE with m = 3, τ = 2 and that with m = 3, τ = 3 is optimal. © 2012 Springer Science+Business Media New York.

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  • Effects of volatile anesthetic agents on cerebral cortical synchronization in sheep

    Li, D; Voss, LJ; Sleigh, James; Li, X (2013-07)

    Journal article
    The University of Auckland Library

    BACKGROUND: The exact neurophysiological mechanisms of anesthetic-induced unconsciousness are not yet fully elucidated. The cortical information integration theory hypothesizes that loss of consciousness during general anesthesia is associated with breakdown of long-distance cortical connectivity across multiple brain regions. However, what is the effect of anesthetics on neural activities at a smaller spatial scale? METHODS: The authors analyzed a set of previously published eight-channel electrocorticogram data, obtained from a 14-mm-long linear array of electrodes in eight adult merino sheep during general anesthesia induced by sevoflurane, desflurane, isoflurane, and enflurane. The S-estimator was applied to the bi-channel coherence matrix to construct an overall index called the SI, which is the entropy of the eigenvalues of the cortical coherence for each pair of channels within the multichannel electrocorticographic dataset. RESULTS: The SI values increased ~30-50% from the waking to the burst-suppression states, and returned to baseline during recovery. The anesthetic-induced increase in synchrony was most marked in the α (8-13 Hz) and β (13-30 Hz) frequency bands (P<0.05). Using prediction probability (PK) analysis, we found a significant correlation between the increase in spatial synchrony (as estimated by the SI at various frequency bands) and anesthetic-induced cortical depression (as estimated by the approximate entropy). CONCLUSIONS: The results suggest that it is feasible to use the SI to measure cortical synchrony, and over a local spatial scale of 2-14 mm, synchrony increased during general anesthesia.

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  • Y-interaction in an E-world: A generational exploration of social networking sites and impression management in the modern world of work

    Mulla, Parizad (2013)

    Doctoral thesis
    The University of Auckland Library

    The growing prominence of social networking sites such as Facebook, LinkedIn, Twitter, etc. over the last 5-8 years has coincided with the emergence in the workforce of Generation Y, and the gradual retirement of the Baby Boomers. The popular press has noted this generational shift and the changes it has purportedly brought with it to workplace environments, including the notable popularity of social media amongst Gen Y in their personal and professional lives. Scholarly studies have been slower to explore this phenomenon and its implications for individuals, workplaces or theoretical premises established on a backdrop of face-to-face rather than electronic interactions. This study aims to begin to fill this gap in the literature by exploring the generational differences in interactions on social networking sites in work contexts. It does so through the use of an established quantitative impression management paradigm, thereby also exploring the continuing and evolving application of that paradigm from its roots in face-to-face exchanges, to a current application that comprises online interactions on social media. In undertaking this exploration, the objectives of this study are 1) To provide a snapshot of work-related impression management behaviour on social networking sites across the generations; 2) To consider the implications of such trends in social networking and impression management for individuals and organisations. 3) To provide a basis for future studies.

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  • Monitoring the depth of anesthesia using entropy features and an artificial neural network

    Shalbaf, R; Behnam, H; Sleigh, James; Steyn-Ross, A; Voss, LJ (2013-08-15)

    Journal article
    The University of Auckland Library

    Monitoring the depth of anesthesia using an electroencephalogram (EEG) is a major ongoing challenge for anesthetists. The EEG is a recording of brain electrical activity, and it contains valuable information related to the different physiological states of the brain. This study proposes a novel automated method consisting of two steps for assessing anesthesia depth. Initially, the sample entropy and permutation entropy features were extracted from the EEG signal. Because EEG-derived parameters represent different aspects of the EEG features, it would be reasonable to use multiple parameters to assess the effect of the anesthetic. The sample entropy and permutation entropy features quantified the amount of complexity or irregularity in the EEG data and were conceptually simple, computationally efficient and artifact-resistant. Next, the extracted features were used as input for an artificial neural network, which was a data processing system based on the structure of a biological nervous system. The experimental results indicated that an overall accuracy of 88% could be obtained during sevoflurane anesthesia in 17 patients to classify the EEG data into awake, light, general and deep anesthetized states. In addition, this method yielded a classification accuracy of 92.4% to distinguish between awake and general anesthesia in an independent database of propofol and desflurane anesthesia in 129 patients. Considering the high accuracy of this method, a new EEG monitoring system could be developed to assist the anesthesiologist in estimating the depth of anesthesia in a rapid and accurate manner.

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  • Gap Junctions Regulate Seizure Activity - But in Unexpected Ways

    Voss, LJ; Sleigh, James (2013)

    Book item
    The University of Auckland Library

    Seizures are a poorly understood neurophysiological state epitomized by hypersynchronous excitatory brain activity. This chapter will explore the experimental and theoretical basis for the involvement of gap junctions in the generation of seizure activity. Interest in this subject has been driven by the idea that direct electrical communication between neurons (via open gap junctions) ought to promote hypersynchronous activity because of the rapid propagation of electrical activity between linked cells. A full understanding of this topic, however, rests upon an appreciation of the cell-specific distribution of gap junction subtypes across different brain networks. Of particular relevance are gap junction-linked astrocytic, inhibitory interneuronal and excitatory pyramidal cell networks. Research delineating the respective roles of each is in its infancy, but clues from recent experimental and theoretical mathematical modeling studies provide a solid foundation from which to explore this topic.

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  • Structure-activity relationships for ketamine esters as short-acting anaesthetics

    Jose, Jiney; Gamage, Swarnalatha; Harvey, MG; Voss, LJ; Sleigh, James; Denny, William (2013-09-01)

    Journal article
    The University of Auckland Library

    A series of aliphatic esters of the non-opioid anaesthetic/analgesic ketamine were prepared and their properties as shorter-acting analogues of ketamine itself were explored in an infused rat model, measuring the time after infusion to recover from both the anaesthetic (righting reflex) and analgesic (response to stimulus) effects. The potency of the esters as sedatives was not significantly related to chain length, but Me, Et and i-Pr esters were the more dose potent (up to twofold less than ketamine), whereas n-Pr esters were less potent (from 2- to 6-fold less than ketamine). For the Me, Et and i-Pr esters recovery from anaesthesia was 10-15-fold faster than from ketamine itself, and for the n-Pr esters it was 20-25-fold faster than from ketamine. A new dimethylamino ketamine derivative (homoketamine) had ketamine-like sedative effects but was slightly less potent than, but ester analogues of homoketamine had very weak sedative effects.

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  • Relocation following parental separation: International research, policy and practice

    Taylor, Nicola (2013)

    Journal article
    University of Otago

    Relocation disputes are widely regarded internationally as one of the most difficult and controversial issues in family law. This article outlines the legal context governing relocation disputes in New Zealand and briefly reviews the research literature on the impact of parental separation and relocation. The key findings are then set out from a three-year study (2007 to 2009) with 100 New Zealand families where one parent had sought to relocate with their child(ren), either within New Zealand or internationally. Interviews were conducted with 114 parents and 44 children and young people from these families about their experiences. The article concludes by traversing the efforts being made in the international legal policy context to adopt a more consistent approach to relocation disputes in common law jurisdictions.

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