Using daily data of four currencies (Japanese yen, euro, British pound, and Australian dollar) in terms of the U.S. dollar, and these four currencies in terms of the euro from January 2004 to February 2008, we examine the lead-lag relationship between the credit default swap (CDS) market and the...

This study examines the market-wide relations between the U.S. stock market and the credit default swap (CDS) market for the period of 2001-2007. Results indicate that the lead-lag relationship between the U.S. stock market and the CDS market depends on the credit quality of the underlying...

In this study, we examined the relations between trading volume, bid–ask spread, and price volatility on four financial and metal futures. Hausman’s (1978) tests of specification confirmed that trading volume, bid–ask spread, and price volatility are jointly determined. We estimated the...

We examine effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996-2011. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated sovereign bonds with their Macaulay duration for both investment- and...

In this paper, we analyze the impact of a transaction tax on the market quality of U.S. futures markets by estimating the elasticity of trading volume and of price volatility with respect to bid-ask spread in a three-equation model framework for eleven financial, agricultural, metals, and energy...

China, the second largest economy in the world after the US, has started the process to internationalize its currency, the renminbi (RMB), to become a global reserve currency. To this end, the offshore market for RMB-denominated bonds (dim sum bond) market in Hong Kong has been established to...

This paper discusses the role of Hong Kong in China's grand scheme to build up the RMB as a global reserve currency. We highlight the economic importance of Hong Kong to China in terms of channeling foreign direct investment into China, some of which, in the future, will be denominated in the...