Employing a bivariate GARCH(1,1) process for spot and futures markets returns, this paper determines the structure of the variance-covariance matrix in the BEKK model. Daily data from December 1995 to April 2001 are used for estimation. The differing structures, dynamic, diagonal and constant,...

Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly more studies have been undertaken of the veracity of such a...

The privileges of integration with the global economy have led developingcountries to embark on a path of liberalisation and globalisation. This resulted in rapidgrowth of inward and outward foreign direct investment from developing countries. Inthe last two decades there is an increasing trend...

Emerging equity markets have attracted foreign investor by their higher returns and prospect ofsuperior risk diversification benefits. In light of increasing flow of equity portfolio investmentsinto these economies and their subsequent integration with equity markets of developed world,studies...

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and...

In this paper, we investigate price interactions between two main components of European emerging financial markets, namely the foreign exchange market and the stock market, before and after the adoption of the Euro by most European Union (EU) economies. We estimate and test a bivariate vector...

The lead/lag relationship between large and small cap firms is investigated by using a number of Indian equity index series that differ in their market capitalisation characteristics. Large cap indices are found to lead small cap indices and to have higher speeds of adjustment towards intrinsic...

We examine whether greater investor protection leads to greater portfolio investments by utilizing different forms of investor protection measures and bilateral foreign equity portfolio investment data across 37 developed and developing markets. After controlling for a host of confounding...