Existing studies assume that the impact of democracy on FDI is the same for resource exporting and non-resource exporting countries. This paper examines whether natural resources alter the relationship between FDI and democracy. We estimate a linear dynamic panel-data model using data from 112...

We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...

There is compelling evidence that typical decision-makers, including individual investors and even professional money managers, care about the difference between their portfolio returns and a reference point, or benchmark return. In the context of financial markets, likely benchmarks against...

This paper develops a securities market model in which participants' beliefs diverge and prices are monotonic in beliefs. Relative to rational expectations (i.e., correct and unanimous beliefs), overconfidence among uninformed traders about the precision of experts' information leads to...

This paper applies stochastic dominance (SD) tests to examine the dominance relationship between the futures and spot markets in Malaysia, the preferences for the risk-averse and risk-seekers in these markets, the existence of arbitrage opportunities, and whether the markets are efficient and...

Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this paper, we investigate the effects of such breaks on estimated...

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at the Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from the bivariate fractionally integrated...

This paper investigates the effects of the spot-futures spread on the return and risk structure in currency markets. Using a bivariate dynamic conditional correlation GARCH framework, we find evidence of asymmetric effects of positive and negative spreads on the return and the risk structure of...

This article introduces mark-to-market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge...