The paper implements time series techniques of cointegration and vector autoregression (VAR) to assess the integration or segmentation of Malaysian equity market prior to the Asian crisis and after the imposition of capital controls. We consider both regional and international financial forces...

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Basel II’s New Standardized Approach: Possible Effects of Implementation Katherine Wyatt New York State Banking Department Abstract The New York State Banking Department surveyed 33 institutions in 2001 and 2002 for a study of the possible effects of the Standardized Approach of the proposed...

This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance. It explores the constraints that these entities face in using modern financial markets, including counterparty and...

World financial crisis unveiled the precarious position of modern monetary system based on a centralized fiat money supply and fractional-reserve banking. The scale of the crisis and the threat of major price inflation, which has already become a reality on commodities markets, confirm the...

The restrictions dealt with application of traditional methods of the analysis of equities are considered. It is shown that the methods of analysis, which have recommended themselves well in natural sciences, cannot be directly used in financial market study. The objective of this article is to...

Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...

World financial crisis unveiled the shaky state of modern monetary system, based on a centralized fiat money supply and fractional-reserve banking. The scale of the crisis and the threat of major inflation, which has already become a reality on commodities markets, confirm the instability of the...

World financial crisis unveiled the shaky state of modern monetary system, based on a centralized fiat money supply and fractional-reserve banking. The scale of the crisis and the threat of major inflation, which has already become a reality on commodities markets, confirm the instability of the...