Purpose – The purpose of this paper is to study the risk of misspecifying solvency models for insurance companies. Design/methodology/approach – Based on a basic solvency model, the authors examine the sensitivity of different risk measures with respect to model misspecification. An analysis...

Purpose – The Chinese stock market is a typical emerging market with special features that are very different from those of mature markets. The objective of this study is to investigate whether and how these features affect the volatility‐volume relation for Chinese stocks....

Purpose – The purpose of this study is to investigate the impacts of interval measured data, rather than traditional point data, on economic variability studies. Design/methodology/approach – The study uses interval measured data to forecast the variability of future stock market changes....

Purpose – Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a good diversification of risks. This study examines the correlation between catastrophe risk securities and...

Purpose – The study aims at examining how macroeconomic indicators affect the performance of stock markets by using the Ghana Stock Exchange as a case study. Design/methodology/approach – Quarterly time series data covering the period 1991‐2005 were used. Cointegration and the error...

Purpose – The paper aims to test the rational‐expectations hypothesis using data from the Chinese stock market. Design/methodology/approach – The rational‐expectations hypothesis plays a critical role in economic and financial studies. However, it is unclear whether this hypothesis is...

Purpose – The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models. Design/methodology/approach – The study considered six measures of volatility, the dynamic linear regression model, and the GARCH...

Purpose – The purpose of this paper is to discuss a multiscale pricing model for the French stock market by combining wavelet analysis and Fama‐French three‐factor model. The objective is to examine the relationship between stock returns and Fama‐French risk factors at different...

Purpose – The purpose of this paper is to examine the lead‐lag relationships between the National Stock Exchange (NSE) Nifty stock market index (in India) and its related futures and options contracts, and also the interrelation between the derivatives markets. Design/methodology/approach...

Purpose – The purpose of this paper is to explore the determinants of the cross‐market transmission mechanism for terrorist shocks, focusing on two major terrorist events and 68 national stock markets. Design/methodology/approach – The paper generates daily abnormal returns from a...