Purpose – The purpose of this paper is to examine the long‐run relationship between the Indian capital markets and key macroeconomic variables such as interest rates, inflation rate, exchange rates and gross domestic savings (GDS) of Indian economy. Design/methodology/approach – Quarterly...

Purpose – This paper aims to propose a new method for credit risk allocation among economic agents. Design/methodology/approach – The paper considers a pool of bank loans subject to a credit risk and develops a method for decomposing the credit risk into idiosyncratic and systematic...

Purpose – The purpose of this paper is to estimate time‐varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index...

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...