The Taiping Rebellion (1851-1864) in China was the deadliest civil war in history. This paper provides evidence that this cataclysmic event significantly shaped the Malthusian transition and long-term development that followed, especially in areas where the experiences that stemmed from the...

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 study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using...

The informational value of USDA corn and soybean production forecasts is investigated for the period 1971-1992. Three tests of informational content are considered: i) a relative forecast accuracy test, ii) a price reaction test, and iii) a willingness-to-pay test. Overall, the results suggest...

In this paper we search for optimal hedging strategy in stock index futures markets. We concentrate on the strategy that minimizes the portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. They are...