This paper analyzes the random walk behaviour of futures prices when the exchange regulated by price limits. Using a model analogous to exchange rate target zone models, the study tests for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This...

This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time....

In this paper we examine the foreign bias in international asset allocation. Following extant literature in behavioral finance, we argue that a society's culture and the cultural distance between two markets play an important role in explaining the foreign bias. In particular, we hypothesize...

Intervention by the Reserve Bank of Australia on foreign exchange markets from 1993 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing and profitability considerations. Using Probit and friction models, we show that these factors...

Most econometric studies of equity market integration suggest that national markets are increasingly becoming part of a global equity market. As regards the extent of this integration, however, the results are often inconclusive. Further analysis calls for a closer scrutiny of the basic...

As one important form of market circuit breakers, price limits have been often imposed in stock and future mnarkets. This paper considers modelling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian...

We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

Correlations between international equity markets are often claimed to increase during periods of high volatility, therefore the benefits of international diversification are reduced when they are most needed, i.e. during crises. In this paper, we investigate the relationship between...

Many small island economies (SIEs) and micro-states host offshore finance centres (OFCs). Their low tax, minimalist regulatory regimes and bank secrecy make these OFCs highly attractive to global financial capitalism. The uneven relationship between transnational financial institutions operating...