In two unrelated papers, we examine different aspects of mutual fund performance and otherissues. In the first chapter, we look at exchange-traded funds (ETFs) and how they differ fromindex funds in performance and tracking error. Using daily data and a more comprehensivesample than past...

In two unrelated papers, we examine different aspects of mutual fund performance and other issues. In the first chapter, we look at exchange-traded funds (ETFs) and how they differ from index funds in performance and tracking error. Using daily data and a more comprehensive sample than past...

The principal achievement of this paper is to introduce the operation of a specified‘Futures’ model and it’s practice for decision-makers of financial institutes through anexample based on the price data’s of grain futures market from EU assessment 2004 to thesedays in Hungary.Based on a...

Abstract The limited presence of futures exchanges in developing countries where commodity markets fall short of the ideal underscore the importance of understanding the relation between spot and futures markets. The paper examines the exceptional success of the soya oil contract at the National...

In this paper we examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (ISF) has impacted on the systematic risk and volatility of the underlying shares. The use of ISF allows a unique experimental design that complements existing work...

Extensive real estate studies have demonstrated the linkages between direct property and capital assets particularly REITs by emphasising on the common movements in prices. However, the study of volatility spillover between these assets is relatively limited. This study aims to investigate the...

The relative importance of the asset allocation decision versus the security selection decision in the investment process has been the subject of fierce debate over the last two decades. There is a common misconception that the asset allocation decision is the more important decision between the...

Typescript (photocopy).