The paper analyzes lead-lag relationships for six major stock market indexes: New York S&P 500, Tokyo Nikkei, London FT–30, Hong Kong Hang Seng, Singapore Straits Times, and Australia All Ordinaries, for time periods before, during, and after the October 1987 market crash. Unidirectional and...

In 1994, the Federal Reserve System moved to a more transparent reporting of monetary policy. This article assesses the impact of monetary policy transparency on uncertainty about future monetary policy using T-bill rate forecast dispersions and <italic>ex post</italic> forecast errors from the Survey of...

Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have...

This definitive selection of Professor Malliaris’s work in the area of futures markets provides a comprehensive analysis of the field. He examines the behaviour of futures prices, investigates random walks versus chaotic dynamics, researches the relationships between agricultural prices,...

This significant collection presents a compact guide to the subject of Futures Markets and will be an essential companion for students, researchers and practitioners.