This paper examines the volatility transmission mechanism between the futures and corresponding underlying asset spot markets, focusing on Turkish currency and stock index futures traded on the lately established Turkish Derivatives Exchange (TURKDEX). Employing multivariate generalized...

This paper investigates the shock and volatility transmission between the Istanbul Stock Exchange (ISE) sector indexes. Using daily data of ISE National Industry, National Service, National Finance and National Technology indexes from July 30, 2000 to August 27, 2009 and employing a series of...

In the early 2000s, the precious metal markets entered into a new phase where a steady rise of prices had been observed until the October 2008 crash. Given the size and importance of precious metal market, as well as the hedging capacity of precious metals due to their low correlation with...

In oil markets, the crack spread refers to the crude-product price relationship. Refiners are major participants in oil markets and they are primarily exposed to the crack spread. In other words, refiner activity is substantially driven by the objective of protecting the crack spread. Moreover,...

Investors take the advantage of disequilibrium in spot and forward exchange markets by investing in higher yield currency on a covered basis. An alternative of covered interest arbitrage is uncovered interest arbitrage (UIA) in which investors choose to remain uncovered accepting the currency...