A theoretical model is presented, which predicts a heightening in return volatility following a news reversal. A reversal occurs when a value of an economic indicator that is larger than the forecasted value is followed in the following month by a value smaller than the forecasted value, or vice...

We decompose US Treasury bid-ask spreads into inventory, adverse selection and order processing costs by using the fact that inventory trades have different effects on spreads than do proprietary trades. We exploit this asymmetry and develop a technique to identify the three components of the...

Research in economics and finance documents a puzzling negative relationship between stock returns and inflation rates in markets of industrialized economies. The present study investigates this relationship for Korea and Mexico. We show that the negative relationship between the real stock...

Using 15 minute intraday data, we analyse the price discovery process among the strategically-linked gold and silver futures contracts and examine the role of the intermarket spread in their price dynamics. The multivariate model employed allows for intermarket volatility spillover and...

This paper tests for and provides evidence of nonlinear dependencies in palladium and platinum futures prices. The results indicate that ARCH-type processes, with controls for seasonality and contract-maturity effects, generally explain the nonlinearities in the data. We also present evidence...