In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively over 57,990.2 from 1113.4 in January 1993. This rising interest in investment...

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each...

The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from...

This paper studies the conceptual framework of the calculation of the theoretical price of the future based on the cost of carry model and assesses the results of applying this model to the closing prices of the Spanish Market for 2007-2015. Whilst most of the research carried out into market...

Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long-range dependence in the log return series of the Mibtel (Italy) and the PX-Glob (Czech Republic). Long-range dependence implies that predictable patterns in the log...

We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...

This paper examines the concept of inflation persistence in macroeconomic theory. It begins with a definition of persistence, emphasizing the difference between reduced]form and structural persistence. It then examines a number of empirical measures of reduced]form persistence, considering the...

This article examines the extent of contagion and interdependence across the East Asian equity markets since early 1990s and compares the ongoing crisis with earlier episodes. Using the forecast error variance decomposition from a vector autoregression, we derive return and volatility spillover...

We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio...

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...