The motivation of this paper is to identify the effect of treatment charge (TC) on LME (London Metal Exchange) copper prices. It is a fundamental variable as a supply side factor, because it is related to the smelting process and reflects the level of concentrates market tightness. To examine...

We employ data over 2005-2009 which uniquely identify categories of traders to test whether speculators like hedge funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial markets. To the contrary, speculative trading activity...

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period...

Based on regime shifts test with MSAR model,The paper estimates the MSVAR model to investigate the interactive relationships between stock market and oil price using monthly data ranging from Jan 1991 to Jul 2014. The results show that the volatilities of both stock market and crude oil price...

We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental...

This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...

The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...

This paper defines and interprets the changes in the stock market space. There are analyzed 63 companies listed on the Warsaw Stock Exchange in the period from beginning 2006 to the end of September 2012. This is a period, covering entirely the last two financial crises from their first symptoms...

I compare speculative bubble formation between a group of corporations in the S&P 500 that score high on corporate social responsibility versus the S&P 500 as a whole. I find that high CSR firms are less likely to exhibit speculative bubbles