In recent years, the globalization of financial asset markets has become increasingly important and has led to closer linkages among these markets. New global investment instruments such as sovereign credit default swaps, exchange traded funds, and bond markets have been created, enabling...

We examine the relationship between four commodity-exporting countries' currency returns and a range of index-based commodity returns. We use daily futures data to investigate the fast dynamics between commodity prices and currency exchange rates while avoiding market imperfections in the...

On December 4, 2006, the side-by-side trading of Commodities Exchange (COMEX) Division’s gold and silver futures contracts was launched on Chicago Mercantile Exchange’s Globex electronic trading platform, as a fight-back against the introduction of copies of these contracts from the Chicago...

We test the hypothesis of Avramov, Chordia, and Goyal (2006) that asymmetric volatility is governed by the trading dynamics of informed and uninformed traders; uninformed trades increase volatility following asset price declines while informed trades decrease volatility following asset price...