To establish stock-versus-flow orientations of a commodity, the mediating role of inventories in price formation is considered. This framework is tested by examining responses of COMEX gold, silver, and copper to macroeconomic news releases. Standard responsiveness-tests, which ignore the role...

We test for the presence of low-dimensional chaotic structure in the Stock Exchange of Thailand (SET) Index. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes generally explain the nonlinearities...

In this paper we investigate the relationship between regional financial turmoil and equity markets of three emerging Asian economies: Indonesia, Malaysia, and Thailand. The study focuses on the contagion of the regional banking and financial difficulties to security markets in these three...

This study examines the causal relationship between interest rates and the exchange value of the dollar using Granger causality tests. Cointegration tests show that errorcorrection models are not necessary in this case. The results suggest that the combination of short- and long-term U.S....

We investigate short-term index options for behavioral biases implied in prospect theory (PT). Intraday price and transactions patterns generally support the theory. Losers are seen to be relatively risk seeking and winners to be risk averse, with the former effect appearing stronger. On...

This study examines the ability of existing futures contracts to hedge the returns on real estate investment trusts (REITs). The results from various hedging strategies suggest that existing futures contracts do not provide the means to effectively hedge REIT returns. REITs could remain...

This study examines the relationship between the level of futures trading activity in five currencies and the variability in the underlying exchange rate changes. The conditional variance from the GARCH model is employed as the proxy for the exchange rate volatility. The evidence indicates that...