Zusammenfassung Die vorliegende Arbeit analysiert die Wechselkursdynamik eines glaubwürdig angekündigten, zeitlich fest anvisierten Übergangs von flexiblen zu festen Wechselkursen auf der Grundlage eines monetären Wechselkursmodells mit flexiblen Preisen. Verschiedene währungspolitische...

Purpose – The purpose of this study is to investigate the driving forces of China's recent rapid economic growth and its sustainability in the future. Design/methodology/approach – A stochastic production frontier approach is employed in order to investigate regional productivity...

Purpose – The purpose of this paper is to examine the impact of partial privatization on performance of state‐owned banks using data from the Indian banking industry during the period 1986‐2003, and test the hypothesis that privatization leads to improvement in performance even when the...

Purpose – The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets. Design/methodology/approach – The paper applies the...

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long‐term dependence. Design/methodology/approach – The paper utilises the random‐walk framework to develop a stochastic forecast model wherein the sign...

Purpose – The purpose of this paper is to examine the price discovery role of the Korea Composite Stock Price Index 200 (KOSPI 200) stock index options market in contrast to other developed options markets. Design/methodology/approach – The price discovery roles of the stock and options...

Purpose – Following Hadar and Seo, the paper aims to determine, in the case of a portfolio with three assets, the condition of preservation of comparative statics results under which a change in risk increases the optimal value of the decision variables for all risk‐averse investors....

Purpose – Malting barley is an important specialty crop in the Northern Plains and growers mitigate risk with federally subsidized crop insurance and production contracts. The purpose of this paper is to quantify risks growers face due to “coverage gaps” in crop insurance that result in...

Purpose – The purpose of this paper is to develop a dynamic, stochastic, mechanistic simulation model of a dairy business to evaluate the cost and benefit streams coinciding with technology investments. The model was constructed to embody the biological and economical complexities of a dairy...

Purpose – The purpose of this paper is to investigate how to determine optimal investing stopping time in a stochastic environment, such as with stochastic returns, stochastic interest rate and stochastic expected growth rate. Design/methodology/approach – Transformation method was used for...