Employing a bivariate GARCH(1,1) process for spot and futures markets returns, this paper determines the structure of the variance-covariance matrix in the BEKK model. Daily data from December 1995 to April 2001 are used for estimation. The differing structures, dynamic, diagonal and constant,...

Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly more studies have been undertaken of the veracity of such a...

Numerous studies have shown that returns on stocks and futures can to some extent be predicted over time, and that for developed financial markets, the predictions are compatible with the beta-asset pricing (APT) paradigm. Increasingly, more studies have been undertaken to test the veracity of...

The privileges of integration with the global economy have led developingcountries to embark on a path of liberalisation and globalisation. This resulted in rapidgrowth of inward and outward foreign direct investment from developing countries. Inthe last two decades there is an increasing trend...

Emerging equity markets have attracted foreign investor by their higher returns and prospect ofsuperior risk diversification benefits. In light of increasing flow of equity portfolio investmentsinto these economies and their subsequent integration with equity markets of developed world,studies...

This article examines the determinants of corporate dividend policy of listed firms in Greece as a case study of an emerging market country. The analysis is based on 945 firm year observations of 63 nonfinancial firms which paid dividends annually from 1993 to 2007. The study uses the...

In this paper, stock market volatility in the East European emerging markets of Hungary and Poland is investigated using daily indexes. The results suggest the presence of non-linearity in the indexes through the BDSL statistic, while the presence of conditional heteroscedasticity is detected...