We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to...

In an earlier paper, we adopted a bi-variate BEKK–GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural...

This paper models the cross-market dynamics in an emerging market regional setting using a homogenous set of international sovereign bonds issued by key Latin American economies. We employ Johansen's and a modified three-step procedure, which generates portfolio adjustment weights while...

This paper models the cross-market dynamics in an emerging market regional setting using a homogenous set of international sovereign bonds issued by key Latin American economies. We employ Johansen’s and a modified three-step procedure, which generates portfolio adjustment weights while...

The main purpose of this paper is to examine the impact that the introduction of exchange traded derivative warrants has on the underlying securities' price, volume and volatility in the Australian market. The impact that derivative trading has on the underlying security is essential to our...

The extremely high A-share underpricing in China's primary market provides us with a very interesting area of empirical research. Previous studies on China's IPO underpricing have been suggestive, but inconclusive. A significant decline in A-share underpricing is found in 2003 relative to...