In this paper, we assess the hedging performance of the newly established CSI 300 stock index futures over some short hedging horizons. We use wavelet analysis as well as conventional models (naïve, ordinary least squares, and error-correction) to compute the constant hedge ratios. The constant...

The main objective of this study is to directly examine the relation between real oil price and real effective exchange rate in Thailand during July 1997 to December 2013. Under the floating exchange rate regime, bilateral exchange rates are expected to fluctuate more than under the fixed...

The present paper examines the price discovery process and volatility spillovers in Indian spot-futures commodity markets through Johansen cointegration, Vector Error Correction Model (VECM) and the bivariate EGARCH model. The study uses four futures and spot indices of the Multi Commodity...

This paper employ monthly data to examine the empirical relationship between oil price shocks and domestic inflation rate during 1993 and 2013. The results show that oil price, domestic or international, does not have the long-run impact on consumer prices. However, oil price shocks cause...

Purpose – The purpose of the present study is to directly examine the relationship between bilateral exchange rate and stock market index in a bivariate framework during the period of the floating exchange rate regime in Thailand. Design/methodology/approach – The monthly data used in this...

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...