This article examines the pattern of information flow between the percentage price change and the trading volume in gold futures contracts using daily data over a ten-year period. We employ the robust two-step procedure proposed by Cheung and Ng (1996) to detect the causality in variance. We...

In this paper we adopt the Markov-switching heteroscedasticity model to analyse the inflation series for G7 countries and examine the interaction between inflation rate and its uncertainty over both the short- and long-run. It is found that the relationship between inflation and inflation...

Purpose – To provide an alternative channel of investigation of comovement in four large European equity markets over a sample period of nearly 30 years. Design/methodology/approach – The paper adopts a two stage methodological approach. In the first instance, the interaction between the...

Booth and Ciner (2001) find that the prices of commodity futures traded on the Tokyo Grain Exchange (TGE) do not move together in the long run. This study analyses whether their empirical results remain true for a more recent period. The empirical results suggest that the cointegrating relation...

This study analyses the stock return characteristics for Japan and Asian emerging markets using monthly return to capture the changes in mean-variance in a two state framework. An unobserved Markov process drives the evolution of the states. The approach allows both the mean and the variance to...

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the...