Research in economics and finance documents a puzzling negative relationship between stock returns and inflation rate in markets of industrialized economies. The present study investigates this relationship for the developing markets of Peru and Chile. Fama's model of linkages between inflation...

Silicon has wide applications in the electronic, ferrous foundry and chemical industries but does not possess a well-developed forward or futures market. Here we investigate potential candidates to cross-hedge silicon's price risk. Our results show that a proxy for a newly introduced Chicago...

We conduct tests for the presence of low-dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non-linear dependence, the evidence suggests that there is no long-lasting chaotic structure. The dimension estimates for...

We test for herding using data on aggregate trader positions for four commodities over 20 years. We show that while the positions of commodity traders are highly related, the relatedness falls short of herding. The cross-commodity relatedness in trader positions is almost entirely explained by...

This article investigates the impact of margin requirements on the trading activity and volatility in futures markets. We extend Hartzmark's (1986) model for futures demand to allow for the costs imposed by margins to change across the maturity of the contract. The model is tested employing data...

This study examines information incorporation and price discovery in closely related markets that witness staggered openings. A theoretical model is presented. In this framework, one market, termed dominant, is the venue where most of the price discovery occurs, and the other is termed...

We seek to determine whether a United States President's job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the current account deficit, exchange rate, unemployment,...