Using futures traded on the Chicago Board of Trade, Chicago Mercantile Exchange and New York Board of Trade, we test six alternative models of the return-generating process (RGP) in futures exchanges that adopt a price-limit regime. We rank the six models according to their return-prediction...

This study presents an attempt to explain how international dual listing of securities can reduce the effects of segmented international markets. By applying the mean-variance model we show that, for a return generating process given by the maximum distribution, the expected return on the dually...

Underlying the widely used multiple-investment-sinking fund (MISF) method for lease evaluation is the determination of a derived lease rate which is a specific rate that provides the lessor with the required yield on equity. To compute this derived lease rate, trial-and-error techniques are...

This study investigates the causal relationship between the Volatility Index (VIX), as an indicator of fear sentiment, and the price of gold futures. We apply tests of causality in-mean and in-variance to recent data about US gold futures and find bidirectional causality in-mean and in-variance...

Jewish Colonial Trust (JCT) and Bank Leumi Le-Israel (BLL), called here the sub-company and the main company, are two companies whose stocks are traded on the Tel Aviv Stock Exchange (TASE). We demonstrate that although the assets of the sub company consist solely of the stocks of the main...

Purpose – The purpose is of this paper is to investigate whether the tracking ability of exchange traded funds (ETFs) is lower in highly volatile periods, and to shed more light on the factors behind the tracking error. Design/methodology/approach – The authors apply the Error Correction...