This paper segments daily data from January of 1986 to April of 2007 into three periods based on certain important events. Both periods I and II indicate that the spot prices in general are higher than futures prices as was well-known in the literature. Only period-III (2001/9/11-2007/4/30)...

The essence of fractal analysis is seeking for a pattern that is independent of scale. This paper examines the existence of long-term memory in nine Asian stock markets together with US and UK indices using the modified rescaled-ranged (R/S) statistic. The modified R/S statistic is robust not...