This paper utilises wavelet analysis, which is becoming popular in economics and finance, to estimate the hedge ratios for spot positions on the West Texas Intermediate crude oil, soybeans and the S&P500 index. This technique is combined with a two-stage regime switching threshold model to...

This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and...

This paper investigates the effect of the open policy introduced in 2002 to allow foreigners to invest in the Chinese 'A' share market on the Chinese domestic capital market, especially on the dependence between the financial index returns of the 'A' shares and those of some emerging markets,...