This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

The purpose of this study is to investigate the interaction between spot Turkish Lira-US Dollar exchange rate and Turkish Lira-US Dollar futures contracts traded in Turkish Derivatives Exchanges. Cointegration test are used and an error correction model is developed in order to examine the...

This study examines the impact of introduction of currency futures on spot market volatility in India and studies whether introduction of currency futures has significant impact on volatility of spot prices in India

We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-U.S. dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market...