The covered interest parity (CIP) theorem states that the covered interest differential between two similar assets denominated in different currencies should be zero. This paper utilizes high-quality data recorded by the dealers at the Bank of England to test CIP during periods in which news is...

We characterize the divergence between in informational and economic efficiency in a rational expectations competitive market with asymmetric information about the costs of production. We find that prices may contain too much or too little information with respect o incentive efficient...

Purpose – The purpose of this paper is to compare and contrast the effect of individual and institutional sentiments on the US stock returns during a prolonged bull phase of ten years in the 1990s compared to shorter boom and bust cycles of the 2000s. The study is focussed on a set of stocks...

Purpose – The regulatory approach to insider trading (IT) in Australia is premised on a “blend” of fairness and efficiency which has generated an important controversy. The study aims to investigate this controversy by critically analysing the way the policy maker and judiciary have been...

Purpose The proliferation of terror threats in the past decades and the increasing number of terror incidents at different locations around the world have engendered a counter reaction from the members of the international community. This study aims to examine how terror incidents that happened...

Purpose – The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd....

This Paper is an exploration into the links between macroeconomics and finance as they affect the FOREX risk premium. SDF theory is used in which the factors are observable macroeconomic variables. Three SDF theories are compared: a benchmark model based on traditional tests of FOREX efficiency;...

Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...

This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and...