This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

We use Australian data to test the Conditional Capital Asset Pricing Model (Jagannathan and Wang, 1996). Our results are generally supportive: the model performs well compared with a number of competing asset pricing models. In contrast to the study by Jagannathan and Wang, however, we find that...

Pettengill, Sundaram, and Mathur (1995) respond to the prima facie failure of the standard CAPM and propose a conditional beta model by segmenting the market into two states – up markets (where the market excess return rm–rf is positive) and down markets (where rm–rf is negative). We...