The study aimed to investigate firm decisions of using interest rate derivatives and factors affecting this decision. Study is conducted by selecting data of 191 non-financial sector companies listed on PSX from 2010 to 2015. Logit model was employed to detect contribution magnitude of foreign...

Using a sample of 828 oil-user firms from 14 net oil-producing countries, spanning from Jan 2004 to Dec 2015, we show that stock returns of oil-user companies increase with lagged oil price returns and decrease with lagged oil price volatility. Furthermore, the evidence suggests that oil-user...

Introduction: The purpose of the paper is to examine what is financial stability in the financial market. This paper is providing the condition of financial instability and connecting the concept with the aggregate economic activities. Case Description: This paper investigates the case of Turkey...

A robust bank industry is a major player in the stability of an economy.This calls for an efficient management the banks to properly situate them in the context of robustness. By way of financial ratios and Z-score, the study analysed UT Bank’s financial performance prior to the recent bank...

We propose a general class of non-constant volatility models with dependence on the past. The framework includes path-dependent volatility models such as that by Hobson&Rogers and also path dependent contracts such as options of Asian style. A key feature of the model is that market completeness...

This paper examines the impact of foreign exchange rate risk on the expected return of a South African investor’s portfolio. A GJR-GARCH based Value at Risk (VaR) model was used to compute the upside and downside risk measures. Data sample of ten emerging stock markets were utilized: from 1...

This paper examines the extraction of the empirical asset correlation for three datasets of monthly defaults on loans and credit cards obtained from the SARB from February 2006 to January 2017. The study makes use of the Beta and Vasicek distributions over a static period of time, as well as a...

This essay aims to investigate the effects of Quantitative Easing (QE) on selected macroeconomic and financial market variables. By means of a desktop approach, we find that QE1 had a strong and beneficial impact on the real economy through the banking sector while QE2 and QE3 had small positive...

This paper aims to describe the various constituents in financial innovation through a review of the financial innovation literature. Therefore, the approach used in this paper refers to a typical approach to the financial innovation literature that focuses on: (i) conception of financial...

This paper investigates the effect of different risk attitudes on the financial decisions of two insiders trading in the stock market. We consider a static version of the Kyle (1985) model with two insiders. Insider 1 is risk neutral while insider 2 is risk averse with negative exponential...