This paper investigates the herding tendency of foreign and domestic institutional investors and margin traders from different herding perspectives by using daily buy and sell data in Taiwan's stock market. Strong evidence indicates that herding phenomenon is closely associated with market...

This paper investigates the short-run forecasting performance, in the relatively new and fairly unresearched futures market of Greece. Forecasts from univariate (ARIMA) and multivariate (VAR, VECM and SURE-VECM) linear time-series models indicate that cash returns can be more accurately...

The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets?it has stronger...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...

We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of...

In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...

This paper explores the relationship between currency futures and realised spot rates for the Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two and three months, we examine the unbiasedness of futures quotes as a predictor of the future spot exchange rate...

Empirically we test the Merton-type model (1974) of credit risk in an emerging market such as the Korean corporate bond market. For that purpose, we assume two alternative firm value processes: diffusion process for the Merton (1974) model and jump-diffusion process for our extended model in a...

As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...