Using monthly return data from January 1968 to December 2000, the study analyses the transmission of conditional return volatility across growth, growth and income, and income fund classes. It finds that volatility shocks transmit between the different classes in accordance with the standard...

The Economic Freedom Index (EFI) is a measure of a country's institutional characteristics that promote economic activity, including the security of private property, openness to international trade, stability of the monetary system and lack of credit market manipulation. We use this index as a...

The impact of skewness in the hedger's objective function is tested using a model of hedging derived from a third‐order Taylor Series approximation of expected utility. To determine the effect of price skewness upon hedging and speculation, analytical results are derived using an example of...