This paper tests for relationship between Indian GDRs traded in Luxembourg / London and their underlying shares traded in Mumbai at two levels, viz., (a) between the stock prices at two exchanges; and (b) between the volatilities of the stock prices between the two exchanges. The relationship is...

Purpose -The purpose of this paper is to first, test for nonlinearity in Local Indian Exchange Traded Funds (ETFs) listed at NSE, India – NIFTYBEES, JUNIORBEES, BANKBEES, PSUBANKBEES, and INFRABEES – using a battery of nonlinearity tests; second, to ascertain, using both metric and...

This paper is aimed at testing for nonlinearity and chaos in Investment Grade CDS indices of US and Europe. For this exercise, the author has chosen the two most liquid indices, namely CDX.NA.IG (US) and iTraxx.Europe (Europe). BDS test (Brock, Dechert, & Scheinkman, 1987) is employed to test...