Purpose – The purpose of this paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black–Scholes (BS) model relative to market, for pricing Nifty index options of India. The specific period chosen for...

Purpose – The purpose of this study is to investigate nonlinearities in the behavior of investment expenditure. Conventional wisdom suggests that Tobin’s Q criterion is an important explanation of investment behaviour that bridges the financial and real sides of the economy. However, the...

Purpose – The purpose of this paper is to provide a framework of replication pricing of derivatives and identify funding valuation adjustment (FVA) and credit valuation adjustments (CVA) as price components. Design/methodology/approach – The authors propose the notion of bilateral...

Purpose – The aim of this study is to examine the impact of technical and fundamental (referred to as firm-specific) factors on the cross-sectional variation in equity returns on the Johannesburg Securities Exchange (JSE). Design/methodology/approach – To reach the objective, the study...

Purpose – The purpose of this paper is to examine the relationship between financial development and economic growth in India using annual data from 1982 to 2012. Design/methodology/approach – The stationarity properties are checked by ADF, DF-GLS, KPSS and Ng–Perron unit root tests. The...

Purpose – The purpose of this paper is to investigate the effect of the crisis on the pricing of asset quality attributes. This paper uses sales transaction data to examine whether flight from risk phenomena took place in the US office market during the financial crisis of 2007-2009....

Purpose – This paper aims to investigate the volatility transmission and dynamics in China Securities Index (CSI) 300 index futures market. Design/methodology/approach – This paper applies the bivariate Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC)...

Purpose – This paper aims to investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe over the period of 1995-2011. Design/methodology/approach – Linking housing valuations to a set of conventional fundamental...

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design/methodology/approach –...