We examine the potential effect of Chinese superstition on the prices of four commodities traded in the US commodity market using daily data from January 1994 to September 2012. We focus on market responses to days that Chinese traders superstitiously deem as either lucky or unlucky. Our results...

A crucial input in the hedging of risk is the optimal hedge ratio - defined by the relationship between the price of the spot instrument and that of the hedging instrument. Since it has been shown that the expected relationship between economic or financial variables may be better captured by a...

This paper analyses price linkages between the equity market of Australia and those of Hong Kong, Singapore and Taiwan using cointegration, Granger-causality, variance decomposition and impulse response analyses based on MSCI database covering the period 1975-1995. The results show that the...

Many studies have examined the power of Stochastic Unit Root (STUR) tests. However, these studies assume that the two error processes of the underlying time series are independent. In this study, we undertake a Monte Carlo study on the power of STUR tests without the condition of independence...