This paper investigates calendar anomalies in the Turkish foreign exchange markets during 1986-1994 period. Changes in the free market and official daily exchange rates between the Turkish lira (TL) and US dollar (USD) and the German mark (DM) are examined for empirical regularities on different...

This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany. Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-1576), the volatilities of the three markets...

The purpose of this paper is to investigate the relationship between US and Canadian wheat futures prices in order to analyse the degree of information spillover between the futures exchanges of both countries. Although considerable research has focused on the relationship between US and...