The explanatory power of idiosyncratic volatility is examined in the context of the dynamics of market volatility. Results based on high frequency individual Standard & Poor's (S&P) 100 stock data indicate that aggregate idiosyncratic volatility has a significant and persistent impact on market...

This article examines temporal aspects of the price discover process in the (fragmented) Standard & Poor's (S&P) 500 market. This is achieved by augmenting the coefficients in the model upon which the price discovery measures are based, by a set of time-varying (theoretically-implied) scaling...

This paper provides evidence in favour of the hypothesis that precious metals (gold, silver, platinum) act as short-run and long-run hedges against inflation. Using robust estimation techniques, this ability to hedge inflation is concentrated in the period before 1939 and around the second OPEC...

This paper investigates the role of US inflation-indexed bonds in the portfolios of expected utility maximizing investors. As there does not exist sufficient return data, holding period returns on inflation-indexed bonds are generated using three different assumptions concerning the behaviour of...