If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests...

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is...

Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in...

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...