This article tests for the presence of low-dimensional chaos in the coffee, cocoa and sugar futures markets. While it finds strong evidence of non-linear dependence in the returns, the evidence is not consistent with chaos. The test results indicate that well known ARCH-type processes, with...

An earlier investigation by Bessembinder and Seguin employed open interest data to demonstrate that heavy (unexpected) trading activity in stock index futures is destabilizing. This article re-examines the issue in the framework of the commitments of four groups of traders in the S&P 500 index...

This study employs cointegration analysis to examine the long-run relationships in Prime and CD rates across the US, Canada, Japan, Germany, France and the UK. The nature and strength of the results are found to be contingent on the time periods investigated. While we are unable to reject the...

Using 15 minute intraday data, we analyse the price discovery process among the strategically-linked gold and silver futures contracts and examine the role of the intermarket spread in their price dynamics. The multivariate model employed allows for intermarket volatility spillover and...

A negative relationship between stock market returns and inflationary trends has been widely documented for developed economies in Europe and North America. This study provides similar evidence for India. This relationship is investigated in light of Fama's explanation that centres around...