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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - Institute of Economic Research, Kyoto University - 2011

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

Persistent link: https://www.econbiz.de/10009002679

Recent Developments in Financial Economics and Econometrics:An Overview

Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10010860064

Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2011

This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD). The mean-variance criterion cannot distinct the preferences of spot and market whereas SD tests leads to the conclusion that spot dominates futures in the downside risk...

Persistent link: https://www.econbiz.de/10008790033

Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2012

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

Persistent link: https://www.econbiz.de/10010551390

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Institute of Economic Research, Kyoto University - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010674392

Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung - Institute of Economic Research, Kyoto University - 2010

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period of 1989-2008, we find no evidence of any MV and SD relationship between...

Persistent link: https://www.econbiz.de/10008461878