Previous research assumes that 1) the futures price is a linear function of the market (spot) price and basis risk; 2) the spot price and basis risk are statistically independent. Using a general form of basis risk, we provide empirical comparative statics results. Moreover, we relax the...

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

We introduce a new theoretically-based method of estimating the impact of the exchange rate and GDP on the stock market. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results indicate a strong negative relationship between the stock...

This paper extends the existing estimation methods to allow estimation under simultaneous price and output uncertainty. In contrast with the previous literature, our approach is applicable to the direct and indirect utility functions and does not require specification and estimation of the...

We show that the increase in price riskiness reduces the optimal output under increasing absolute risk aversion. That is, the marginal impact of the risk on output is independent of the type of absolute risk aversion (decreasing, constant, or increasing)

In this paper we examine the internet banking services that Greek commercial banks are offering. We also present the associated costs and fees that customers face when using these services. The findings show that there are disparities in the fees that Greek commercial banks impose on their...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...

Most of the currently known option pricing techniques utilize the underlying asset price and strike price, its volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are anticipated via the price move of the underlying asset. Looking at...