This study explores dynamic price relationships among nine major stock index futures markets, combining an error correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures...

This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Building on this contemporaneous structure and the...

This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by Swanson and Granger (1997), data-determined historical decompositions are conducted to provide a day-by-day...

Rice, which is one of the major sources of energy, vital nutrients and a staple food, is in short supply in many Nigerian households. Nigeria is among many African countries that have engaged in agricultural liberalization since 1986 in the hope that reforms emphasizing price incentives will...

This article examines long-run relationships and short-run dynamic causal linkages among the five largest emerging African stock markets and the US market, with particular attention to the 1997-1998 global emerging market crisis. In general, interdependence between the African markets and the...

This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures...

A theoretical model of the law of one price which allows for seasonality in transaction costs and supply and demand conditions between markets is developed. Bivariate three-regime threshold vector error correction models are applied to natural gas markets to examine seasonality in threshold...