This study utilizes tests based on ranks and signs suggested by Wright (2000) together with the traditional variance ratio test to examine the behaviour of some Chinese stock indices. The results have shown that the null hypothesis of martingale difference behaviour of the Chinese index returns...

The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets?it has stronger...

The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to...

This article investigates the partial adjustment process with asymmetries on Chinese stock index returns and volatilities. Rolling sample windows method is proper to capture evolving asymmetric behaviours of Chinese emerging stock market. The empirical evidence shows that index returns do have...

In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the...

We investigate the nature of sovereign credit risk for selected Asian and European countries based on a set of sovereign CDS data over an eight-year period that includes the episode of the 2008-2009 global financial crisis. The principal component analysis results indicate that there exists...

The paper finds recent financial crisis has changed permanently the correlations between BRICS and developed U.S. and Europe stock markets. 70% of BRICS stock markets’ conditional correlation series demonstrate an upward long-run trend with the developed stock markets. Our results provide...

In this paper, we consider a portfolio optimization problem in a defaultable market. The representative investor dynamically allocates his or her wealth among the following securities: a perpetual defaultable bond, a money market account and a default-free risky asset. The optimal investment and...

Testing whether technical trading rules can beat buy-and-hold strategy is a common approach to study the efficiency of stock markets. Noticing that the common approach of evaluating popular technical trading rules’ profitability would result in the biases of data snooping and incomplete test,...