This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) error correction model. The GARCH specification accounts for time-varying distribution in asset returns while the error correction term preserves...

This study examines the simultaneous response of both stock and bond market returns to changes in the CBOT 30-day federal funds futures rate. It is found that changes in the federal funds futures rate are negatively related to both stock and bond returns. It is also found that positive and...

According to the financial press, firms with low leverage have lower distress risk due to their reduced exposure to the credit market, especially during credit crises. Compared to their conventional and socially responsible (SRI) counterparts, sharia compliant (SC) stocks are low-leverage...