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Price leadership between spot and futures markets

Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107

This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building...

Persistent link: https://www.econbiz.de/10010118433

Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging … mutual fund index and each hedging instrument to investigate the performance of optimal static hedges. Our main model is the …]. The hedging performance is then compare with that of standard Dynamic Conditional Correlation models. Our results are …

Persistent link: https://www.econbiz.de/10010148077

Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets

Srinivasan, P.; Ibrahim, P. - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 65-80

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

Persistent link: https://www.econbiz.de/10010097639

Valuation and investment profession

Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10010185798

Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles

Corona Dueñas, José Asunción - In: Atlantic review of economics 1 (2012)

the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for …

Persistent link: https://www.econbiz.de/10010049034

Volatility impact of stock index futures trading : a revised analysis

Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

Persistent link: https://www.econbiz.de/10010058694

Structured bonds and Greek demons is the attack ”fair”?

Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277

The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...

Persistent link: https://www.econbiz.de/10010009068

Economic returns and risks to investment in education : an application of the multifactor CAPM

Athanassiadis, Antonios - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 95-120

theory ; GMM …

Persistent link: https://www.econbiz.de/10009958065

The determinants of cash flows in Greek bond mutual funds

Grose, Christos - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 55-77

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...

Persistent link: https://www.econbiz.de/10009958067

The amendment and empirical test of arbitrage pricing models

Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of applied finance & banking 1 (2011) 1, pp. 163-177

The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...

Persistent link: https://www.econbiz.de/10009958478